Compute MdPs net cash flow on the payment dates

THE SWAP The terms of the swap were as follows:10 Notional principal: 89 million Swap date: June and December 13th, annually, beginning June 13, 2007 Coupon rate day count fraction: Actual - 360 Payment by BST to MdP: 4.76% per annum semi-annually Payment by MdP to BST: 1.76% per annum semi-annually + coupon payment based on Spread" Spread = 0.00% for the first two years (i.e., up to December 13, 2008), then = = Max [0.00%, previous spread + 2 x Max (2.00% - Euribor3M set in advance; 0) + 2 x Max (Euribor3M set in advance - 6.00%; 0) DigiCoupon] Where DigiCoupon = 0.50% if 2.00%