Compute the net cash flows on the payment dates. Include the date, 3M rates, the fixed cash flow received, floating cash flow paid and the net cash flow in a table. Show detailed workings of how you calculated the floating and fixed payments at each date. Provide explanations where necessary.

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 +2Max(2.00% Euribor 3M set in advance; 0)+2 Max (Euribor3M set in advance 6.00%; 0) - DigiCoupon] Where, DigiCoupon =0.50% if 2.00%