36) XYZ Bank lends $20,000,000 to ABC Corporation which has a credit rating of BB. The spread of a BB rated benchmark bond is 2.5 percent over the U.S. Treasury bond of similar maturity. XYZ Bank sells a $20,000,000 one-year credit forward contract to IWILL Insurance Company. At maturity, the spread of the benchmark bond against the Treasury bond is 2.1 percent, and the benchmark bond has a modified duration of 4 years. What is the amount of payment paid by whom to whom at the maturity of the credit forward contract? **Can you please show you work for this problem?

A) The seller pays the buyer $80,000.

B) The seller pays the buyer $320,000.

C) The borrower receives $240,000.

D) The buyer pays the seller $320,000.

E) The buyer pays the seller $80,000.