A hedge fund is currently engaged in a plain vanilla interest rate swap with a company. Under the terms of the swap, the hedge fund receives six-month LIBOR and pays 6% per annum on a principle of $100 million for five years. Payments are made every 6 months. Assume that the interest rates start to soar after two years and the company defaults on the sixth payment date when the LIBOR rate is 8 percent for all maturities (with semi-annual compounding). The 6-months LIBOR rate 6-months ago is 7.5%.

What is the loss to the hedge fund?