A Hedge Fund takes a long position in a "three against twelve" forward rate agreement on USD LIBOR with the following characteristics:

• The notional amount amount is USD 100,000,000
• The agreement rate is 3.5%
• There are exactly 270 days in the nine month contract period.

Assume that in three months from now, on the settlement date, the settlement rate is 3.65%. Which of the following accurately expresses the payoff to the Hedge Fund? Answer to the closest $100.

Group of answer choices

A. 109,500

B. -73,700

C. 73,700

D. -109,500

E. None of the other answers.