Janice Grass will need to borrow $12million in an upcoming month. Grass is concerned that the U.S. Federal Reserve will raise interest rates dramatically, so she enters into 2x8 FRA. The FRA is quoted at 6%. Libor interest rates on the expiration day of the FRA are presented in the table below. What is the Payoff on the FRA. (show your workings) (10 marks)

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___________Settlement

30-day LIBOR 5.7%

60-day LIBOR 5.8%

120-day LIBOR 5.9%

180-day LIBOR 6.0%

240-day LIBOR 6.1%__