The zero rates for three, six, nine and twelve months are 8%, 8.2%, 8.4% and 8.5% with continuous compounding. These rates suggest that the forward rate between nine months and twelve months is 8.8% with continuous compounding. What is the present value of an FRA that enables the holder to earn 9.4% (per annume rate with quarterly compounding) for a three month period starting in nine-months on a principal of $1000,000?