A financial manager needs to hedge against a possible decrease in interest rates. He decides to hedge his risk exposure by going short on a 3x12 FRA at a rate of 6.50%. The current term structure for LIBOR is as follows:

Term Interest rate

30 days 5.83%

90 days 6.00%

180 days 6.14%

360 days 6.45%

It is now 60 days since the manager took a short position in the FRA. Interest rates have shifted down, and the new term structure for LIBOR is as follows:

Term Interest rate

30 days 5.50%

300 days 5.62%

The market value of this FRA based on a notional principal of $20 000,000 is: