An investor entered into a fixed-for-fixed currency swap that calls for annual payments in US dollars (USD) at an annual fixed rate of 2.3393% and annual payments in Swiss francs (CHF) at an annual rate of 1.0875%. The investor is the pay USD, receive CHF party and the notional amounts are USD500,000 and CHF476,190.

Two years have now passed and the investor wishes to value the currency swap. The current exchange rate is USD 1.15 per CHF and the term structure of interest rates in each currency is as given below. The value of the pay USD, receive CHF swap in USD is closest to:

Term (Years)	USD rate	USD PV Factor	CHF Rate	CHF PV Factor
1	2.40%	0.976563	1.40%	0.986193
2	2.50%	0.952381	1.45%	0.971817

Group of answer choices

A) $45,093

B) - $39,211

C) - $45,093

D) $39,211