Consider a financial institution that enters into a foreign currency swap for which the institution receives 5.875 percent per annum semi-annually in French francs and pays 3.75 percent per annum semi-annually in U.S. dollars. The maturity of the swap is in two years and the current spot exchange rate is 0.20 U.S.$/FF. The principals in the two currencies are 58 million francs and 10 million dollars. Table 1 Domestic and Foreign Term Structure

What is the current value of the swap (in millions)?

Question 2 options:

	$1.000 m
	$2.300 m
	$1.654 m
	None of the above

Information about the U.S. and French term structures of interest rates is given in Table 1