You are entering into a two-year swap in which you will pay 5% nominal compounded semi-annually (2.5% every 6 months) in Euros in exchange for the 6-month LIBOR in U.S. dollars. The notional amounts are 100 million Euros and 130 million U.S. dollars, respectively. The LIBOR is 5.2% nominal annual compounded semi-annually (2.6% per 6 months) for the first year and 4.8% nominal annual compounded semi- annually (2.4% per 6 months) for the second year. The exchange rate stands at 1 = $1.3 for a year and three quarters and then changes before the last payment is made. Determine the exchange rate such that the swap contract results in a zero net payment (nominal amounts, undiscounted).

A. 1 = $1.35 B. 1 = $1.33 C. 1 = $1.3 D. 1 = $1.27 E. 1 = $1.25