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You signed a 10-year interest swap (principal USD 1,000,000) with annual payments to receive fixed USD and pay fixed EUR. The quotes are: USD 4.1%-4.15%

You signed a 10-year interest swap (principal USD 1,000,000) with annual payments to receive fixed USD and pay fixed EUR. The quotes are:

USD 4.1%-4.15%

EUR 6.00%- 6.05%

The spot rate at the time of the was USD 1.1/ EUR.

Two years later you want to unwind the swap. The USD interest rate is 4% and the EUR interest rate is also 4%. What is the value of the swap in USD if the spot rate today is 1.07? (round to the nearest $)

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