In a currency swap, 2% on a US dollar principal of $120 million is received and 3% on a Euro principal of 100 million pounds is paid. The current exchange rate is 1.21 dollar per euro. Interest rates in both countries for all maturities are currently 3.5% (continuously compounded). Payments are exchanged every year. The swap has 2.5 years left in its life. What is the value of the swap?