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Some time ago, a multinational company entered into a currency swap in which it pays 4.2% on $12 million USD and receives 4.9% on 12
Some time ago, a multinational company entered into a currency swap in which it pays 4.2% on $12 million USD and receives 4.9% on 12 million Euros, both rates are semi-annually compounded. There are three annual payments left where the first payment is after one year from now, and the current exchange rate of the one Euro is 51.4 USD. If the USD OIS IS 2.5% and Euro Ois is 3.5% (both are continuously compounded). what is the value of the swap in GBP to the company? (Write your answer in terms of millions and round to 2 digits. E.g. 10.85 Million)
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