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A U.S. bank enters into a plain vanilla currency swap with a notional principal of US$250 million (GBP150 million). At each settlement date, the U.S. bank pays a fixed rate of 4.5% on the British pounds received and the British bank pays a variable rate equal to LIBOR on the U.S. dollars received. Given the following information, what payment is made to whom at the end of year 2?
A. US$11.25 million and the British bank pays £6.75 million. B. £6.75 million and the British bank pays US$12.5 million. C. £6.75 million and the British bank pays US$11.25 million. | ||||||||||||||||||||||||