The interest rate swap has a 200 million GBP notional, 5-year tenor, and pays annual fixed 8% against 12-month LIBOR. At the end of year one, there are 4 years remaining. The bank receives fixed and pays floating. The swap rate declines by 150 basis points, making the new current market swap rate $8.0% - 1.5% = 6.5%$. The current exposure (CE) is the present value of the remaining cash flows, which is equivalent to receiving an annuity of the difference between the original fixed rate and the new fixed rate for the remaining 4 years.

Annual difference in cash flows = $200,000,000 \times (8.0% - 6.5%) = 200,000,000 \times 1.5% = 3,000,000$GBP. Present value of this 4-year annuity discounted at the new swap rate of 6.5$PV = 3,000,000 \times \frac{1 - (1 + 0.065)^{-4}}{0.065}$$PV = 3,000,000 \times \frac{1 - 0.777323}{0.065} = 3,000,000 \times 3.425799 = 10,277,397$ GBP. This is approximately 10.28 million GBP.