It seems to me as most of the additional 'And' lines in your scenario are details to the first 'When' line. If I relate to Java code, this would be parameters to a factory method or a builder. Am I correct?
In that case, treat the use of 'With' as an indication that the following line relates to a previous Given/When/Then statement.
Disregarding the huge implications of changing the language, consider adding a 'With' statement that would allow us to pass parameters from that line to a builder created in the first Given/When/Then statement.

When a FX transaction message arrives: A builder of type FxTransactionMessageBuilder is created, but the actual method is NOT called
With the "from" currency as USD: builder.addFromCurrency(Currency currency)
With the "to" currency as GBP: builder.addToCurrency(Currency currency)

Then, when no more 'With' lines are found. The builder object will be created and passed as parameter to the 'When a FX transaction message arrives' method.

Would this be something to consider?

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