Companies A and B have been offered the following rates per annum on a $20 million 5-year loan: Fixed rate Floating rate Company A: Company B: 12.0% 13.4% LIBOR + 0.1% LIBOR + 0.6% Company A requires a floating-rate loan; company B requires a fixed-rate loan. Design a swap that will net a bank, acting as intermediary, 0.1% per annum and that will appear equally attractive to both companies.

AppendixLO1