3. Use the following information to set up an interest rate swap between Company A and Company B. Assume a notional principal of $10,000,000. (Total 4 Marks) Company A AAA 6-month LIBOR +0.225% 3-month LIBOR +0.125% Company B A 6-month LIBOR + 1% 3-month LIBOR +0.625% a. What is the quality spread differential? (1 Mark) b. Set up a floating-for-floeting rate swap where the swap bank receives 0.1% and the two counterparties share the remaining savings equally. Assume Company A prefers 3-month LIBOR and Company B prefers 6-month LIBOR