A is a more creditworthy company than B. Company A and Company B have been offered the following rates per annum on a $20 million 5-year loan:

Company A wishes to borrow floating rate. Company B wishes to borrow fixed rate. Design a swap that will net a bank, acting as intermediary, 0.3% per annum and that will appear equally attractive to both companies.

Company A Company B Fixed rate 4.0% 5.4% Floating rate LIBOR+0.1% LIBOR+0.6%