A U.S. company wants to borrow Australian dollars (AUD) at a fixed rate of interest. An Australian company wants to borrow U.S. dollars at a fixed rate of interest. They have been quoted the following interest rates (per annum):

US Dollars AUD US company 7.8% 8.4% Australian company 8.2% 8.0%

Design a swap that will net a bank, acting as intermediary, 10 basis points per annum and that will produce a gain of 35 basis points per annum for each of the two companies.