An investor has issued a $100 million callable floating-rate security with a 5-year maturity, and 6% cap. The coupon formula for the floater is 6-month LIBOR plus 125 basis points and the interest payments are made semiannually. At the time of issuance, 6-month LIBOR is 1.5%. The investor used the proceeds to invest in a putable 5-year corporate note with a fixed coupon rate of 4%.

Which of the following interest rate swaps can help this investor to offset the mismatch risk?

A. A 5-year interest rate swap in which the investor pays LIBOR (i.e., the investor is the fixed-rate receiver).

B. A 5-year interest rate swap in which the investor receives LIBOR (i.e., the investor is the fixed-rate payer).