Assume companies A and B have access to borrowing for two years as specified below.

A

Fixed borrowing: 3.8%

Floating Borrowing LIBOR +60bps

B

Fixed borrowing 5.2%

Floating Borrowing LIBOR +110bps

Borrowing Rates for A and B Company A wants to borrow at a floating rate of interest and B wants to borrow at a fixed rate of interest. Design a swap that will net a bank, acting as intermediary, 12 basis points per annum and will appear equally attractive to A and B