(b) The followings are the borrowing rates of Firm D and E in fixed-rate and floating rate capital markets: Firm D Firm E Fixed-rate 5.00% 6.75% Floating rate LIBOR LIBOR+3.55% Because of the nature of their business, Firm D needs to secure effectively fixed-rate borrowings, while Firm E to secure effectively floating rate. A financial institution is willing to be the intermediary in an interest rate swap between Firm D and E if it can charge at least 0.15% as fees. What is the range of value of X in the following swap arrangement to ensure there are incentives for all the parties (Firm D, Firm E, and the financial institution) to involve? Give your answer to the nearest 0.01%. Note that the financial institution will not be interested if it cannot secure a cash flow of at least 0.15% (as fees). LIBOR+2.8 LIBOR+X Firm D Financial Firm E Institution (6+X)% 6%