Companies ABC & XYZ can borrow for a three-year term at the following rates:

	ABC	XYZ
Moody's credit rating	Aa	Baa
Fixed-rate borrowing cost	9.75%	12.75%
Floating-rate borrowing cost	LIBOR+0.25%	LIBOR +1.25%

Assume that a swap bank is involved as an intermediary. The swap bank is to give a quote on three-year dollar interest rate swaps against LIBOR flat. What is the highest Ask the swap bank can quote?

a) 9.50%

b) 11.75%

c) 11.5 %

d) 10.00 %