Company A, a US multinational, wants to borrow 150 million Canadian dollars at a fixed rate of interest for five years. Company B, a Canadian manufacturer, wants to borrow 100 million US dollars at a floating rate of interest for five years. (The current exchange rate is 1.20 C$/US$.) They have been quoted the following annual rates for five-year loans.

	US Dollars floating	Canadian dollars
Company A	LIBOR + 1.2%	7.8 %
Company B	LIBOR + 0.6%	6.0%

Design a swap that will net a bank, acting as an intermediary, 40 basis points per annum. Make the swap equally attractive to the two companies and ensure that the bank assumes all foreign exchange risk. What are the borrowing rates for A and B after they enter into the swap? Illustrate the swap with a diagram.