Company ABC wants to borrow $$10,000,000$ floating for $5$ years; company XYZ wants to borrow $$10,000,000$

fixed for $5$ years. Their external borrowing opportunities are shown below:

Company ABC Company XYZ

Fixed$-$rate $10\%12\%$

Floating rate LIBOR LIBOR $+1\mathrm{.}5\%$

A swap bank proposes the following interest only swap:

$$ ABC will pay the swap bank annual payments on $$10,000,000$ with the coupon rate of LIBOR; in

exchange the swap bank will pay to company X interest payments on $$10,000,000$ at a fixed rate of

$10\mathrm{.}05\%.$

$$ XYZ will pay the swap bank interest payments on $$10,000,000$ at a fixed rate of $10\mathrm{.}30\%$ and the swap

bank will pay XYZ annual payments on $$10,000,000$ with the coupon rate of LIBOR $0\mathrm{.}15\%.$

What is the value of this swap to the swap bank?