Company NZ is a New Zealand firm who wants to borrow U.S. dollars at a fixed rate of interest. Company US is a multinational firm who wishes to borrow New Zealand dollars at a fixed rate of interest. They have been quoted the following rates per annum (adjusted for tax differences) New Zealand Dollars U.S. Dollars Company NZ 5% 8% Company US 4% 5% Design a swap contract that will net a bank acting as intermediary 100 basis points per annum. B C A D Company NZ Bank Company US E F A = 5% in New Zealand dollars B = 5% in New Zealand dollars C = 3.5% in U.S. dollars D = 5% in U.S. dollars F = 5% in U.S. dollars Which statement is TRUE when the bank fully hedges its currency risk? O a E = 6.5% in U.S. dollars O b. E= 8% in U.S. dollars O c. E = 7% in U.S. dollars O d. E = 7.5% in U.S. dollars