Consider two firms with the following borrowing costs:

Company	Sterling	US Dollars
British Firm	11.0%	7.0%
US firm	10.6%	6.2%

The British firm wishes to borrow US dollars at a fixed rate of interest.

The US firm wishes to borrow sterling at a fixed rate of interest.

1. Design a swap that will net a bank, acting as an intermediary, 10 basis points per annum and that will produce a gain of 15 basis points per annum for each of the two companies.

Textbook: Fundamentals of Futures and Options by Jon C. Hull, 2017

Pearson Publishing, ISBN: 9780134083247