DuPont wants to borrow in Mexican pesos (MXN), and Cemex wants to borrow in U.S. dollars (USD). DuPont can borrow in USD at 6.3% or in MXN at 7.2%. Cemex can borrow in USD at 7.3% or in MXN at 6.8%. Design a swap that benefits both companies equally, allows the bank to assume the exchange rate risk from the original loans, and nets the bank 40 bps. Under the terms of the swap, what interest rate will CEMEX pay to the bank?

A. 6.3% MXN

B. 6.7% MXN

C. 6.8% MXN

D. 7.2% MXN

E. 6.8% USD