Ford and Fiat companies can borrow for a five$-$year term at the following rates:

Ford Fiat

Fixed$-$rate borrowing cost $10\%12\mathrm{.}0\%$

Floating$-$rate borrowing cost LIBOR LIBOR $+1\%$

a$.$ Calculate the quality spread differential $($QSD$).$

b$.$ Assume that Citibank is involved as swap bank in this transaction.

Develop and design an interest rate swap in which both Ford and Fiat companies have savings in their borrowing costs and that Citibank has a net gain.