Problem 3 (15 points) Companies A and B have been offered the following rates per annum on a $100 million five-year loan: Fixed Rate Floating Rate Company A 4.2% LIBOR+0.1% Company B 5.2% LIBOR+0.4% Company A requires a floating-rate loan; company B requires a fixed-rate loan. Design a swap that that will appear equally attractive to both companies and will net a bank, acting as intermediary, 0.1% per annum. 1 | 1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 1.1 1.2 1.3 1.4 1.5 1.6 1.7 Normal Distribution This Tables provides N(z) = P(X