Problem 7 Company A, a British manufacturer, wishes to borrow U.S. dollars at a fixed rate of interest. Company B, a U.S. multinational, wishes to borrow sterling at a fixed rate of interest. They have been quoted the following rates per annum (adjusted for differential tax effects): Company A Company B Sterling 8.4% 6.8% US Dollars 5.8% 4.6% Design a swap that will net a bank, acting as intermediary, 10 basis points per annum and that will produce a gain of 25 basis points per annum for each of the two companies