Question 1 Assume that both AAA Corp and BBB Corp wish to borrow $10 million for four years. AAA Corp wants to borrow at floating rate of interest, and BBB Corp wants to borrow at fixed rate. The two companies have been offered annual rates as shown below: Fixed (p.a.) Floating (p.a.) AAA Corp 3.2% Six-month LIBOR -0.2% BBB Corp 5.3% Six-month LIBOR +0.6% Note: p.a. abbreviates for per annum", and LIBOR stands for the "London Interbank Offered Rate". The swap payment must be LIBOR versus a determined fixed rate. Required: Design a swap that will net a bank, acting as an intermediary, 30 basis points (p.a.) and make AAA Corp receive 70% of the remaining benefits and BBB Corp receive 30%. Assume floating rate payments/receipts are made based on LIBOR rates. Use the following diagram to express your answers. Report interest rates in percentage with two decimal places (2dps) i.e. x.xx%. AAA Corp Bank BBB Corp Total for Question 10 Marks