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Companies A and B have been offered the following rates per annum on a $20 million five-year loan: Company A Company B Fixed Rate 5

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Companies A and B have been offered the following rates per annum on a $20 million five-year loan: Company A Company B Fixed Rate 5.0% 6.4% Floating Rate LIBOR+0.1% LIBOR+0.6% Assume that company A first borrows at a fixed-rate whereas company B borrows at a floating-rate from the market at the rates presented above. Then, the two parties arrange a swap (through a financial intermediary) which transforms company A's fixed-rate loan to floating-rate and company B's floating-rate loan to fixed-rate. Design a swap so that the intermediary earns 0.1% per annum, the final cost of borrowing for company A is LIBOR – 0.3% and the final cost of borrowing for company B is 6%.