Consider the borrowing rates for Parties A and B

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Consider the borrowing rates for Parties A and B.

A wants to finance a $100,000,000 project at a fixed rate. B wants to finance a $100,000,000 project at a floating rate. Both firms want the same maturity, 5 years.

Firm Fixed Rate Floating

A $ 10.3% Prime + 1%

B $ 8.9% Prime + 1/2%

Construct a mutually beneficial interest only swap that makes money for A, B, and the swap bank in equal measure