Given that

[1] the market interest rate is 10% p.a. (in semi-annually compounding form);

[2] the yield curve is assumed to be flat;

[3] a bond fund offers a guaranteed return of 6% p.a. (in semi-annually compounding form) to the bond fund contributors;

[4] the investment horizon of the bond fund is 10 years;

At (t=0), investors contributed $100M to set up the bond fund. The manager of bond fund immediately adopted contingent immunization strategy to manage the $100M bond fund. The manager invested all money in 25-year U.S. Treasury bonds with a face value of $100 per unit and a zero coupon rate. Under the contingent immunization strategy, if the market interest rate increases significantly, the fund manager has to switch to adopt the classical immunization scheme. Calculate the magnitude of immediate interest rate increase at (t=0) which will induce the fund manager to immediately switch to the classical immunization strategy.