In February, Uswile. Co's treasury manager intends to invest $35 million for the three months until ead of May, it will be used to finance for the Usmile's project in July. However, the treasury manager is concerned about changes in interest rates. Because of the uncertainty, the treasury manager has decided to protect Usmile Co by using derivatives. The treasury manager wishes to take advantage of favorable interest rate movements. Therefore, she is considering options on interest rate futures but not interest rate futures. Usmile. Co can borrow at LIBOR minus 30 basis points. Uswile would like to have a minimum investment rate at 7.2%. The treasury manager has obtained the following information on Eurodollar futures and options. She is ignoring margin requirements. Options on three-month Eurodollar futures, $1,000,000 contract, tick size 0.01% and tick value \$25. Option premiums are in annual \%. The termination of the option trading is on Friday prior to the 3rd Wednesday of the contract month. If the actual LIBOR rate turns out to be 6.70% end of the May, what is the overall net investment returns with the option strategy used by the Usmile Co