Question $10$

$1$ pts

An FI wants to evaluate the credit risk of a $$5$ million loan with a duration of $4\mathrm{.}92$ years to a AAA borrower. There are currently $500$ publicly traded bonds in that class $($i$.$e$.,$ bonds issued by firms with a AAA rating$).$ The current average level of rates $($R$)$ on AAA bonds is $8$ percent. The largest increase in credit risk premiums on AAA loans, the $99$ percent worst$-$case scenario, over the last year was equal to $1\mathrm{.}2$ percent $($i$.$e$.,$ only $6$ bonds out of $500$ had risk premium increases exceeding the $99$ percent worst case$).$ The projected $($one$-$year$)$ spread on the loan is $0\mathrm{.}3$ percent and the $FI$ charges $0\mathrm{.}28$ percent of the face value of the loan in fees.

Calculate the RAROC on this loan.

Convert your answer to percentage format. Enter your answer rounded to $2$ decimals, and without any units. So$,$ for example, if your answer is $3\mathrm{.}4568\%,$ then just enter $3\mathrm{.}46.$