$$ Question Set $1>$

An FI wants to evaluate the credit risk of a $$2$ million loan with a duration of $6\mathrm{.}3$ years to a AAA borrower. There are currently $500$ publicly traded bonds in that class $($i$.$e$.,$ bonds issued by firms with a BBB rating$).$ The current average level of rates $(R)$ on BBB bonds is $10$ percent. The largest increase in credit risk premiums on BBB loans, the $99$ percent worst$-$case scenario, over the last year was equal to $5\mathrm{.}5$ percent $($i$.$e$.,$ only $6$ bonds out of $500$ had risk premium increases exceeding the $99$ percent worst case$).$ FI charges $0\mathrm{.}91$ percent of the face value of the loan in fees. The cost of funds $($the benchmark ROE$)$ for the FI is $8\%.$

$(1)$ Calculate the RAROC on this loan.

Convert your answer to percentage format. Enter your answer rounded to $2$ decimals, and with$$ut any units. So$,$ for example, if your answer is $3\mathrm{.}4568\%,$ then just enter $3\mathrm{.}46.$