An investor currently holds $32.88M of fixed rate coroprate bonds with a coupon rate of 7.76% (paid semi-annually).

An investor currently holds $32.88M of fixed rate coroprate bonds with a coupon rate of 7.76% (paid semi-annually). The investor takes the fixed-payer position in an interest rate swap with a swap rate of 3.85%/LIBOR, with notional principal of $32.88M.

The synthetic rate achieved with the net investment is LIBOR + ______________

(Your answer should fill in the blank above. Record your answer in percentage to two decimal places).

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Rate on investment=7.76%-3.85%+LIBOR=LIBOR+3.91%