You are able to borrow on a floating basis at a rate of Libor + 100 bps for two years. In addition, you can contract on a 6 × 12 FRA in which you can exchange Libor for a fixed rate of 3%. Similarly, you can contract on a 12 × 18 FRA at 3.5% and the 18 × 24 FRA at 4%. Assume the money market convention of Actual/360. The first four semiannual periods contain 181, 184, 182, and 183 days, respectively. The current six-month Libor rate is 2%. Given no credit arbitrage in the market, what should be the fair value of your borrowing at a fixed rate for two years? Assume interest payments are made in equal amounts for each half year.