Omar Yassin is an experienced credit analyst at a fixed-income investment firm. His current assignment is to assess potential purchases of distressed high-yield corporate bonds. One intriguing prospect is a three-year, annual payment floating-rate note paying the one-year benchmark rate plus 2.50%. The floater is rated CCC and is priced at 84 per 100 of par value. Based on various research reports on and prices of the issuer’s credit default swaps, Mr. Yassin believes the probability of default in the next year is about 30%. If the issuer goes into bankruptcy at any time, he expects the recovery rate to be at least 50%; it could be as high as 60% because of some valuable real estate holdings. He further believes that if the issuer is able to survive this next year, the default probability for the remaining two years will be only about 10% for each year. Based on these assumptions about the credit risk parameters and an expectation of 10% volatility for interest rates, should Mr. Yassin recommend purchasing the floating-rate note?