Question: Considering a floating rate note with the following characteristics: 1) face value of$100,000 2) 1year and 3 months to maturity 3) coupon paid semi-annually 4)

Considering a floating rate note with the following characteristics: 


1) face value of$100,000


2) 1year and 3 months to maturity


3) coupon paid semi-annually


4) Reference rate is 6 months SHIBOR


5) The next reset date is in 2 months. 


6) The 6 month SHIBOR rate at the last reset date was 3.5% per annum (assuming 360 days per year)


7) Today’s2-month SHIBOR rate is 3.6% per annum. What is the value of this floating rate note?

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