E. A floating rate issue has the following coupon formula: Three-month LIBOR + 20 basis points with a cap of 1.80% and a floor of 1.50% The coupon rate is reset every quarter. Suppose that at the reset date the three-month LIBOR is as shown below. Compute the coupon rate for the next quarter: 1-year Treasury rate Coupon rate 1st reset date 1.65% 2nd reset date 1.40% 3rd reset date 1.25% 4th reset date 1.10% 5th reset date 1.35% + [5 marks]