The credit quality of a 3-year, floored floater is estimated to match the Libor swap curve, which is assumed to be the same as the par yield curve. The 1-year, 2-year and 3-year par yields are 5.5%, 6% and 6.5%, respectively. The interest rate volatility is 10%. The floater's coupon pays the one-year Libor annually, set in appears, and is floored at 2%. What is MOST LIKELY the value of this floater?

Explanation: The value of the floater is $100 because the coupon paid is equal to the discount rate. The floor rate of 2% is too low. With interest rate volatility of 10% the coupon rate will never get to 2%.