71 A 2-year floating rate bond pays annual coupons of the 1-year reference rate (set in arrears) and is capped at 5%. Reference rates based on an assumed volatility are given in the binomial interest rate tree below.

Year 0 Year 1

--- 6.0%

4.5% ---

--- 3.0%

The value of the capped floater (as a % of par) is closest to: