72 A 2-year floating rate bond pays annual coupons of the 1-year reference rate (in arrears) and has a floor of 4%. Reference rates based on an assumed volatility are given in the binomial interest rate tree below:

Year 0 Year 1

--- 5.5%

3.5% ---

--- 1.5%

The value of the floored floating rate bond (as a % of par) is closest to: