A floating-rate note with a margin equal to the required credit spread is approximately worth par after each reset date. Here, however, the first coupon is fixed at 3.20%, while the current required floating rate is based on the new reference rate:

$$\text{Current required annual rate} = 0.50\% + 2.00\% = 2.50\%$$

So the note is worth slightly above par because the first coupon of 3.20% is higher than the current required rate of 2.50%.

Using semiannual compounding:

• Discount rate per half-year = $2.50\%/2 = 1.25\%$
• First coupon amount = $3.20\%/2 \times 100 = 1.60$
• Subsequent coupons are approximately $2.50\%/2 \times 100 = 1.25$ each
• Time to first coupon = 0.25 years = 0.5 semiannual periods

Discounting all remaining cash flows gives a value of about:

$$P \approx 100.9$$

So the nearest answer is D. $100.97.

If one quoted a clean price, it would be close to par; the small premium comes from the above-market first coupon.