A three-year floating rate bond pays annual coupons of one-year Libor (set in arrears) and capped at 5.600%. The Libor swap curve is as given in the below table (i.e, 1 year = 2.5%, 2 year =3.0%, 3 year = 3.5%, respectively), and interest rate volatility is 10%. The par value is $100. One Year Forward Rate (%) Maturity (year) Par Rate (%) Spot Rate (%) 1 2.500 2.500 = 2 3.000 3.008 f(0,1) = 2.500 f(1,2) = 3.518 f(2,3) = 4.564 = 3 3.500 3.524 The value of the capped floater is $ (Note: round to the nearest thousandths.)