An analyst is considering an investment in a 3-year floating rate note that pays an annual coupon equal to the benchmark yield plus 1.0%. The binomial tree of benchmark rates and the value of the floating rate note is:

t = 0	t = 1	t = 2	t = 3
			VB = 100
		r = 6.44% VB = 100.94
	r = 3.61% VB = 101.88		VB = 100
r = 2.20% VB = 102.84		r = 4.32% VB = 100.96
	r = 2.42% VB = 101.92		VB = 100
		r = 2.89% VB = 100.97
			VB = 100

The expected exposure in the event of a default at the end of the second year is closest to:

A)104.98

B)101.90

C)100.96