B11. [3 marks] A floating rate note pays interest every quarter. The coupon rate is the 3-month LIBOR. The next coupon payment is one month from today. The par value is $1,000,000. You have been asked to value this security today and have been provided with the following information on the recent history of LIBOR for various terms. Date 1-month LIBOR 2-month LIBOR 3-month LIBOR (% pa) (% pa) (% pa) Today 1.001 1.073 1.203 One month ago 1.026 1.034 1.055 Two months ago 1.003 1.163 1.275 Three months ago 1.043 1.110 1.285 Four months ago 1.032 1.183 1.251 Five months ago 1.026 1.049 1.229 Rounded to the nearest whole dollar, what is the value of the security today? B11. [3 marks] A floating rate note pays interest every quarter. The coupon rate is the 3-month LIBOR. The next coupon payment is one month from today. The par value is $1,000,000. You have been asked to value this security today and have been provided with the following information on the recent history of LIBOR for various terms. Date 1-month LIBOR 2-month LIBOR 3-month LIBOR (% pa) (% pa) (% pa) Today 1.001 1.073 1.203 One month ago 1.026 1.034 1.055 Two months ago 1.003 1.163 1.275 Three months ago 1.043 1.110 1.285 Four months ago 1.032 1.183 1.251 Five months ago 1.026 1.049 1.229 Rounded to the nearest whole dollar, what is the value of the security today