Consider a floating rate security with a 2-year maturity, semi-annual interest payments based on 6-month LIBOR spot rates with a face value of $100 mil. The security is issued on August 1st, 20X3 and interests are to be paid every Feb 1st until the maturity on August 1st, 20X5.

The current term structure of LIBOR is as follows:

L2013Aug(20X4Feb) = 5.85% (6-month rate)

L2013Aug(20X4Aug) = 6.05% (12-month rate)

L2013Aug(20X5Feb) = 6.24% (18-month rate)

L2013Aug(20X5Aug) = 6.65% (24-month rate)

What should be the market value of the security on November 1st, 20X3? The term structure on November 1st, 20X3 is as follows:

L2013Nov(20X4Feb) = 4.50% (3-month rate)

L2013Nov(20X4Aug) = 5.05% (9-month rate)

L2013Nov(20X5Feb) = 5.95% (15-month rate)

L2013Nov(20X5Aug) = 6.25% (21-month rate)