A three-year, credit-linked note (CLN) with underlying Company Z has a LIBOR+60 bps semi-annual coupon. The face value of the CLN is USD 100. LIBOR is 5% for all maturities. The current three-year credit default swap spread for Company Z is 90 bps. The fair value of the CLN is closest to

a. USD 100.00
b. USD 111.05
c. USD 101.65
d. USD 99.19

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