A three-year credit-linked note cln with underlying company

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

Reference no: EM13569047

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