Suppose an issuer comes to market with a 5 year, quarterly reset FRN that pays LIBOR + 100 bps for a coupon. It prices at par. 1 year later, suppose credit spreads have materially backed up and a fair discount margin for this FRN is now 200 bps. How do you price this? My confusion is that there is a fixed and a floating portion of this coupon. I.e, the FRN only protects you from changes in LIBOR, not changes in the underlying issuer’s spread movement.