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2. Assume three Zero Coupon Bonds issued at the discount and maturing at 1,2 and 3 years respectively. The nominal value of each of them
2. Assume three Zero Coupon Bonds issued at the discount and maturing at 1,2 and 3 years respectively. The nominal value of each of them is 1,000 euros, and their prices today amount to 101,247%,100,378% and 99,998% respectively. Calculate: a. Compute the zero coupon rates today corresponding to the terms of 1,2 and 3 years. b. Taking into account this information, calculate the Price and the current IRR of a Bond with coupons (annual coupon of 4% ) issued by the Treasury with maturity within 3 years and nominal value of 1,000 euros. 5. Assume that today, March 6th, we buy a FRA (1,7) for 100 million euros at 3% a. What it will happen if at the settlement date the interest rate are at 4.25% ? b. What if at the same date the interest is 2,80% ? In both cases: Who pays to whom (buyer or seller of the FRA)? Which amount of euros and when? 7. Given the following balance sheet of a bank, calculate if it meets the solvency coefficients (Tier 1 and Tier 2). Is the legal minimum threshold met? Discuss alternatives to improve these ratios
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