A Treasury security carries a fixed 3% annual coupon rate and matures in exactly two years. The Treasury is currently priced at $10,000 par value to yield 3% to maturity. Assume that you can buy the bond and strip the coupons and final principal payment, and sell each of them as a zero coupon security. Given the following zero coupon rates: Maturity 6-month 1-year 18-month 2-year Zero coupon yield 2.2% 2.6% 2.9% 3.6% a) Is this Treasury security fairly priced? How much is the mis-pricing (in dollars)? (9 points) b) Can you try to develop an arbitrage strategy to take advantage of this mis- pricing? (3 points)