Finance

assignment

留学金融作业代写 The file “BOND.xlsx” shows the total bond portfolio of a bank and the yield curves for the t-bills for the last 20 years.

The file “BOND.xlsx” shows the total bond portfolio of a bank and the yield curves for the t-bills for the last 20 years. We will focus in this exercise only on the corporate and sovereign bond market. The bank has been categorized by the OSFI so that it must keep a capital adequacy requirement of 11.5% of its Risk-Weighted Assets. With this information, and assuming the bank does not have any other operations:

a. (20%)  留学金融作业代写

Using the yield curve at the purchasing date of the bond, calculate the spread the bank used to obtain the bond price.

b. (10%)   留学金融作业代写

Use the previously calculated spread, the yield curve at August 26th, 2020, and the information of the bonds to price them, so they reflect the current market price for the purposes of capital requirement calculations. Compare the original price with August 26th price. What can you say about the risk-free rates and bond prices?

c. (20%)  留学金融作业代写

Calculate the total provisions and capital requirement each operation brings using the prices you just calculated. Report the total provision for the business line and the total capital requirement for that business line. For LGD in corporate, assume the standard Basel weights (i.e. use foundational approach). The rating table for the bank given its spread quartile is as follows: