Given a Financial Institution whose assets, basically loans, are represented by cash flows to be received from year 1 to year 5

 Therefore the institution expects to receive the following cash flows per year from the outstanding loans (Cash Flow Map) 

Year 1 €200 Million

Year 2 €175 Million

Year 3 €200 Million

Year 4 €150 Million

Year 5 €130 Million

 

Those loans have been given to an specific client segment with a rating that implies that a credit spread of 125 basis points should be added to the Risk Free Zero Coupon Curve

That spread has been computed using Spread = Expected Default Rate (1 - Recovery)

 

The current Risk-Free Zero Coupon Curve is 

1 year Zero Coupon Rate 1%

2 year Zero Coupon Rate 2%

3 year Zero Coupon Rate 2,5%

4 year Zero Coupon Rate 3%

5 year Zero Coupon Rate 3,5%

 

What is the value of the assets if the clients rating has worse so that its default rate makes the spread to go from 125 until 525 basis points?