Question: A 4 - year note with annual coupon payments has a face value of $ 1 , 0 0 0 , duration of 3 .

A 4-year note with annual coupon payments has a face value of $1,000, duration of 3.685, and yield to maturity of 5.11%. The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 20.6 basis points. The value at risk (VAR) at the 99% confidence level is estimated to be $17.91. The appropriate critical value is 2.33. What is the note's price, to the nearest $0.01?

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