Question: A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.66. It sells for $999.29 and yields 4.99%. The

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.66. It sells for $999.29 and yields 4.99%. The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 32 basis points. What is the value at risk (VAR) at the 95% confidence level, to the nearest penny? The appropriate critical value is 1.65. (Record the answer as a positive value.)

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