Question: A 4-year note with annual coupon payments has a face value of $1,000, duration of 3.658, and yield to maturity of 5.99%. The average monthly

A 4-year note with annual coupon payments has a face value of $1,000, duration of 3.658, and yield to maturity of 5.99%. The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 20.9 basis points. The value at risk (VAR) at the 99% confidence level is estimated to be $16.39. The appropriate critical value is 2.33. What is the note's price, to the nearest $0.01?

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