Question: A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.75. It sells for $992.61 and yields 7.98%. The

A 4-year note with annual coupon payments has a face value of $1,000 and duration of 3.75. It sells for $992.61 and yields 7.98%. The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 22 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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