Suppose That the Mean Change in the Treasury Bill Yield

question 26

Multiple Choice

Suppose that the mean change in the Treasury bill yield over the next month is 0 basis points with a standard deviation of 0.50. The duration for the Treasury bills is 6 months or 0.50 years and the bank holds $10,000,000 in Treasury bills The Treasury bills have an APR of 7.0 (3.5% for six months) . Based on this information, what is the VaR with a 99% confidence level?

• A) $ 39,731
• B) $ 56,192
• C) $ 79,462
• D) $112,384

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Definitions:

Spinotrapezius

A back muscle that assists in moving the scapula for the lifting of the arm.

Masseter

A facial muscle that plays a major role in the chewing of food by raising the lower jaw towards the upper jaw.

Elevate Mandible

Elevating the mandible refers to the action of lifting or closing the lower jaw, a movement primarily facilitated by the masseter and temporalis muscles.

Mylohyoid

A muscle beneath the chin that plays a role in elevating the floor of the mouth during swallowing.