Communities Bank has a $17 million par position in a bond with the following characteristics:
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The bond is a 7-year, zero-coupon bond.
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The market value is $12,358,674.
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The bond is trading at a yield to maturity of 4.6%.
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The historical mean change in daily yield is 0.0%.
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The standard deviation of the position is 1%.
The one-day VAR for this bond at the 95% confidence level is closest to:
A. $105,257.
B. $260,654.
C. $339,487.
D. $203,918.
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