A bank is trading on its own account \($10m\) of corporate bonds and \($5m\) of Treasuries. The daily volatility of corporate bonds is σ₁ =0.9%, and the daily volatility of Treasuries is σ₂ = 0.6%. Calculate the variance of the portfolio and the Basel-recommended VaR if the correlation between the returns of the two assets is as follows:

(a) ρ = 1.0;

(b) ρ = −0.5.