The mean change in the daily yields of a 15-year, zero-coupon bond has been five basis points (bp) over the past year with a standard deviation of 15 bp. Use these data and assume that the yield changes are normally distributed.

a. What is the highest yield change expected if a 99 percent confidence limit is required; that is, adverse moves will not occur more than 1 day in 100 days?

b. What is the highest yield change expected if a 95 percent confidence limit is required; adverse moves will not occur more than 1 day in 20 days?