A company has a position in bonds worth $6 million. The modified duration of the portfolio is 5.2 years. Assume that only parallel shifts in the yield curve can take place and that the standard deviation of the daily yield change (when yield is measured in percent) is 0.09. Using the duration model, the 10-day 99% VaR for the portfolio is closest to

$100,000

$200,000

$112,000

$260,000