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Calculate the 1-day 95% VaR for each of the following individual positions and explain your results. You are not required to calculate the portfolio VaR.

Calculate the 1-day 95% VaR for each of the following individual positions and explain your results. You are not required to calculate the portfolio VaR.

$5 million (nominal) annual bond with modified duration of 2.34 and trading at a price of $97.5 per $100 par; the 1-day volatility of market interest rates is 20 basis points.

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