FI holds an inventory of AAA-rated, 10-year zero-coupon bonds with a face value of $340 million. The current yield of these bonds is 6.8 percent in the over-the-counter market. Compute the DEAR and explain what it measures if the potential adverse move in yields is 35 basis points. What is the implied standard deviation of daily yield changes if a confidence limit is 90 percent and a mean historical change in yields is 0%?