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Fundy Bank has a $1 million position in a five-year, zero-coupon bond with a face value of $1,402,552. The bond is trading at a yield

  1. Fundy Bank has a $1 million position in a five-year, zero-coupon bond with a face value of $1,402,552. The bond is trading at a yield to maturity of 7.00 percent.

What is the price volatility if the maximum potential adverse (negative) move in yields is estimated at 35 basis points?

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