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Please and thank you! QUESTION 10 Use the following information for the next 2 questions. City bank has six-year zero coupon bonds with a total

image text in transcribedPlease and thank you!

QUESTION 10 Use the following information for the next 2 questions. City bank has six-year zero coupon bonds with a total par value of $20 million, i.e., they will pay $20 million at maturity. The current market yield on the bonds is 10%. What is the price volatility if the maximum potential adverse move in yields is estimated at 20 basis points? -1.32% 0 -2.00% O -2.18% O -1.09% -1.20%

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