Problem 2: Price risk

Consider the example on slides 15-20 of Lecture 1. Investor bought a 2 year US Treasury bond with the annual 2% coupon and the $1,000 principal issued on January 24, 2011 on the day of the issuance and sold it on January 24, 2012. In the example, the investor actually made a profit of $1018.52+$20-$1027.23=$11.29. However, in general the profits from such a strategy are not guaranteed as when buying the bond on January 24, 2011, investors don't know what the interest rates on January 24, 2012 will be, and if interest rates fluctuate in an adverse direction they might actually suffer losses. Give an example of what 1 year zero coupon yield on January 24, 2012 should have been that the investor would actually suffer losses from buying the bond as above on January 24, 2011 and selling it on January 24, 2012?