1. RBC Bank has an inventory of AAA-rated, 10-year zero-coupon bonds with a face value of $100 million. The MD of these bonds is 12.5 years, the one-day VaR is $2,150,000, and the potential adverse move in yields is 40 bp.

a. What is the market value of the bonds? (5 Marks)

b. What is the yield on the bonds? (2 Marks)