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So I have a 4-year note with annual coupon payments and it has a face value of $1,000 and duration of 3.53. It sells for

So I have a 4-year note with annual coupon payments and it has a face value of $1,000 and duration of 3.53. It sells for $1002.35 and yields 4.04%. The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 32 basis points. What is the value at risk (VAR) at the 95% confidence level?

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