SunTrust bank has six-year zero coupon bonds with a total face value of $35.43122 million. The current market yield on the bonds is 10 percent. Assume yield changes are normally distributed. During the last year the mean change in daily yields on 6-year zero coupon bond was 10 basis points, and standard deviation was 20 basis points. If we desire no more than 5% chance that yield change will be greater than the maximum adverse yield. Whats the daily earning at risk (DEAR) of these bonds?

What is the market value of the zero-coupon bond?

What is the maximum adverse daily yield move given that we desire no more than a 5 percent chance that yield changes will be greater than this maximum?

Whats the daily earning at risk (DEAR) of these bonds?