Suppose a bank holds a portfolio with twenty securities, where each security represents 5% of the value of the portfolio. Using data for the past 125 days, the bank estimated that the daily standard deviations for the returns of these securities are all equal to 1.3%. The returns for these securities are (statistically) independent from each other. The bank determined that the return for holding this portfolio over a one-quarter horizon (63 trading days) is normally distributed. The value of the banks current holding of this portfolio is $250M. The bank also collected the information below on the standard normal distribution.

Standard Normal Distribution (Mean = 0, Std Dev = 1).

P(Z z) z

10.0% -1.28

6.0% -1.56

5.0% -1.65

4.0% -1.75

3.0% -1.88

2.0% -2.05

1.0% -2.33

Determine the 10% VAR (in dollars) for the portfolio over this one-quarter horizon.