. Suppose that you hold a portfolio with the following exposures to the interest rates movements (change in portfolio value in $ millions, for a 1 basis point (bp) rate move): 1-year rate: +10, 2-year rate: +4, 3-year rate: -8, 4-year rate: -7, 5-year rate: +2. . . . You conduct a Principal Component analysis (PCA) and find the following: The first factor (Principal Component, PC 1) has the following loadings for the Treasury rates: 1-year rate: 0.32, 2-year rate: 0.35, 3-year rate: 0.36, 4-year rate: 0.35, 5-year rate: 0.36. The second factor (Principal Component, PC 2) has the following loadings for the Treasury rates: 1-year rate: -0.32, 2-year rate: -0.10, 3-year rate: 0.02, 4-year rate: 0.14, 5-year rate: 0.17. The Standard Deviations of the factors are 17.49 for PC1 and 6.05 for PC2. Only two factors (PC1 and PC2) are sufficient in explaining the variations in returns. . Using the information above, calculate the 1-day 99% Value-at-Risk (VaR) of your portfolio. . Suppose that you hold a portfolio with the following exposures to the interest rates movements (change in portfolio value in $ millions, for a 1 basis point (bp) rate move): 1-year rate: +10, 2-year rate: +4, 3-year rate: -8, 4-year rate: -7, 5-year rate: +2. . . . You conduct a Principal Component analysis (PCA) and find the following: The first factor (Principal Component, PC 1) has the following loadings for the Treasury rates: 1-year rate: 0.32, 2-year rate: 0.35, 3-year rate: 0.36, 4-year rate: 0.35, 5-year rate: 0.36. The second factor (Principal Component, PC 2) has the following loadings for the Treasury rates: 1-year rate: -0.32, 2-year rate: -0.10, 3-year rate: 0.02, 4-year rate: 0.14, 5-year rate: 0.17. The Standard Deviations of the factors are 17.49 for PC1 and 6.05 for PC2. Only two factors (PC1 and PC2) are sufficient in explaining the variations in returns. . Using the information above, calculate the 1-day 99% Value-at-Risk (VaR) of your portfolio