Suppose you are holding $3,000,000 market value in a zero coupon bond with 30 years to maturity. The annual yield on the bond is 12.45%. Suppose we define a bad yield as a yield for which there is only a 95% chance that any yield fluctuation will exceed the bad yield. Suppose that over the last year the average daily yield fluctuation for the bond was 118 basis points. The standard deviation for the average daily yield fluctuation for the zero coupon 30 year bond was 90 basis points. Determine the yield change that corresponds to a 95% probability that no yield fluctuations will exceed this value.

0.01962

0.0199

0.02665

0.02847