The change in the value of a large bond portfolio ($ millions) for a 1-basis point spot rate move is as follows: 1-yr +15 10-yr -25 30 yr +45 The factor loadings of the first and second principal components for these spot rates is as follows: PC 1 PO 2 1-yr 0.25 -0.45 10- 0.20 0.35 30-y 0.25 0.60 The standard deviation of the factor scores (basis points) of the first two principal components are as follows: PC1 PC2 18.00 5.00 What is the 1-day 99% VaR of the portfolio? a $293 million Ob $439 million CS377 million Od $398 million Oe$417 million The change in the value of a large bond portfolio ($ millions) for a 1-basis point spot rate move is as follows: 1-yr +15 10-yr -25 30 yr +45 The factor loadings of the first and second principal components for these spot rates is as follows: PC 1 PO 2 1-yr 0.25 -0.45 10- 0.20 0.35 30-y 0.25 0.60 The standard deviation of the factor scores (basis points) of the first two principal components are as follows: PC1 PC2 18.00 5.00 What is the 1-day 99% VaR of the portfolio? a $293 million Ob $439 million CS377 million Od $398 million Oe$417 million