The Topknot Insurance Company holds 6-month T-bills in its trading account. The manager of the firms trading desk estimates that the mean change in T-bill yields in the coming month is zero basis points with a standard deviation of 25 basis points. Based on a 95% confidence level, calculate the potential change in the T-bill yield and set the value aside. The duration of a 6-month T-bill is .5 years. Topknot holds $25,000,000 in Treasury bills. The expected T-bill yield in one month is 4% per year or 2% for six months. Calculate the VaR. The maximum loss the firm is likely to sustain if rates rise is:

A. -$60,049

B. -$50,392

C. -$49,423

D. -$28,186