There is a $ 100,000 worth of a 10 year 5% coupon bond issued 6 years ago. Its current yield is 6% and its face value is $ 1,000 per unit. Historical information indicates a mean change in daily yields has a standard deviation of 20 points.

At a 90% confidence level, this investment's Daily VaR is:

a.

$ (1,350)

b.

$ (1,050)

c.

$ (980 )

d.

$ (1,160)

e.

$ (1,270)