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The next 3 questions (questions 21-23) are based on this information. A mutual fund holds AA-rated, 12- year zero-coupon corporate bonds with a current market value of $260 million. The bonds currently are yielding 5.9% in the over-the-counter market. The modified duration for these bonds is approximately (choose the answer that is closest to your calculated answer): 10.0 12.0 9.0 8.0 11.0 Compute the price volatility of the bonds. Assume that the daily standard deviation of the 12-year zero coupon bond return is 19 basis points and you're concerned with the 1% worst outcome. The price volatility is approximately: 5.5% 4.5% 5.0% 3.5% 4.0% Compute the five-day, 1% VAR of the bonds. The VaR is approximately: $30 Million $20 Million $15 Million $10 Million $25 Million