Suppose That the Mean Change in the Treasury Bill Yield

Suppose that the mean change in the Treasury bill yield over the next month is 0 basis points with a standard deviation of 0.50. The duration for the Treasury bills is 6 months or 0.50 years and the bank holds $10,000,000 in Treasury bills The Treasury bills have an APR of 7.0 (3.5% for six months) . Based on this information, what is the VaR with a 99% confidence level?

A) $ 39,731
B) $ 56,192
C) $ 79,462
D) $112,384