Given a text T, and several options, according to the question posed in the text T to choose the most appropriate option from the options as the answer, please directly output the most appropriate option, do not need to output the explanation.

Randy Gorver, chief risk officer at Eastern Regional Bank, and John Abell, assistant risk officer, are currently conducting a risk assessment of several of the bank's independent investment functions. These reviews include the bank's fixed-income investment portfolio and an equity fund managed by the bank's trust department. Gorver and Abell are also assessing Eastern Regional's overall risk exposure.Eastern Regional Bank Fixed-Income Investment PortfolioThe bank's proprietary fixed-income portfolio is structured as a barbell portfolio: About half of the portfolio is invested in zero-coupon Treasuries with maturities in the 3- to 5-year range (Portfolio P1), and the remainder is invested in zero-coupon Treasuries with maturities in the 10- to 15-year range (Portfolio P2. Georges Montes, the portfolio manager, has discretion to allocate between 40% and 60% of the assets to each maturity “bucket” He must remain fully invested at all times. Exhibit 1 shows details of this portfolio.
| Exhibit l.US Treasury Barbell Portfolio |
| Maturity |
| Pi | P2 |
| 3-5 Years | 10-15 Years |
| Average duration | 3.30 | 11.07 |
| Average yield to maturity | 1.45% | 2.23% |
| Market value | $50.3 million | $58.7 million |


Trust Department's Equity Funda) Use of Options: The trust department of Eastern Regional Bank manages an equity fund called the Index Plus Fund, with $325 million in assets. This fund's objective is to track the S&P 500 Index price return while producing an income return 1.5 times that of the S&P 500. The bank's chief investment officer (CIO) uses put and call options on S&P 500 stock index futures to adjust the risk exposure of certain client accounts that have an investment in this fund. The portfolio of a 60-year-old widow with a below-average risk tolerance has an investment in this fund, and the CIO has asked his assistant, Janet Ferrell, to propose an options strategy to bring the portfolio's delta to 0.90.b) Value at Risk: The Index Plus Fund has a one-day 95% value at risk (VaR) of $6.5 million. Gorver asks Abell to write a brief summary of the portfolio VaR for the report he is preparing on the fund's risk position.Combined Bank Risk ExposuresThe bank has adopted a new risk policy, which requires forward-looking risk assessments in addition to the measures that look at historical risk characteristics. Management has also become very focused on tail risk since the subprime crisis and is evaluating the bank's capital allocation to certain higher-risk lines of business. Gorver must determine what additional risk metrics to include in his risk reporting to address the new policy. He asks Abell to draft a section of the risk report that will address the risk measures' adequacy for capital allocation decisions.
Which of the following statements regarding the VaR of the Index Plus Fund is correct?
Option A:The expected maximum loss for the portfolio is $6.5 million.
Option B:Five percent of the time, the portfolio can be expected to experience a loss of at least $6.5 million.
Option C:Ninety-five percent of the time, the portfolio can be expected to experience a one-day loss of no more than $6.5 million.

Answer: B