Worst-case loss (mock 2020)

I found this mock a bit too time-consuming and some of the questions/answers confusing.

Like the AM 8.G…
“Will the risk character of the illiquid asset class violate R-Cubed’s asset class risk
threshold of no more than a nominal 25% loss in any year at a 95% confidence level?”

“the answer using Nominal loss X = 7.4% – 2 x 15.3% = –23.2%”

I understand in worst-case we use 2 as parameter, but here it clearly states a 95% confidence level, shouldnt we use 1.64(one-sided) or 1.96(two-sided)? I feel 1.64 more accurate as it specifically indicates loss… (so it’s like var… we use one-sided)…