A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. Th e manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 bp increase in rates up to 8%, and a 100 bp drop in rates down to 6%. Th e results of the manager’s analysis are presented below:

Interest Rate Assumption Present Value of Liabilities 6% CAD510.1 million 7% CAD455.4 million 8% CAD373.6 million Th e eff ective duration of the pension fund’s liabilities is closest to:

A . 1.49.

B . 14.99.

C . 29.97.