1. Three semi-annual coupon bonds as given in the table. Bond Coupon Rate Maturity Duration Convexity X 2.00% 3 2.7 6 Y 5.00% 7 5.1 40 Z 4.00% 20 12.0 180 A pension plan has plan liabilities worth $90M and currently Dur 11 and Conv= 100. The assets are currently worth $100M and are invested 50/50 into bonds X and Y. In order to protect against changes in interest rates, recommend a change in the portfolio allocation and explain your recommendation