5a) An investor holds 1,000 2-year maturity zero coupon bonds with a face value of 1,000. They want to invest in a 1-year zero coupon bond (face value 100) and a 5-year zero coupon bond (face value 100) with the aim of using factor duration to immunize the portfolio against changes in the level and the slope of the term structure. Using the information below, calculate the number of 1-year and 5-year bonds that are held or shorted. The term structure is currently flat and the 2-year bond trades at 941.765 using continuous compounding. Factor sensitivities Level factor Slope factor 1-year maturity 0.7 2-year maturity 0.7 5-year maturity 0.7 -0.2 0.1 0.4 (30 marks)