6. You are managing a pension fund when the balance sheets of the pension fund consists entirely of bonds as assets of the pension fund.

The present value of the pension benefit payments as liabilities of the pension fund is $100 million, with duration of the liabilities of 15.

State three conditions that should hold for this portfolio to be fully funded and remain fully funded as interest rates change over time, Make 3 precise statements regarding: A) the dollar amount of bonds needed; B) its average duration;

and C) its convexity.

A.

B.

C.