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A company is attempting to immunize a schedule of liability cash flows via cash flow matching. The cash flows are as follows: Year Liability (000s)

A company is attempting to immunize a schedule of liability cash flows via cash flow matching. The cash flows are as follows:

Year

Liability (000s)

1

250

2

330

3

455

Starting from the end and working backward, the company decides to match the year 3 cash flow by investing in a 3 year 6.79% annual coupon bond, currently priced at 98.52 per $100 of par value, then a 2 year 6.42% coupon bond priced at 98.44 per $100 of par value, and finally a 1 year 5.19% coupon bond priced at 98.86 per $100 of par value.

What is the market value of the 2 year bond that the company must buy to match the year 2 liability?

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