A firm has liabilities of $374.11 at the end of the year for each of the next three years. The firm funds the liabilities by investing a total of $1,000 now in the following zero-coupon bonds redeemable at par:

1-year at par value $100, with annual effective yield of 6%

3-year at par value $100, with annual effective yield of 6%

The duration of the assets is equal to the duration of the liabilities. Find the dollar amount invested in the one-year bond.

(A) 481

(B) 490

(C) 500

(D) 510

(E) 519