An insurance company has claim liabilities valued at $100 million with an estimated duration of 11 years. The company currently has a $100 million investment bond investment portfolio with a duration of 5 years. What risk does the company currently face with respect to interest rates? OA OB. principal risk O c. interest rates increasing OD. interest rates decreasing The company would like to immunize its balance sheet from interest rate risk and is considering buying 10-yr Treasury Strips How much of its current portfolio (% or $) should it sell and invest in the Treasury 0-coupons? It should sell $120 million, or equivalently 120% of its portfolio