Assume that you are managing a pension fund whose obligations resemble a perpetuity with annual payments of $3.2 Million. You want to fully fund and immunize your pension liabilities with two types of bonds:

Bond A with a Duration of 6.45 years

Bond B with a Duration of 11.55 years

Assume the Yield To Maturity for all bonds is 12%. To achieve your portfolio management goals, what is the Market Value of your holdings in Bond A? (Do not round interim calculations)

$8,104,575

$11,590,414

$2,875,817

$10,372,167

None of the above