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You are the CFO of a large pension fund and you're thinking about interest rate management. The table shows all payments you expect to make

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You are the CFO of a large pension fund and you're thinking about interest rate management. The table shows all payments you expect to make to retirees (in millions of dollars) over the following three years. (Use 2 decimal places.) Year 1. Payments $40 $60 $80 a. The interest rate (at all maturities) is 4%. What is the present value of the pension liabilities? b. What is the duration of the liabilities? c. Your task is to form a portfolio of 1-year and 5-year zero coupon bonds that will immunize the pension fund against changes in interest rates. What is this portfolio? (In other words, how much $ are you going to put in each of these bond types?)

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