Exhibit 13.13 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM

Consider two bonds: both pay annual interest.

Bond Y has a coupon of 6 percent per year, the maturity of 5 years, yield to maturity of 6 percent per year, and a face value of $1,000.

Bond X has a coupon of 7 percent per year, the maturity of 10 years, yield to maturity of 4 percent per year, and a face value of $1,000.

Assume that your investment horizon is 5 years and your portfolio consists only of Bond Y and Bond X. Indicate the proportions invested in each bond so that the portfolio is immunized. I assume it is one share per bond at $1,000 face value per bond. It is not given in the question.

a. 100 percent in Bond Y

b. 36 percent in Bond Y and 64 percent in Bond X

c. 76 percent in Bond Y and 24 percent in Bond X

d. 100 percent in Bond X

e. 50 percent in Bond Y and 50 percent in Bond X