An insurance company has liabilities of £5 million due in 11 years' time and £13 million due in 17 years' time. The assets of the company consist of two zero-coupon bonds, one paying £X million in 7 years' time and the other paying £Y million in 22 years' time. The current interest rate is 7% per annum effective. Find the nominal value of Y (i.e. the amount, IN MILLIONS, that bond Y pays in 22 year's time) such that the first two conditions for Redington's theory of immunisation are satisfied. Express your answer to THREE DECIMAL PLACES.

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.