contingent immunization

I am not able to think properly after having a lond day with BSAS exam. Page 347 in CFA book reading 27. How did they arrive at the market value of the portfolio to be 541.36Mn? Initial portfolio 500Mn, rate available 4.75%, safety rate 3% the manager invests 500Mn in 4.75% 10 year note at par and if YTM changes to 3.75% what happens? can someone explain

How long are they immunizing for?

3 years

I think i found out. I just followed another example used elsewhere and was able to relate. FV: 500Mn, Pmt: 500*(0.0475/2) N:20 I/Y: 3.75/2 PV: 541.32 problem was that I was not giving the right coupon value.