Multiple Liability Immunization

For mulitple liability immunization, the CFAI mentions that

  1. The PV of assets must equal PV of liabilties

  2. The duration of assets and liabilities must match

  3. The distribution of durations for the assets must have a wider range than the liabilities

I do not understand point 3. For example if we used a zero coupon bond, this criterion would not be met - can anyone please shed some light?


wider range means at least equal to or greater than.

if you are using zeros completely - then you need to have them exactly equal.

if they are coupon paying bonds - your assets must have duration > duration of the liabilities. This will allow for a interest rate shift that affects increases your liability, decreases your asset - inspite of that you are still able to (defease) meet the liability because you have a future principal payment.

This is not worded right.