Duration Bank Has the Following Assets and Liabilities as of Year-End

Multiple Choice

Duration Bank has the following assets and liabilities as of year-end. All assets and liabilities are currently priced at par and pay interest annually. What is the change in the value of its assets if all interest rates decrease by 1 percent?

A) Approximately $1.613 million.
B) Approximately $2.297 million.
C) Approximately -$1.937 million.
D) Approximately $2.209 million.
E) Approximately $2.524 million.