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

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 liabilities if all interest rates decrease by 1 percent?

A) Approximately $2.003 million.
B) Approximately -$2.355 million.
C) Approximately $2.697 million.
D) Approximately $2.906 million.
E) Approximately $3.211 million.