The following information is from the balance sheet of duration bank. All assets and liabilities are currently priced at par and pay interest annually.

Asset Side

1. $40 million of 2-year loans earning 8% per year

2. $60 million of 3-year loans earning 8% per year

Liability Side

1. $60 million of 3-year CDs paying 7% per year

2. $30 million of 5-year term deposit paying 6% per year

3. Equity of $10 million

What is the market value of assets if interest rates go down by 1%?

a. $ 102.297 million b. $ 101.260 million c. $ 101.423 million d. $ 98.577 million e. $ 97.703 million