A Bank Has an Average Asset Duration of 5 Years

Multiple Choice

A bank has an average asset duration of 5 years and an average liability duration of 9 years.This bank has total assets of $1,000 million and total liabilities of $850 million.Currently,market interest rates are 5 percent.If interest rates rise by 2 percent (to 7 percent) ,what is this bank's change in net worth?

A) Net worth will decrease by $50.47 million.
B) Net worth will increase by $50.47 million.
C) Net worth will decrease by $240.95 million.
D) Net worth will increase by $240.95 million.
E) Net worth will not change at all.