2. The following is the balance sheet of a bank which uses Duration to manage its interest rate risk: ASSETS LIABS. & EQUITY Total Liabilities 240 Total Assets 280 Total Capital 40 Assume the modified duration of the assets is 3.6 and the modified duration of the liabilities is 2.8. a. Calculate the Duration GAP. (Use the modified duration quantities.) b. What interest rate movement is the bank expecting? Explain. C. Calculate the change in Net Worth ( NW ) for a 0.75% drop in yields. d. Recalculate the NW for a 0.50% rise in yields