Assume a bank has $200 Million of assets with a duration of 2.5 and $190 million of liabilities with a duration of 1.05. If interest rates increase from 5% to 6%, the net worth as a percentage of assets would ____________ by approximately ___________.

a. Increase; 1.4%

b. Decrease; 1.8%

c. Decrease; 1.4%

d. increase; 1.8%