If the market value of a bank's total assets is $2,000 million and total liabilities is $1,700 million. The average asset duration of the bank is 5 years and its average liability duration is 9 years. Currently, market interest rates are 5 percent. If interest rates rise by 2 percent, calculate this bank's change in net worth.

Net worth will decrease by $240.75 million.

Net worth will increase by $240.75 million.

Net worth will increase by $100.95 million.

Net worth will not change at all.

Net worth will decrease by $100.95 million.