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Suppose Bank XYZ holds $100 million in assets with an average duration of 4 years, and it holds $80 million in liabilities with an average
Suppose Bank XYZ holds $100 million in assets with an average duration of 4 years, and it holds $80 million in liabilities with an average duration of 2 years. Further suppose there is a 3% increase in interest rates. What's the percentage decrease in Bank XYZ's net worth relative to the total original asset value?
A.6.9%.
B.5.0%.
C.10%.
D.7.2%.
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