State Banks balance sheet is listed below. Market yields and durations (in years) are in parenthesis, and amounts are in millions. a. What is State

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State Bank€™s balance sheet is listed below. Market yields and durations (in years) are in parenthesis, and amounts are in millions.

a. What is State Bank€™s duration gap?
b. Use these duration values to calculate the expected change in the value of the assets and liabilities of State Bank for a predicted increase of 1.5 percent in interest rates.
c. What is the change in equity value forecasted from the duration values for a predicted increase in interest rates of 1.5 percent?

Assets Cash Fed funds (5.05%, 0.02) T-bills (5.25%, 0.22) T-bonds (7.50%, 7.55) Consumer loans (6%, 2.50) C&I loans (5.8%, 6.58) Fixed-rate mortgages (7.85%, 19.50) 1,200 Variable-rate mortgages, Liabilities and Equit Demand deposits MMDAs(4.5%, 0.50) (no minimum balance requirement) 360 CDs (4.396.048) CDs (696, 4.45) Fed funds (590.0.02) Commercial paper (5.05%, 0.45) Subordinated debt S250 S20 150 300 200 900 475 715 1,105 515 400 repriced a quarter (6.3%, 0.25) Premises and equipment 200 S3,545 400 $3945 Tal liabilities and equity $3.945 580 Fixed-rate (7.25%, 6.65) 120 Total labilties Equity Total assets