CALCULATING AND USING DURATION GAP State Bank's balance sheet is listed below. Market yields and durations (in years) are in parentheses, and amounts are in millions. Assets Cash Fed funds (1.05%, 0.02) T-bills (5.25%, 0.22) Annds (7.50%, 7.55) 20 150 300 200 268 Liabilities and Equity Demand deposits MMDAs (2.5%, 0.50) (no minimum balance requirement) CDs (4.3%, 0.48) Liabilities and Equity $ 250 360 715 Part Two Measuring Risk Assets Consumer loans (6%, 2.50) Commercial and industrial (C&I) loans (5.8%, 6.58) Fixed-rate mortgages (7.85%, 19.50) Variable-rate mortgages, repriced @ quarter (6.3%, 0.25) Premises and equipment Total assets a. What is State Bank's duration gap? 900 475 1 ,200 580 120 $3,945 c. CDs (6%, 4.45) Fed funds (1%, 0.02) Commercial paper (3%, 0.45) Subordinated debt: Fixed rate (7.25%, 6.65) Total liabilities Equity Total liabilities and equity 1,105 515 400 200 $3,545 400 $3,945 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. What is the change in equity value forecasted from the duration values for a predicted increase in interest rates of 1.5 percent?