1. What is State Banks duration gap?
2. Use these duration values to calculate the expected changed in the value of the assets and liabilities of State Bank for the predicted increase of 0.5 percent in interest rates.
3. What is the change in equity value forecasted from the duration values for the predicted increase in interest rates of 0.5 percent in June 2018?

Immunizing Bank Interest Rate Risk by Duration Matching 4. Bank Duration GAP: State Bank's balance sheet is below. Market yields and durations (in years) are in parenthesis, and amounts are in millions. Calculate Liabilities and Equity Assets $20 Demand Deposits Cash $250 MMDAS (4.5 %, 0.50) Fed Funds (5.05%, 0.02 ) 150 300 T-bills (5.25%, 0.22) |(no minimum balance requirement) 360 200 T-bonds (7.50%, 7.55) CDs (4.3%, 0.48) 715 Consumer loans (6 %, 2.50) CDs(6%, 4.75) 900 1,105 C&I loans (5.8%, 6.58) Fed Fund (5%, 0.02) 475 515 Fixed-rate mortgages (7.85 5.50) Commercial paper (5.05%, 0.45) 400 1200 Variable-rate mortgages, Subordinated debt repriced @ quarter (6.3%, 0.25) 580 Fixed-rate (7.25%, 8.65) 200 Premises and equipment Total Liabilities $3,545 120 Equity 400 Total Liabilities and equity Total assets $3,945 $3,945 Immunizing Bank Interest Rate Risk by Duration Matching 4. Bank Duration GAP: State Bank's balance sheet is below. Market yields and durations (in years) are in parenthesis, and amounts are in millions. Calculate Liabilities and Equity Assets $20 Demand Deposits Cash $250 MMDAS (4.5 %, 0.50) Fed Funds (5.05%, 0.02 ) 150 300 T-bills (5.25%, 0.22) |(no minimum balance requirement) 360 200 T-bonds (7.50%, 7.55) CDs (4.3%, 0.48) 715 Consumer loans (6 %, 2.50) CDs(6%, 4.75) 900 1,105 C&I loans (5.8%, 6.58) Fed Fund (5%, 0.02) 475 515 Fixed-rate mortgages (7.85 5.50) Commercial paper (5.05%, 0.45) 400 1200 Variable-rate mortgages, Subordinated debt repriced @ quarter (6.3%, 0.25) 580 Fixed-rate (7.25%, 8.65) 200 Premises and equipment Total Liabilities $3,545 120 Equity 400 Total Liabilities and equity Total assets $3,945 $3,945