Question

The following are the foreign currency positions of an FI, expressed in the foreign currency:

Currency	Assets			Liabilities			FX Bought			FX Sold
Swiss franc (Sf)	Sf	132,600		Sf	54,570		Sf	12,750		Sf	17,850
British pound (£)	£	42,500		£	21,500		£	15,500		£	22,000
Japanese yen (¥)	¥	8,200,000		¥	3,500,000		¥	1,600,000		¥	9,100,000

The exchange rate of dollars for Sf is 1.02, of dollars for British pound is 1.31, and of dollars for yen is .00953.

The following are the foreign currency positions converted to dollars:

Currency	Assets				Liabilities				FX Bought				FX Sold
Swiss franc (Sf)		$	130,000			$	53,500			$	12,500			$	17,500
British pound (£)		$	55,675			$	28,165			$	20,305			$	28,820
Japanese yen (¥)		$	78,146			$	33,355			$	15,248			$	86,723

a. What is the FI’s net exposure in Swiss francs stated in Swiss francs (Sf) and in dollars ($)?
b. What is the FI’s net exposure in British pounds stated in British pounds (£) and in dollars ($)?
c. What is the FI’s net exposure in Japanese yen stated in Japanese yen (¥) and in dollars ($)? (Negative amounts should be indicated by a minus sign.)
d. What is the expected loss or gain if the Sf exchange rate appreciates by 1 percent?
e. What is the expected loss or gain if the £ exchange rate appreciates by 1 percent? (Round your answer to the nearest whole dollar amount. (e.g., 32))
f. What is the expected loss or gain if the ¥ exchange rate appreciates by 2 percent? (Negative amount should be indicated by a minus sign. Round your answer to the nearest whole dollar amount. (e.g., 32))
  

Answer 1