Export Bank has a trading position in euros and Australian dollars. At the close of business on October 20, the bank had ‚¬20 million and A$30 million. The exchange rates for the most recent six days are given below:

a. What is the foreign exchange (FX) position in dollar equivalents using the FX rates on October 20?
b. What is the sensitivity of each FX position; that is, what is the value of delta for each currency on October 20?
c. What is the daily percentage change in exchange rates for each currency over the five-day period?

d. What is the total risk faced by the bank on each day? What is the worst-case day? What is the best-case day?

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Exchange Rates per U.S. Dollar at the Close of Business 10/20 10/19 10/18 10/17 10/16 10/15 0.8000 0.7970 0.7775 0.7875 0.7950 0.8115 Australian Ss 0.9700 0.9550 0.9800 0.9655 0.9505 0.9460 Euros