Question

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


The exchange rate of dollars per Sf is 0.9301, of dollars per British pound is 1.6400, and of dollars per yen is 0.010600.
The following are the foreign currency positions converted to dollars.


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 ($)?
d. What is the expected loss or gain if the Sf exchange rate appreciates by 1 percent? State your answer in Swiss francs (Sf) and in dollars ($).
e. What is the expected loss or gain if the £ exchange rate appreciates by 1 percent? State your answer in British pounds (£) and in dollars ($).
f. What is the expected loss or gain if the ¥ exchange rate appreciates by 2 percent? State your answer in Japanese yen (¥) and in dollars($).


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  • CreatedJanuary 27, 2015
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