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

Solution- foor mula: 3 pet czpOsure Asset- Liabillties+ fxbought - Fxsat ahat is the FIS net capoSure in Soss fomes slated iz Steis tranes (Sfand in aolans ( The Fz's neb ezposure in Swis franes in stoiss fincacs(s 17, 850 32600 64570 t 12, 750 - Cd, 930 FI'S net exposure in Swi foomcs The staled in chtlard 53, 600 +l2, 500-17500 130,000 - 7,500 thab i the fas net caposuare in Bntish pounds aded doltas( Buitish Paunds e and n anitish The F net eaposuve in British Pounds statcd in punad 14,5,00 42,500 -a,5oo 15, 500 - 0a, o0o The Fs net exposure in gunid ish Pounds tated in dotars 28, 820 28,165 2 0, 305 55,676 _ 18, 995 Japanese yet slated in 7 The FS net ezjasure m 8,200, 000 3, 500, 000t,600,000-9 to0, 000 yen Japanese 2, 800, 000 Fa's net erpasuwre yen stated im dollars() 86, 783 33,355 /5,948 78,146 - 26, 684

Gain Loss) Net ezposure APPecialion Gainhoss) statcd in $7,500 x 1/ 715 (Gain). GainlLoss) stoted in 18,995* 189(Gain) stated in Gainoss -수 aG,684 x a '1. 533 (The Negative gn signies a loss)