Export Bank has a trading position in euros and Australian dollars. At the close of business on October 20, the bank had €22 million and A$40 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 10/18 0.8800 0.8770 0.8575 0.8675 0.8750 0.8915 1.2900 1.2750 1.3000 1.2855 1.2705 10/20 10/19 10/17 10/16 10/15 Euros Australian $s 1.2660