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

The exchange rate of dollars per SFrs is 1.0760, of dollars per British pounds is 1.6400, and of dollars per yen is 0.0081060.

The following are the foreign currency positions converted to dollars

a. What is the FI’s net exposure in Swiss francs stated in SFr and in $s?

b. What is the FI’s net exposure in British pounds stated in £ and in $s?

c. What is the FI’s net exposure in Japanese yen stated in ¥s and in $s?

d. What is the expected loss or gain if the SF exchange rate appreciates by 1 percent?     State you answer in SFs and $s.

e.    What is the expected loss or gain if the £ exchange rate appreciates by 1 percent? State you answer in £s and $s.

f.    What is the expected loss or gain if the ¥ exchange rate appreciates by 2 percent? State you answer in ¥s and $s.

Transcribed Image Text:

Assets Liabilities FX Bought SF1116,171 SFr46,468 £30,488 FX Sold SFr13,941 £12,195 ¥9,252,406 ¥3,700,962 ¥1,480,385 ¥10,856,156 Currency Swiss franc (SFr) British pound (£) Japanese yen (¥) SFF9,294 £9,146 £13,415 Assets Liabilities FX Bought $125,000 FX Sold $15,000 $20,000 Currency Swiss franc (SF) British pound (£) Japanese yen (#) $50,000 $50,000 $75,000 $14,999 $12,000 $30,000 $88,000