The following are the foreign currency positions of an FI, expressed in the foreign currency: (LG 9-6)

Currency Assets Liabilities FX Bought FX Sold Swiss franc (Sf) Sf127,500 Sf51,000 Sf10,200 Sf15,300 British pound (£) £38,168 £16,794 £11,450 £15,267 Japanese yen (¥) ¥7,869,885 ¥3,147,954 ¥1,259,181 ¥9,233,998 The exchange rate of dollars for Sf is 1.02, of dollars for British pound is 1.31, and of dollars for yen is 0.00953.

The following are the foreign currency positions converted to dollars:

Currency Assets Liabilities FX Bought FX Sold Swiss franc (Sf) $125,000 $50,000 $10,000 $15,000 British pound (£) $ 50,000 $22,000 $15,000 $20,000 Japanese yen (¥) $ 75,000 $30,000 $12,000 $88,000

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 ($).

AppendixLO1