2. Sumitomo Bank's risk manager has estimated that the DEARs of two of its major assets in its trading portfolio, foreign exchange and bonds, are -$150,000 and -$250,000, respectively. What is the total DEAR of Sumitomo's trading portfolio if the correlation among assets is assumed to be 0.80? A) -$100,000 B) -$291,548 C) -$350,000 D) $380,789 E) -$400,000 3. Swiss Bank USA has the following foreign exchange positions in its trading portfolio, reported in dollars: $40 long in Swiss francs (SF), $20 million short in Swiss francs, $35 million long in Deutsche marks (DM) and $20 million short in DM, $30 million long itn French francs (FF) and $50 million short in French francs. What are the net positions for each foreign exchange held in the portfolio? A) $20 million short in SF, $15 milion long in DM and $20 million short in FF B) $20 million short in SF, $15 million long in DM and $20 million long in FF C) S20 million long in SF, $15 million long in DM and $20 million long in FF D) S20 million long in SF, $15 million long in DM and $20 million short in FF E) S20 million long in SF, $15 million short in DM and $20 million short in FF 6 4. City bank has six-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds is 10 percent. What is the daily earnings at risk (DEAR) of this bond portfolio if the potential adverse move in yield is 0.002? A) -$246,110.63 B) -$123,157.95 D) -$149,021.12 E) -$225,789.57