Bank One's stock portfolio has a market value of $20000000. The beta of the portfolio approximates the market portfolio, whose standard deviation (sm) has been estimated at 1.5 per cent. What is DEAR of this portfolio, using adverse rate changes in the 95th percentile?

1. $495,000
2. $699,000
3. $781,505
4. $1,106,854

An FI has a positive net exposure in Japanese yen. If the exchange rate appreciates by 2 per cent, the FI would

1. incur a loss
2. get a gain
3. A and B are incorrect
4. A and B are correct

Bank USA just made a one-year $10 million loan that pays 10 percent interest annually. The loan was funded with a Swiss franc-denominated one-year deposit at an annual rate of 6 percent. The current spot rate is SF1.05/$1. Bank USA is exposed to

1. SF appreciation relative to $
2. SF depreciation relative to $
3. $ appreciation relative to SF
4. $ depreciation relative to SF
5. A and D are correct