page 487 12. Suppose that an FI has a 1.6 million long trading position in spot euros at the close of business on a particular day. Looking back at the daily percentage changes in the exchange rate of the /$ for the past year, the volatility or standard deviation () of daily percentage changes in the /$ spot exchange rate was 62.5 basis points (bp). Calculate the FI's daily earnings at risk from this position (i.e., adverse moves in the FX markets with respect to the value of the euro against the dollar will not occur more than 1 percent of the time, or 1 day in every 100 days) if the spot exchange rate is 0.80/$1, or $1.25/, at the daily close.