Foreign Currency Positions Assignment
The following are the foreign currency positions of an FI, expressed in the foreign currency:
| Currency | Assets | Liabilities | FX Bought | FX Sold | ||||||||
| Swiss franc (Sf) | Sf | 132,600 | Sf | 54,570 | Sf | 12,750 | Sf | 17,850 | ||||
| British pound (£) | £ | 42,500 | £ | 21,500 | £ | 15,500 | £ | 22,000 | ||||
| Japanese yen (¥) | ¥ | 8,200,000 | ¥ | 3,500,000 | ¥ | 1,600,000 | ¥ | 9,100,000 | ||||
The exchange rate of dollars for Sf is 1.02, of dollars for British pound is 1.31, and of dollars for yen is .00953.
The following are the foreign currency positions converted to dollars:
| Currency | Assets | Liabilities | FX Bought | FX Sold | ||||||||||||
| Swiss franc (Sf) | $ | 130,000 | $ | 53,500 | $ | 12,500 | $ | 17,500 | ||||||||
| British pound (£) | $ | 55,675 | $ | 28,165 | $ | 20,305 | $ | 28,820 | ||||||||
| Japanese yen (¥) | $ | 78,146 | $ | 33,355 | $ | 15,248 | $ | 86,723 | ||||||||
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 ($)? (Negative amounts should be indicated by a minus sign.)
d. What is the expected loss or gain if the Sf exchange rate appreciates by 1 percent?
e. What is the expected loss or gain if the £ exchange rate appreciates by 1 percent? (Round your answer to the nearest whole dollar amount. (e.g., 32))
f. What is the expected loss or gain if the ¥ exchange rate appreciates by 2 percent? (Negative amount should be indicated by a minus sign. Round your answer to the nearest whole dollar amount. (e.g., 32)) Get Finance homework help today
