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))

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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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))

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