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The followingare the foreign currency positions of an FI

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Question;Question Chapter;14;The;followingare the foreign currency;positions of an FI, expressed in the foreign currency;Currency Assets Liabilities FX Bought FX Sold;Swiss;franc (SF) SF 134, 394 SF 53,758 SF 10, 752 SF 16,127;British;pound (f) f30,488 f13,415 f9,146 f12,195;Japanese;Yen (?) ? 7, 075,472 ? 2,830,189 ? 1,132,075 ? 8,301,887;The exchange rate of dollars per SF is.9301;dollars per British pounds is 1.6400, and dollars per yen is.010600. The;following are the foreign currency positions converted to dollars.;Currency Assets Liabilities FX Bought FX Sold;Swiss;franc (SF) $125,000 $50,000 $10,000 $15,000;British;pound (f);$50,000 $22,001 $14,999 $20,000;Japanese yen (?) $75,000 $30,000 $12,000 $88,000;a. What is the FI?s net exposure to;Swiss francs stated in SF and $s?;Net;exposure in Swiss francs stated in $ = $70,000;b. What is the FI?s net exposure in;British pounds stated in f and $s?;Net;exposure in British poundsstated in $= $23,000.;c. What is the FI?s net exposure in;Japanese yen stated in ? and $s?;Net;exposure in Japanese yenstated in $=;-$31,000;d. What is the expected loss or gain;if the SF exchange rate appreciates by 1 percent? State you answers in SFs and;$s.;If;assets are greater than liabilities, then an appreciation of the foreign;exchange rates will generate a gain = $70,000 x 0.01 = $7,000.;e. What is the expected loss or gain;if the f exchange rate appreciates 1 percent? State your answers in fs;and $s.;Gain;= $23,000 x 0.01 = $230;f. What is the expected loss or gain;if the ? exchange rate appreciates by 2 percent? State your answers in ?s and $s.;Loss;= -$31,000 x 0.02 = -$6,200

 

Paper#40197 | Written in 18-Jul-2015

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