Suppose Bank of America holds assets denominated in yen of 150 million and liabilities denominated in yen of 90 million.They also have yen purchases of 70 million and yen sales of 50 million.What is Bank of America's net exposure to currency risk?

Question

Quizplus · Accepted Answer

Bank of America's net exposure to currency risk can be calculated as follows:
Net yen assets = yen assets - yen liabilities
Net yen assets = 150 million - 90 million = 60 million yen
Net yen exposure = yen purchases - yen sales
Net yen exposure = 70 million - 50 million = 20 million yen
Thus, the net exposure to currency risk is +80 million yen.

Suppose Bank of America Holds Assets Denominated in Yen of 150