International Finance and Accounting Handbook

8 • 13

Interest Rate Risk

Notional Amounts (U.S. $millions equivalents)

FX Risk

Total

1

1

2

3

4

5

7

10

Interest

Spot

FX

Portfolio

Total

Month

Year

Years

Years

Years

Years

Years

Years

DEAR

FX

DEAR

Effect

DEAR

Australia

AUD

Belgium

BEF

Canada

CAD

Denmark

DKK

France

19

–30

11

48

FFR

48

Germany

–19

30

–11

27

DEM

27

Italy

LIR

Japan

YEN

Netherlands

NLG

Spain

ESB

Sweden

SEK

Switzerland

CHF

United Kingdom

GBP

ECU

ECU

United States

10

10

76

USD

76

Total

10

10

151

151

Portfolio effect

(62)

(62)

RISK

DATA

PRINT CLOSE

Total

DEAR

($000s)

89

89

Source:

J.P. Morgan,

RiskMetrics

(New York: 1994).

http://www.jpmorgan.com

,www.riskmetrics.com

.

Exhibit 8.5.

Portfolio

DEAR

Spreadsheet.