The second step in this approach is to calculate the market price sensitivities or
deltas of the portfolio; that is, the amounts by which the portfolio’s value will
change if each of the underlying market prices change by some pre-specified
amount. To do this, movements in each of the market prices which affect the value
of the portfolio are examined separately. Table 3 shows the change in the portfolio
given a 1 per cent move in each of the spot FX rates.