equivalent amount of equities denominated in South African rands (ZAR). Omni will realize net proceeds of 3 million CHF at the end of 30 days and wants to eliminate the risk that the ZAR will appreciate relative to the CHF during this 30-day period. The following exhibit shows current exchange rates between the ZAR, CHF, and the dollar (USD). Currency Exchange Rates Maturity Spot 30-day 90-day ZAR/USD Bid 6.2693 6.2550 6.2116 Ask 6.2801 6.2653 6.2212 CHF/USD Bid 1.5294 1.5238 1.5070 Ask 1.5361 1.5297 1.5127 Calculate the following: • The CHF/ZAR cross-currency rate Omni would use in valuing the Swiss equity portfolio. (Round your answer to 9 decimal place • The current value of Omni's Swiss equity portfolio in ZAR. (Round your answer to 2 decimal places.) • The annualized forward premium or discount at which the ZAR is trading versus the CHF. (Negative amount should be indicate a minus sign. Round your answer to 2 decimal places.)
equivalent amount of equities denominated in South African rands (ZAR). Omni will realize net proceeds of 3 million CHF at the end of 30 days and wants to eliminate the risk that the ZAR will appreciate relative to the CHF during this 30-day period. The following exhibit shows current exchange rates between the ZAR, CHF, and the dollar (USD). Currency Exchange Rates Maturity Spot 30-day 90-day ZAR/USD Bid 6.2693 6.2550 6.2116 Ask 6.2801 6.2653 6.2212 CHF/USD Bid 1.5294 1.5238 1.5070 Ask 1.5361 1.5297 1.5127 Calculate the following: • The CHF/ZAR cross-currency rate Omni would use in valuing the Swiss equity portfolio. (Round your answer to 9 decimal place • The current value of Omni's Swiss equity portfolio in ZAR. (Round your answer to 2 decimal places.) • The annualized forward premium or discount at which the ZAR is trading versus the CHF. (Negative amount should be indicate a minus sign. Round your answer to 2 decimal places.)
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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Transcribed Image Text:Omni Advisors, an international pension fund manager, plans to sell equities denominated in Swiss francs (CHF) and purchase an
equivalent amount of equities denominated in South African rands (ZAR).
Omni will realize net proceeds of 3 million CHF at the end of 30 days and wants to eliminate the risk that the ZAR will appreciate
relative to the CHF during this 30-day period. The following exhibit shows current exchange rates between the ZAR, CHF, and the U.S.
dollar (USD).
Currency Exchange Rates
Maturity
Bid
6.2693
Spot
6.2550
30-day
90-day
6.2116
ZAR/USD
Ask
6.2801
6.2653
6.2212
CHF/USD
Bid
1.5294
1.5238
1.5070
Cross-currency rate
Current value of Omni's Swiss equity portfolio in ZAR
Annualized forward discount
Ask
1.5361
1.5297
1.5127
Calculate the following:
• The CHF/ZAR cross-currency rate Omni would use in valuing the Swiss equity portfolio. (Round your answer to 9 decimal places.)
• The current value of Omni's Swiss equity portfolio in ZAR. (Round your answer to 2 decimal places.)
• The annualized forward premium or discount at which the ZAR is trading versus the CHF. (Negative amount should be indicated by
a minus sign. Round your answer to 2 decimal places.)
> Answer is complete but not entirely correct.
0.244556355✔
12.27 x
-9.07
%
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