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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       ZAR/USD   CHF/USD Maturity Bid Ask   Bid Ask Spot 6.2681 6.2789   1.5282 1.5343 30-day 6.2538 6.2641   1.5226 1.5285 90-day 6.2104 6.2200   1.5058 1.5115     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 9 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.)

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       ZAR/USD   CHF/USD Maturity Bid Ask   Bid Ask Spot 6.2681 6.2789   1.5282 1.5343 30-day 6.2538 6.2641   1.5226 1.5285 90-day 6.2104 6.2200   1.5058 1.5115     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 9 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.)

Essentials Of Investments
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
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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    
  ZAR/USD   CHF/USD
Maturity Bid Ask   Bid Ask
Spot 6.2681 6.2789   1.5282 1.5343
30-day 6.2538 6.2641   1.5226 1.5285
90-day 6.2104 6.2200   1.5058 1.5115
 

 

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 9 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.)
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