You are a forward dealer in a sterling-based bank. You have taken a position by selling and buying EUR 5 million against Swiss francs, 2 months against 6 months, at a swap rate of −100 points.

The rates are set at 1.5950 and 1.5850. What would be an appropriate hedge to put in place against the spot risk? Current rates are as follows:

EUR/GBP spot: 0.6250 GBP/CHF spot: 2.5600 EUR 2 months (61 days): 4.1%

6 months (183 days): 4.3%

CHF 2 months (61 days): 2.2%

6 months (183 days): 2.4%