A fund manager plans to sell equities denominated in Swiss Francs (CHF) and purchase an equivalent amount of equities denominated in South African rands (ZAR).

She will realize net proceeds of 5 million CHF at the end of 90 days and wants to eliminate the risk that the ZAR will appreciate relative to the CHF during this 90-day period. The following exhibit shows current exchange rates between the ZAR, CHF, and the U.S. dollar (USD).

Currency Exchange Rates

USD/ZAR USD/ZAR USD/CHF USD/CHF 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