Contract 62,500 pounds Problem 3. British Pound Futures, US$/pound (CME) Low Settle Maturity Open High Change High Open Interest March 1.4246 1.4268 1.4214 1.4228 0.0032 1.4700 25,605 June 1.4164 14188 1.4146 1.4162 0.0030 1.4650 809 3. Hedging Transaction Exposure. Dow Chemicals has sold Swiss Franc CHF25 million in chemicals to Ciba-Geigy. Payment from Ciba-Geigy to Dow is due in 180 days. $0.7957/CHF $0.8095/CHF Spot Rate Forward Rate Interest Rate (U.S. Dollars) Interest Rate (Swiss Francs) 5.25% 1.90% Options Exercise Price Premium Call s0.80/CHF s0.80/CHF $0.016/CHF $0.008/CHF Put For future spot exchange rates (i.e. actual rates in 180 days) of $0.90/CHF, $0.80/CHF, and s0.70/CHF, compute the following: a. The unhedged value of the receiivable. b. The hedged value of Dow's receivable using the forward hedge. c. The hedged value of Dow's receivable using a money market hedge. Using the appropriate option contract, the Net Proceeds d