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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

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).

ZAR/USD

ZAR/USD

CHF/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

1.5115

1.5115

Describe the currency transaction that Omni should undertake to eliminate currency risk over the 30-day period.

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