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Use the following information about a U.S. hedge funds foreign currency portfolio to answer questions 22-25.

Assets Liabilities

Italian Government Bond 340 million euros ECB Loan 575 million euro

Swiss Bank Loan 425 million CHF Subordinated Bond 280 million CHF

Euro bought forward 50 million Euro sold forward 50 million

CHF bought forward 15 million CHF sold forward 15 million

The quoted spot exchange rates are:

US$ 1.21 per euro and Swiss franc CHF 0.885 per US dollar

The one month forward exchange rates are:

US$ 1.23 per euro and Swiss franc CHF 0.9 per US dollar

22. Restate all exchange rates in standardized format (in US dollar terms).

a. US$1.21 per euro, US$1.23 per euro, US$1.11 per CHF, US$1.13 per CHF

b. US$1.21 per euro, US$1.23 per euro, CHF 0.885 per US dollar, CHF 0.9 per US dollar

c. 0.826 euros per US dollar, 0.813 euros per US dollar, CHF 0.885 per US dollar, CHF 0.9 per US dollar

d. 0.826 euros per US dollar, 0.813 euros per US dollar, US$1.11 per CHF, US$1.13 per CHF

e. There is no standardized format.

23. What is the hedge funds net currency exposure to the euro?

a. Short the euro at -US$235 million

b. Short the euro at -235 million euro

c. Long the euro at -US$235 million

d. Long the euro at -235 million euro

e. There is no net currency exposure.

24. What is the hedge funds net currency exposure to the Swiss franc (CHF)?

a. Long the franc at US$145 million

b. Long the franc at CHF145 million

c. Short the franc at US$145 million

d. Short the franc at CHF145 million

e. There is no net currency exposure.

25. If both spot exchange rates in one month equal todays forward rate, what is the impact on the hedge funds profitability in one months time?

a. -US$7.6 million

b. -4.7 million euro

c. -2.9 million CHF

d. -US 90 million

e. +US$0.654 million

26. If both spot exchange rates in one month equal todays forward rate, what is the impact on the hedge funds profitability in one months time?