The World Ecosystem Consortium (WEC) pension trust holds $100 million in long-term U.S. Treasury bonds. To reduce

Question:

The World Ecosystem Consortium (WEC) pension trust holds $100 million in long-term U.S. Treasury bonds. To reduce interest rate risk, you, as an independent advisor to the WEC, suggest that the trust diversify by investing $30 million in German government bonds (bunds) for six months. You point out that a fixed-currency futures hedge (shorting a fixed number of contracts) could be used by WEC's pension trust to protect the $30 million in bunds against losses over the six months.
Explain how a fixed-currency futures hedge could be constructed for the WEC trust by shorting currency futures contracts to protect against losses. Describe one characteristic of this hedge that WEC's investment committee might deem undesirable.
Exchange Rate
The value of one currency for the purpose of conversion to another. Exchange Rate means on any day, for purposes of determining the Dollar Equivalent of any currency other than Dollars, the rate at which such currency may be exchanged into Dollars...