A U.S. FI has assets denominated in Swiss francs (SF) of 75 million and liabilities of 125

Question:

A U.S. FI has assets denominated in Swiss francs (SF) of 75 million and liabilities of 125 million. The spot rate is $0.6667/SF, and one-year futures are available for $0.6579/SF.
a. What is the FI’s net exposure?
b. Is the FI exposed to dollar appreciation or depreciation relative to the SF?
c. If the SF spot rate changes from $0.6667/SF to $0.6897/SF, how will this impact the FI’s currency exposure? Assume no hedging.
d. What is the number of futures contracts necessary to fully hedge the currency risk exposure of the FI? The contract size is SF125,000 per contract.
e. If the SF futures falls from $0.6579/SF to $0.6349/SF, what will be the impact on the FI’s futures position? 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...