A US company has borrowings from Switzerland. The loan repayment of CHF 50 million is due. It is important to minimise the impact on the outflow….

A US company has borrowings from Switzerland.  The loan repayment of CHF 50 million is due. It is important to minimise the impact on the outflow. Devise a suitable strategy. Evaluate the chosen strategy against suitable alternatives for a range of expected future spot rates. 

Spot rate = 0.9888 CHF/USD

3 month forward rate = 3 month future rate = 0.9796 CHF/USD 

Option Premia:

Strike Price  Call Option   Put Option

0.9850         0.0108          0.0146

0.9900         0.0087          0.0175 

Each option contract has a size of 125,000 Swiss Francs.