Contract No Amount NDF Rate Profit/Loss PESO Spot Rate $ Amount in $ Amount in PESO

6 3358000 1944.71 -1528863820 2400 3358000 8059200000

7 3466000 1948.4 -1565245600 2400 3466000 8318400000
8 3415000 1952.49 -1528246650 2400 3415000 8196000000
9 3422000 1956.46 -1517793880 2400 3422000 8212800000
10 3470000 1967.69 -1500115700 2400 3470000 8328000000
11 3474000 1973.45 -1481834700 2400 3474000 8337600000
12 2600000 1978.41 -1096134000 2400 2600000 6240000000
13 2411000 1983.54 -1004085060 2400 2411000 5786400000
14 1680000 1988.2 -691824000 2400 1680000 4032000000
15 2955000 1993.2 -1202094000 2400 2955000 7092000000
16 1364000 1998.21 -548041560 2400 1364000 3273600000
17 1680000 2003.07 -666842400 2400 1680000 4032000000
18 1680000 2007.94 -658660800 2400 1680000 4032000000
19 1364000 2012.99 -527881640 2400 1364000 3273600000
20 1680000 2017.89 -641944800 2400 1680000 4032000000
21 1129000 2022.8 -425858800 2400 1129000 2709600000
Total 39148000 1984.341 -16585467410 2400 39148000 93955200000
Net Profit (LOSS) Implied rate
6530336180 1944.71
6753154400 1948.4
6667753350 1952.49
6695006120 1956.46
6827884300 1967.69
6855765300 1973.45
5143866000 1978.41
4782314940 1983.54
3340176000 1988.2
5889906000 1993.2
2725558440 1998.21
3365157600 2003.07
3373339200 2007.94
2745718360 2012.99
3390055200 2017.89
2283741200 2022.8
77369732590 1976.3393428
Contract No Amount NDF Rate Profit/Loss PESO Amount Received differential coveraSpot Rate $
6 3358000 1944.71 -1528863820 5745688 2387688 2400
7 3466000 1948.4 -1565245600 1957145 -1508855 2400
8 3415000 1952.49 -1528246650 3179725 -235275 2400
9 3422000 1956.46 -1517793880 3416521 -5479 2400
10 3470000 1967.69 -1500115700 3517671 47671 2400
11 3474000 1973.45 -1481834700 3359235 -114765 2400
12 2600000 1978.41 -1096134000 3258085 658085 2400
13 2411000 1983.54 -1004085060 3359235 948235 2400
14 1680000 1988.2 -691824000 5909235 4229235 2400
15 2955000 1993.2 -1202094000 2727048 -227952 2400
16 1364000 1998.21 -548041560 3359235 1995235 2400
17 1680000 2003.07 -666842400 3359235 1679235 2400
18 1680000 2007.94 -658660800 2727048 1047048 2400
19 1364000 2012.99 -527881640 3359235 1995235 2400
20 1680000 2017.89 -641944800 2258591 578591 2400
21 1129000 2022.8 -425858800 930857 -198143 2400
Total 39148000 1984.341 -16585467410 52423789 2400
Amount in PESO Net Profit (LOSS) Implied rate
13789651200 12260787380 2133.9110965
4697148000 3131902400 1600.2403501
7631340000 6103093350 1919.3777292
8199650400 6681856520 1955.7487046
8442410400 6942294700 1973.5486065
8062164000 6580329300 1958.8773337
7819404000 6723270000 2063.5649469
8062164000 7058078940 2101.0971069
14182164000 13490340000 2282.9249471
6544915200 5342821200 1959.1958777
8062164000 7514122440 2236.8552483
8062164000 7395321600 2201.4898035
6544915200 5886254400 2158.471138
8062164000 7534282360 2242.8565909
5420618400 4778673600 2115.7764288
2234056800 1808198000 1942.5088923
125817093600 109231626190 2083.6270761

240
0.183064

Fs= S0*e(rus- raus)*T = 0.6200*e(7%-5%)*2 =0.6

Fs>Ft
Action on Day 0
Borrow 1000AUD@ 5% interest rate pe
Convert 1000 AUD to USD= 1000AUD
Get into a long forward contract of AUD
Where pay 1105.171*0.6300=696.26 at
Invest 620 USD @ 7% interest for 2 yea
Action on the Day of settlem
Received USD from bank which is USD
Pay the 696.26 USD to bank and receive
Pay 1105.171 to the Australian bank and
Net profit is USD 713.17-696.26=USD 1
 00*e(7%-5%)*2 =0.6400 USD

Day 0
% interest rate per annum for 2 years when Fs<FA

USD= 1000AUD*0.6200USD/AUD=620 USD 1612.903

1782.534
contract of AUD worth of 1000*e5%*2=1105.171 AUD 1150.274

.6300=696.26 at maturity 1742.839

interest for 2 years 39.69465

ay of settlement
nk which is USD 713.17
bank and receive 1105.171
stralian bank and close the AUD loan
17-696.26=USD 16.9
when Fs<FA