**Question Completion:**

Note that the June Settlement Futures rate = $0.10773/Ps from the Exhibit 7.1 (not provided here).

**Answer:**

Amber McClain

a) If spot rate = $0.12000/Ps:

The value of her position at maturity = -$49,000

b) If spot rate = $0.09800/Ps:

The value of her position at maturity = -$88,000

c) If spot rate = $0.11000/Ps:

The value of her position at maturity = -$40,000

**Explanation:**

a) Data and Calculations:

Notional selling price of June futures = 500,000 pesos

Number of contracts = 8

June Settlement Futures rate = $0.10773/Ps

a) If spot rate = $0.12000/Ps:

The value of her position at maturity = -Notional selling price * (Spot rate - Futures rate) * 8

= -500,000 * ($0.12000/Ps - $0.10773/Ps) * 8

= -500,000 * 0.01227 * 8

= -$49,000

b) If spot rate = $0.09800/Ps:

The value of her position at maturity = -Notional selling price * (Spot rate - Futures rate) * 8

= -500,000 * ($0.12000/Ps - $0.09800/Ps) * 8

= -500,000 * 0.022 * 8

= -$88,000

c) If spot rate = $0.11000/Ps:

The value of her position at maturity = -Notional selling price * (Spot rate - Futures rate) * 8

= -500,000 * ($0.12000/Ps - $0.11000/Ps) * 8

= -500,000 * 0.01 * 8

= -$40,000