5)

You have the following market data.

• Spot price for the British pound is $1.467 per pound.
• Futures price is $1.029 per pound on a contract that expires in four months.
• U.S. dollar LIBOR for four months is a continously compounded rate of 2.6% per annum.
• British LIBOR for four months is a continuously compounded rate of 3.14% per annum.
• The contract size is 62,500 British pounds.

What is thetotal net profitif you execute the arbitrage strategy with one futures contract?