A bank has entered into a short forward contract to sell 50,000 ounces of gold at $1,500 per ounce with a remaining life of 5 months. The current price of gold is $1,747 per ounce and the risk-free rate is 1% p.a. (continuously compounded). What is the credit equivalent amount (in $million) of the banks position, i.e., max(V,0)+a*L, under Basel I? Assume the add-on factor is equal to 1.0% of the principal.

a.

-11.9

b.

0

c.

13.4

d.

0.75