Assumptions	Value	Yen Equivalent
Arbitrage Funds available	$1,000,000	88,000,000
Spot exchange rate (/$)	88.00
Expected spot rate in 90 days (/$)	82.00
U.S. dollar 3-month interest rate	4.800%
Japanese yen 3-month interest rate	2.500%

3-month interest rates are quoted in APR format.

What will be the gain or loss for this yen carry trade?

A)

-5.166 M

B)

-5.266 M

C)

-5.366 M

D)

-5.466 M

E) -5.566 M

If yen depreciated against USD to 91/$, what will be the gain or loss for this yen carry trade?

A)

2.162 M

B)

2.532 M

C)

3.542 M

D)

3.862 M

E)

4.442 M