Currency Arbitrage Use the data below to determine the most profitable arbitrage available. Assume all loans are based on a 30/360 daycount. The expected spot rate at time t is 180 days into the future. Inputs Table 1 Item GBP USD Spot (S0) 1.0000 1.2000 Borrow (it) 2.500% 3.150% Lend (it) 2.200% 3.000% E (St) 1.0000 1.1750 Prem / Disc -2.083% Loan Term (Days) 180.0000 Daycount 360.0000

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Use the data below to determine the most profitable arbitrage available. Assume all loans are based on a 30/360 daycount. The expected spot rate at time t is 180 days into the future