MEXICAN PESO (CME)-MXN 500,000; $ per MXN

Sept .07878 .07990 .07860 .07935 +.00550 80,662

Dec .07895 +.00550 176

Est vol 54,548; open int, 81,397, +2,759.

CME Currency Futures

Physical delivery through an approved CLS (Continuous Linked Settlement) Agent Bank on the third Wednesday of the contract month. Delivery dates for the three nearby contracts are Sep 18, 2013, Dec 18, 2013, and Mar 19, 2014

2. Consider the futures prices for the Mexican peso on p. 3. Find the settlement price for the Sept 2013 contract. The current spot price is $0.08020 per MXN. Find the expiration date for the Sept contract (p. 4) and compute the number of days to expiration. Again, lets use the three-month LIBOR (p. 5) for the riskless interest rate. Consider the cost of carry model for currency futures:

F₀ = S₀e^{(rUSrforeign)T}

a. Assume that the riskless interest rate in Mexico is 2%. What should be the Sept 2013 futures price?