Spot price = 115.142 Yen/$ Note that the quotes are in $/Yen multiplied by 10,000,000. One contract is for 12.5 million Yen.

JY CME JAPANESE YEN FUTURES

SETTLEMENT PRICES AS OF 02/09/16 03:20 PM (CST)

JY CME JAPANESE YEN FUTURES

SETTLEMENT PRICES AS OF 02/09/16 03:20 PM (CST)

MTH/ ---- DAILY --- PT ----- PRIOR DAY ------

STRIKE OPEN HIGH LOW LAST SETT CHGE EST.VOL SETT VOL INT

MAR16 86640 87645 86480 86980 87025 +250 271295 86775 226465 234707

JUN16 86885 87920B 86755A 87250A 87300 +270 393 87030 293 1604

SEP16 87890 88165B 87080A 87545A 87625 +255 6 87370 10 154

DEC16 87630 88485B 87450A 87900A 87985 +265 1 87720 2 52

MAR17 ---- 88755B 87945A 88305A 88360 +265 88095 18

JUN17 ---- 88845B 88450A 88755A 88835 +270 88565

SEP17 ---- ---- ---- ---- 89285 +280 89005

DEC17 ---- ---- ---- ---- 89735 +280 89455

MAR18 ---- ---- ---- ---- 90235 +285 89950

JUN18 ---- ---- ---- ---- 90825 +300 90525

SEP18 ---- ---- ---- ---- 91420 +305 91115

DEC18 ---- ---- ---- ---- 92025 +320 91705

MAR19 ---- ---- ---- ---- 92635 +325 92310

JUN19 ---- ---- ---- ---- 93255 +335 92920

SEP19 ---- ---- ---- ---- 93885 +350 93535

DEC19 ---- ---- ---- ---- 94520 +355 94165

MAR20 ---- ---- ---- ---- 95165 +370 94795

JUN20 ---- ---- ---- ---- 95820 +380 95440

SEP20 ---- ---- ---- ---- 96485 +395 96090

DEC20 ---- ---- ---- ---- 97160 +405 96755

TOTAL EST.VOL VOLUME OPEN INT

TOTAL 271695 226770 236535

(a)Suppose you are an importer of toys from Japan. You expect to import Yen 100,000,000 worth of toys in June 2016. How many contracts of the June Yen/$ futures should be purchased to completely hedge your Yen exposure?

(b)On the day of the June 2016 futures expiration, the spot exchange rate is 110Yen/$. What is the profit/loss on the futures position?

(c)What is the 7-month Japanese risk-free rate implied by the SEP16 futures settlement price? Assume that the 7-month risk free rate in the US is 0.39% per annum (continuously compounded).