Suppose on a certain day, you notice the following quotes. I CPO spot price jament RM 980 per ton Risk-free rate Janet 6% per year - 4% per year (RM 39.20 per ton) Annual storage cost 3-month CPO futures RM 1,013.63 (90 days to maturity)

a. Is arbitrage possible? (5 marks)

b. If so, how would you arbitrage? (20 marks)

c. Suppose the price at maturity is RM 1,015, what would your profit be if you are willing to invest in 50 tons? (15 marks)