Explanation

This scenario describes a cash-and-carry arbitrage strategy:

• Buy asset using borrowed funds at risk-free rate (r)
• Sell forward contract on the same asset

At expiration:

• The trader delivers the asset to fulfill the forward contract
• Receives the forward price (F)
• Pays back the loan amount: S₀ × (1 + r)^T

According to no-arbitrage principle: F = S₀ × (1 + r)^T

Therefore, at expiration: Value = F - S₀ × (1 + r)^T = 0

The position should have zero value at expiration to prevent arbitrage opportunities. If it were positive or negative, traders could exploit risk-free profits.