Explanation

To calculate the mark-to-market value of the forward position, we need to:

1. Calculate the current forward rate using the spot rate and forward points
2. Discount the difference between the current forward rate and the original forward rate

Step 1: Calculate current forward rate

• Spot rate (bid/ask): 1.1483 / 1.1484 AUD/SGD
• 3-month points: 25 / 30
• Since the investor is long SGD (bought SGD forward), we use the ask side
• Current forward rate = Spot ask + Forward points ask = 1.1484 + 0.0030 = 1.1514 AUD/SGD

Step 2: Calculate the difference in forward rates

• Original forward rate: 1.1465 AUD/SGD
• Current forward rate: 1.1514 AUD/SGD
• Difference per SGD: 1.1514 - 1.1465 = 0.0049 AUD/SGD
• Total difference for 1 million SGD: 1,000,000 × 0.0049 = AUD 4,900

Step 3: Discount to present value

• Since we're 3 months from settlement, we need to discount using the appropriate interest rate
• The investor is long SGD, so we use SGD interest rate (3.50% annualized)
• Discount factor = 1 / (1 + (0.035 × 90/360)) = 1 / (1 + 0.00875) = 1 / 1.00875 = 0.9913

Step 4: Calculate MTM value

• MTM = AUD 4,900 × 0.9913 = AUD 4,857.37

The closest answer is AUD 4,845 (Option C).