Explanation

To calculate the forward points, we use the interest rate parity formula:

$\text{Forward Points} = \text{Spot Rate} \times \left(\frac{(1 + r_{\text{YYY}} \times \frac{t}{360})}{(1 + r_{\text{XXX}} \times \frac{t}{360})} - 1\right) \times 10,000$

Where:

• Spot Rate = 1.3000
• r_YYY = 4% = 0.04
• r_XXX = 1% = 0.01
• t = 3 months = 90 days

$\text{Forward Points} = 1.3000 \times \left(\frac{(1 + 0.04 \times \frac{90}{360})}{(1 + 0.01 \times \frac{90}{360})} - 1\right) \times 10,000$

$= 1.3000 \times \left(\frac{(1 + 0.01)}{(1 + 0.0025)} - 1\right) \times 10,000$

$= 1.3000 \times \left(\frac{1.01}{1.0025} - 1\right) \times 10,000$

$= 1.3000 \times (1.00748 - 1) \times 10,000$

$= 1.3000 \times 0.00748 \times 10,000$

$= 97.24$

However, since YYY has a higher interest rate than XXX, the forward rate should be at a discount (lower than spot), so we need to reverse the calculation:

$\text{Forward Points} = \text{Spot Rate} \times \left(\frac{(1 + r_{\text{XXX}} \times \frac{t}{360})}{(1 + r_{\text{YYY}} \times \frac{t}{360})} - 1\right) \times 10,000$

$= 1.3000 \times \left(\frac{(1 + 0.01 \times \frac{90}{360})}{(1 + 0.04 \times \frac{90}{360})} - 1\right) \times 10,000$

$= 1.3000 \times \left(\frac{1.0025}{1.01} - 1\right) \times 10,000$

$= 1.3000 \times (0.99257 - 1) \times 10,000$

$= 1.3000 \times (-0.00743) \times 10,000$

$= -96.59$

Taking the absolute value and rounding to the nearest whole number gives approximately 97 points. Among the given options, 95 is the closest to this calculation.

Therefore, the correct answer is D (95).