Exercise 1: (8 marks) Assume that on day 1, you sell one September U.S. Treasury bond...

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Exercise 1: (8 marks) Assume that on day 1, you sell one September U.S. Treasury bond futures contract at the opening price of 116 15/32 ($116,468.75). The initial margin requirement is $7,000, and the maintenance margin requirement is $5,500. You maintain your position every day through day 15, and then buy back the contract at the opening price on day 16. Assume that you deposit the initial margin and do not withdraw the excess on any given day. Construct a table showing the charges and credits to the margin account. Calculate the total gain/loss after the investment period. The daily prices on the intervening days are as follows: Day 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Settlement Price 117-39 116-68 118-43 115-84 115-59 115-22 117-80 118-84 117-49 115-35 117-64 115-17 117-86 116-13 118-96 116-49 Settlement Price ($) Mark to Market Other entries Account Balance Exercise 1: (8 marks) Assume that on day 1, you sell one September U.S. Treasury bond futures contract at the opening price of 116 15/32 ($116,468.75). The initial margin requirement is $7,000, and the maintenance margin requirement is $5,500. You maintain your position every day through day 15, and then buy back the contract at the opening price on day 16. Assume that you deposit the initial margin and do not withdraw the excess on any given day. Construct a table showing the charges and credits to the margin account. Calculate the total gain/loss after the investment period. The daily prices on the intervening days are as follows: Day 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Settlement Price 117-39 116-68 118-43 115-84 115-59 115-22 117-80 118-84 117-49 115-35 117-64 115-17 117-86 116-13 118-96 116-49 Settlement Price ($) Mark to Market Other entries Account Balance

Answer rating: 100% (QA)

Initial Margin 700000 Maintenance Margin 550000 Purchase Price 1164... View the full answer