On September 10, 20X9, U.S. Treasury Bonds futures for Dec 20X9 delivery was traded at 116-20...
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On September 10, 20X9, U.S. Treasury Bonds futures for Dec 20X9 delivery was traded at 116-20 at CBOT. On September 13, the futures was traded at 114-29. You opened your position by taking 10 long positions on the T-bond futures on Sept 10. As of Sept 10, the initial margin is $4,995 per contract and the maintenance margin is $3,700. i) Calculate your gains (losses) on your position as of September 13. ii) What is the highest price at which you will be required to deposit funds to your margin account (a margin call)? iii) Would you have faced a margin call on September 13? If so, what is the amount to deposit? Dec 20X9 T-Bond Futures Price 9/10/20X9 116-20 9/13/20X9 Initial margin $ Maintenance margin $ 114-29 4,995 3,700 No of contracts 10 On September 10, 20X9, U.S. Treasury Bonds futures for Dec 20X9 delivery was traded at 116-20 at CBOT. On September 13, the futures was traded at 114-29. You opened your position by taking 10 long positions on the T-bond futures on Sept 10. As of Sept 10, the initial margin is $4,995 per contract and the maintenance margin is $3,700. i) Calculate your gains (losses) on your position as of September 13. ii) What is the highest price at which you will be required to deposit funds to your margin account (a margin call)? iii) Would you have faced a margin call on September 13? If so, what is the amount to deposit? Dec 20X9 T-Bond Futures Price 9/10/20X9 116-20 9/13/20X9 Initial margin $ Maintenance margin $ 114-29 4,995 3,700 No of contracts 10
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OS Treasuy bond fulure for Dec 20x9 delivery 11620 on 13 Sept the fahure Intial Marggin was t... View the full answer
Related Book For
Introduction to Derivatives and Risk Management
ISBN: 978-1305104969
10th edition
Authors: Don M. Chance
Posted Date:
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