Question 10e (3 Marks)

Note: Copy the question tables and paste them into the answer panel. Then populate the tables with your calculated values.Alternatively, you could copy and paste(as text , not html)the tables into Excel,populate, then paste into the answer panel or upload the Excel file.

On 1 October, an Australian bank goes short ten 90-day bank-accepted bill futures contracts at 93.94 and posts an initial margin with its broker in the amount of $1,200 per contract. The broker requires a minimum of $1,000 in the account (per contract). If the account drops below $1,000 (per contract), the broker gives the bank a call and the bank is required to 'top up' the margin account to $1,200 (per contract) again. The 90-day bank-accepted bill futures closes at 94.00 on 1 October, at 93.84 on 2 October and at 94.05 on 3 October. Determine the amount of margin the bank has in its account after net settlement each day by filling in the missing cells. For simplicity, assume that the value of one tick is $24.

Short ten 90 - day Bank-accepted bill (BAB) futures.

Initial margin: $1,200 per contract Maintenance margin: $1,000 per contract

1 October:

Entry price	93.94
Closing price	94
Ticks moved
Initial margin (10*1,200)	$12,000
Settlement (____*24*-10)
Ending balance
Margin contribution
Balance after contribution

2 October:

Previous close	94.00
Closing price	93.84
Ticks moved
Margin balance
Settlement (____*24*-10)
Ending balance
Margin contribution
Balance after contribution

3 October:

Previous close	93.84
Closing price	94.05
Ticks moved
Margin balance
Settlement (____*24*-10)
Ending balance
Margin contribution
Balance after contribution

All information provided