Question

On September 10, 2009, U.S. Treasury Bonds futures for Dec 2009 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 2009 T-Bond Futures Price
9/10/2009	116-20
9/13/2009	114-29
Initial margin	$                         4,995
Maintenance margin	$                         3,700
No of contracts	10

Answer 1

i) The gains(Losses) on position as of September 13 is as follows.

= Spot price at future date - Future price

= $114.29-$120.20

= ($6.09*10)

=($60.9)

ii) The Highest price at which we required to deposit fund in margin account.

The maximum loss at which margin maintained =$4,995-$3,700 =$1,295

(Spot price at future- future price)*10=($1,295)

($114.29-Future price)=($129.5)

Future price = $243.79

iii)

The loss in 13 September is $60.9

Initial margin =$4,995

Less: =$60.9

Closing margin = $4,934.1

Hence, closing margin is higher than maintenance margin so we does no face margin call.