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

1	Position as of September 13.
	S.No.	Date	Contract	No of position	Position	Trade price	Total Price
	1	10-09-2019	10	10	Long	120	12000
	2	13-09-2019	10	10	Short	114	11400
		Loss					600
2 a	Highest Price at which required to deposit funds
	Maintenance Margin					A	3700
	Time os mainteance Margin					B	4
	Highest level which can meet current Maintenance Margin					C=A X B	14800
	Price					D=C/100	148
2 b	Lowest price on which money need to be deposit
		Initial Margin					4995
		Maintainance Margin					3700
		Difference				A	1295
		No of position				B	10
		No of contract				c	10
		Total exposure				D=B X C	100
		Fall in price would not attract margin call				E=A/D	12.95
		Lowest price on which money need to be deposit				(120-12.95)	107.05
3	As prices are between the range hence no margin call be attracted.
Assumption
1)	Contract X position is total exposure.
2)	Maintenance Margin is required at 25%.
3)	Price quotes has been given as "Buy-Sell" in Market.