Question

You hedged your bank’s exposure to declining interest rates by buying one June Treasury bond futures contract at the opening price on April 10, 2008 (see exhibit 8-2), which was quoted at 119-075.

It is now Tuesday, June 10, and you discover that on Monday, June 9, June T-bond futures opened at 115-165 and settled at 114-300.

(1) What is the profit or loss on your long position as of settlement on June?

(2) If you deposited the required initial margin on April 10, which was $1,800 per contract, and have not touched the equity account since making that cash deposit, what is your equity account balance?

Answer 1

a) ae when baght 105 ) Irelus 3-5 eer antact 32 $19, 23 .75 000 Value at esement n Jme 32 II4, 93 S0o alized 191S $114,93 50-9,234 $4,296.875

dece 6y atant balqnce Cauty Position as the he 2496.88