1. Mark to market a long Eurodollar futures position with June delivery at 93.75 if daily...

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1. Mark to market a long Eurodollar futuresposition with June delivery at 93.75 if daily IMM Index settlementprices are
Day 1: 93.90
Day 2: 93.45
Day 3: 93.24
Day 4: 93.58
Day 5: 94.00
List the margin account balances at the end of each trading dayand specify (i) whether an additional margin is required on anygiven day and, (ii) if a margin call is issued, how much must bedeposited to your margin account. Assume that the initial margin is$3,000; the maintenance margin is $2,000, and the tick value is 1b.p. = $25.

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3.8 Ratings (362 Votes)

Initial Margin 3000 and Maintenance Margin 2000 1 bp 25 Initial Price 9375 Day 1 Final Price 9390 Change in bp 939 9375 015 or 15 bp Value of Change 15 x 25 See Answer

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1. Mark to market a long Eurodollar futuresposition with June delivery at 93.75 if daily IMM Index settlementprices areDay 1: 93.90Day 2: 93.45Day 3: 93.24Day 4: 93.58Day 5: 94.00List the margin account balances at the end of each trading dayand specify (i) whether an additional margin is required on anygiven day and, (ii) if a margin call is issued, how much must bedeposited to your margin account. Assume that the initial margin is$3,000; the maintenance margin is $2,000, and the tick value is 1b.p. = $25.