Balances of the maintenance performance bond

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At day 0 (i.e., today), the settlement (or closing) price on a Chicago Mercantile Exchange (CME) British pound futures contract is $2.0123/£. Your maintenance performance bond account currently has a balance of $1,500 at the end of day 0. In the next two days (i.e., days 1 and 2) settlement prices are $2.0125/£ and $2.0072/£. The contractual size of one CME British pound contract is £62,500 per contract. The initial performance bond for British pound contract is $1,485 per contract and maintenance performance bond is $1,100 per contract. If you have a long (buy) position in one futures contract, determine the following.

(a) The balances of the maintenance performance bond at the end of day 1 and day 2.

(b) Suppose on day 3, the settlement price is $2.0058/£, what is your maintenance performance bond balance at the end of the day?

(c) Given the information in (b), how much money you need to deposit to keep your contract active?

Reference no: EM132523499

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