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Assume that today’s settlement price on a CME EUR futures contract is 1.10405. Your performance bond account currently has a balance of $1700. The next three days settlement prices are +1%, +2% and -2% from today’s open price. Calculate the changes in the Performance bond account from daily marking to market and the balance of the performance bond account after the third day. Provide calculations where necessary to support your answer.
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Assume today’s settlement price on a CME EUR futures contract is $1.3130/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next day’ settlement price is $1.3059. Calculate the balance of the account at the end of the day. (USD, no cents)
Assume today’s settlement price on a CME EUR futures contract is $1.3130/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next day’ settlement price is $1.3059. Calculate the balance of the account at the end of the day. (USD, no cents)
- Table 2.7 Corn futures prices on the Chicago Mercantile Exchange, January 3, 2019 Maturity Last Mar-19 May-19 Jul-19 Sep-19 Dec-19 Mar-20 Change High 3.8025 0.7500 3.8075 3.7975 3.8800 0.5000 3.8800 3.8750 3.9500 0.2500 3.9525 3.9450 3.9700 0.0000 3.9700 3.9650 4.0075 -0.5000 4.0100 4.0025 4.0975 0.0000 4.1000 4.0950 Low Source: www.cmegroup.com.arrow_forwardAn investor enters a long position in a Bitcoin April 2023 futures contract at $23,450. Each contract controls 5 bitcoins. The initial margin for each contract is $30,800, the maintenance margin is $28,000. The futures price changes to $23,020 at the end of the first day and $22,752 on the end of the second day. Compute the amount in the margin account at the end of each day for the long position and any variation margin needed. (Please provide a step-by-step solution on how to solve this problem with a calculator, thank you!)arrow_forward1. (7 marks) A stock XYZ is quoted 1015. Two counterparties agree to enter into a forward contract maturing at T = 6 months. Here are the possible values of XYZ, at maturity. XYZ at T=6 months XYZ Forward Long Short 1000 1015 1020 1030 1080 (A) Find the possible values of the payoff for the buyer and for the seller of the forward and sketch a graph of the payoffs. (3.5 marks) (B) We know that spot price at expiration can be duplicated according to Forward + Zero Coupon bond = Spot Price at Maturity. Find the possible values of the zero coupon bond. What can you say about the risk associated with this bond? (3.5 marks)arrow_forward
- A bond, described in the exhibit below, is sold for a settlement on 8 April 2021.Annual Coupon rate:12%Coupon payment frequency: monthlyMaturity date*: 11396 + Settlement dateDay count convention : 30 / 360Annual yield to maturity:9%Face value:1,000 USDCalculate the dirty price (full price), clean price (flat price) and accrued interest (AI). * Example if your ID number 9876, then 8 April 2021 + 9876 days = 22 April 2048arrow_forwardWhat is the implied interest rate on a Treasury bond ($100,000) futures contract that settled at 100’160? If interest rates increased by 1%, what wouldbe the contract’s new value?arrow_forwardJon establishes a long position of one T-bond future today for a settlement price of 101'02. The exchange requires an initial margin of $2700 and a maintenance margin of $2500. Below are the next two days closing price on this contract. Day 1: settlement price100'31 Day 2: settlement price 99'30 The margin account balance after two days is Numeric Response dollarsarrow_forward
- Assume today's settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days' settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Changes in the performance bond account Warrow_forwardH3. A 2-year swap based on LIBOR is entered into on 30/6/2010 with current spot 3 month LIBOR at 0.54%. The swap is based on a notional principal of $100m What is the swap rate? Please show proper step by step calculationarrow_forwardToday is January 1. The forward price for contracts maturing on April 1 is $104.4 and on October 1 is $111.6. On April 1, the price of a zero-coupon bond maturing on October 1 is $0.975. Assuming that the underlying interest rate is a continuously compounded interest rate and will not change, the amount of profit that you can make on October 1 by trading one contract each of the near and distant maturity forwards and other securities is: [round to two decimal places]arrow_forward
- Essentials Of InvestmentsFinanceISBN:9781260013924Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.Publisher:Mcgraw-hill Education,
- Foundations Of FinanceFinanceISBN:9780134897264Author:KEOWN, Arthur J., Martin, John D., PETTY, J. WilliamPublisher:Pearson,Fundamentals of Financial Management (MindTap Cou...FinanceISBN:9781337395250Author:Eugene F. Brigham, Joel F. HoustonPublisher:Cengage LearningCorporate Finance (The Mcgraw-hill/Irwin Series i...FinanceISBN:9780077861759Author:Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan ProfessorPublisher:McGraw-Hill Education
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