Consider the following futures contract for the currency of Brazil, Brazilian real (BRL). Contract volume: 100,000 Brazilian reals Initial margin: $1000 Maintenance margin: $800 Day Settle price ($/BRL) 1 0.19 2 0.189 3 0.186 4 0.187 (Note: assume all trades occur at the settle price in the table). (a) Suppose trader A buys a futures contract from trader B on day 1. What is the balance on their margin accounts by the end of day 2? (d) Suppose trader A sells their futures contract to close out their position on day 2. Trader C buys this futures contract. What is the balance on all margin accounts at the end of day 3 for traders with an open position? Did anyone receive a margin call on day 3, and if so, for how much?
Consider the following futures contract for the currency of Brazil, Brazilian real (BRL).
Contract volume: 100,000 Brazilian reals
Initial margin: $1000
Maintenance margin: $800
|
Day |
Settle price ($/BRL) |
|
1 |
0.19 |
|
2 |
0.189 |
|
3 |
0.186 |
|
4 |
0.187 |
(Note: assume all trades occur at the settle price in the table).
(a) Suppose trader A buys a futures contract from trader B on day 1. What is the balance on their margin accounts by the end of day 2?
(d) Suppose trader A sells their futures contract to close out their position on day 2. Trader C buys this futures contract. What is the balance on all margin accounts at the end of day 3 for traders with an open position? Did anyone receive a margin call on day 3, and if so, for how much?
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