Athabasca University, Athabasca
FNCE 403
SEE CORRESPONDING EXCEL SHEET ATTACHED TO SEE CALCULATIONSQuestion Marks Available Marks Earned 1 6 5 2 14 9 3 10 9 4 17 12 5 34 31.5 6 10 9 7 9 4 Total 100 79.5%Question 1. Margin Account and Settlement (6 marks)Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per tr
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SEE CORRESPONDING EXCEL SHEET ATTACHED TO SEE CALCULATIONSQuestion Marks Available Marks Earned 1 6 5 2 14 9 3 10 9 4 17 12 5 34 31.5 6 10 9 7 9 4 Total 100 79.5%Question 1. Margin Account and Settlement (6 marks)Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per troy ounce. You then closed the position at the end of the sixth trading day. The initial margin requirement is US$5,940 per contract, and the maintenance margin requirement is US$5,400 per contract. One contract is for 100 troy ounces of gold. The daily prices on the intervening trading days are shown in the following table. Day Settlement Price 0 1340.30 1 1345.50 2 1339.20 3 1330.60 4 1327.70 5 1337.70 6 1340.60 Assume that you deposit the initial margin and do not withdraw the excess on any given day. Whenever a margin call occurs on Day t, you would make a deposit to bring the balance up to meet the initial margin requirement at the start of trading on Day t+1, i.e., the next day. a. What are the initial margin and maintenance margin on your margin account? # of Contracts purchased 2 Initial Margin Requirement / contract $5,940 Maintenance Marg Req / contract $5,400 Initial Margin on Margin Account $11,880 Maintenance Marg on Margin Account $10,800 (1 mark) This study source was downloaded by 100000881944548 from C
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