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8 April, 05:21

You purchase a Treasury-bond futures contract with an initial margin requirement of 15% and a futures price of $117,600. The contract is traded on a $100,000 underlying par value bond. If the futures price falls to $106,600, what will be the percentage loss on your position? (Input the value as positive value. Do not round intermediate calculations. Round your answer to 2 decimal places.)

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  1. 8 April, 05:29
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    62.36%

    Explanation:

    Given that,

    Initial margin requirement = 15%

    Futures price = $117,600

    Underlying par value bond = $100,000

    If the futures price falls to $106,600,

    Margin = Initial margin requirement * Futures price

    = 0.15 * $117,600

    = $17,640

    Loss = Futures price - Decreased future prices

    = $117,600 - $106,600

    = $11,000

    Total percentage of loss = (Loss : Margin) * 100

    = ($11,000 : $17,640) * 100

    = 62.36%
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