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.)

Question

Cynthia Patel

Business

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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Answers (1)

Know the Answer?

Jase · Answer 1

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%