Question

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.)

Answer 1

62.36%

Step-by-step 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%