Question

You purchase an interest rate futures contract that has an initial margin requirement of 14% and a futures price of $121,309. The contract has a $100,000 underlying par value bond. If the futures price falls to $118,500, you will experience a ______ loss on your money invested. Multiple Choice 7.00% 16.54% 27.54% 39.54%

Answer 1

16.54%

Step-by-step explanation:

Margin = Future price × Initial margin requirement = $121,309 × 14% = $16,983.26

Loss amount = $118,500 - $121,309 = - $2,809

Loss percentage = $2,809/$16,983.26 = 0.1654, or 16.54%