CFA Video: Futures Margin Exercise
CFA Video: Futures Margin Exercise
An investor longs a futures for $1000 with 10% initial margin. One day later, the value of the futures drops to $950. The maintenance margin is $60.
What
are the initial margin and variation margin?
Answer:
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Initial Margin |
Contract Value |
Required Deposit |
Account Balance |
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Day 0 |
1000×10% |
1000 |
100 |
100 |
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Day 1 |
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950 |
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50<60 |
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Day 2 |
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50 |
50+50 |
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Initial Margin = $100
Maintenance Margin = $60
Variation Margin = $50
October 29th, 2009 in
2012 CFA Level 1, Alt. Investments, CFA - LEVEL 1, CFA Videos Posted by Administrator