On the morning of Monday, August 21, you purchased one futures contract for 100,000 Canadian dollars at a rate of 0.7 USD/CAD. You deposited 7000 USD into your margin account, and your broker requires 5000 USD as the maintenance margin. The subsequent settlement prices are shown in the table below. What are the daily cash flows from marking to market? What are the daily cash balances in your margin account (after the margin call and new deposits)? When do you receive a margin call and how much do you deposit into your account?
August 21 22 23 24 25 28 29
Futures Rate 0.71 0.7 0.72 0.71 0.69 0.68 0.66
30
0.63
Daily cash flow
Cash balance (after margin call)
