题目
To equalize the cash portion of assets under management, a portfolio manager enters into a long futures position on the S&P 500 Index with a multiplier of 250. The cash position is $5,000,000, which at the current futures value of 1,000 requires the manager to be long 20 contracts. If the current initial margin is $12,500 per contract, and the current maintenance margin is $10,000 per contract, the variation margin the portfolio manager needs to advance if the futures contract value falls to 985 at the end of the first day of the position is closest to:
选项
A.$25,000
B.$30,000
C.$50,000
D.$75,000
答案
D
解析
The futures contract ended at 985 on the first day. This represents a decrease in value in the position of (1000-985)×$250×20=$75,000. The initial margin placed by the manager was $12,500×20=$250,000. The maintenance margin for this position requires $10,000×20=$200,000. Since the value of the position declined $75,000 on the first day, the margin account is now worth $175,000 (below the $200,000 maintenance margin) and will require a variation margin of $75,000 to bring the position back to the initial margin. It is not sufficient just to bring the position back to the maintenance margin.该期货合约在第一天以985点收盘。价值减少(1000-985)×$250×20=$75000。最初的保证金是12500×20=25万美元。维持保证金$10,000×20=$200,000。由于该头寸的价值在第一天下降了7.5万美元，因此保证金账户现在价值17.5万美元(低于20万美元的维持保证金)，将需要交7.5万美元的变动保证金才能使该头寸回到初始保证金水平。仅仅将头寸调整回维持保证金是不够的。