Question

Suppose that on day 1, a Japanese Yen future contract is purchased at the ¥ 118 per $ (opening price). Contract is for $ 1,000. Initial margin level is ¥17,000, and maintenance level is ¥ 11,000. Forming a table show daily marking to market adjustments for this future contract using the given opening or settle prices

(ASSUMPTION: As margin account reaches above the initial margin level, withdraw the amount above the initial margin level)

Day Opening or Settle Price

1 Open ¥ 118/$

1 Settle ¥ 120/$

2 Settle ¥ 126/$

3 Settle ¥ 119/$

4 Settle ¥ 113/$

Answer 1

			Value in ¥
Intial margin value	17000
Minimum maintanance level	11000
Settle Price	Market Price	Gain/Loss	Margin Bal
1	120	Gain=(120-118)*1000 Gain=2000	19000
			-2000	Withdrawn Amount
			17000
2	126	Gain=(126-120)*1000 Gain=6000	23000
			-6000	Withdrawn Amount
			17000
3	119	Loss=(119-126)*1000 Loss=7000	10000
			7000	Margin Cal
			17000
4	113	Loss=(113-119)*1000 Loss=6000	11000
	Net (Loss)/gain	-5000