You purchase a Treasury-bond futures contract with an initial margin requirement

Question

You purchase a Treasury-bond futures contract with an initial margin requirement of 15% and a futures price of $115,850. The contract is traded on a $100,000 underlying par value bond. If the futures price falls to $108,600, what will be the percentage loss on your position?

You purchase a Treasury-bond futures contract with an initial margin requirement of 15% and a futures price of $115,850. The contract is traded on a $100,000 underlying par value bond. If the futures price falls to $108,600, what will be the percentage loss on your position?

Explanation / Answer

Margin = 115,850 x .15 = 17377.5

Loss % = (115,850 - 108,000)/17377.5=45.17%

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