1. Todays settlement price on one CME Swiss franc futures contract is $0.9140/CHF. You have a short position in one contract. Refer to above Exhibit 7.3 for the futures contract size. Your performance bond account currently has a balance of $2,500. The next three days settlement prices are $0.9129, $0.9093, and $0.9064. Calculate the daily adjustment amount in the performance bond account from marking-to-market AND show the balance of the performance bond account at the end of each day.

1. Day 1:

2. Day 2:

3. Day 3:

2. Do problem 1 again assuming you have a long position in the futures contract and your bond balance is $2,500.

1. Day 1:

2. Day 2:

3. Day 3:

Settle Change Open interest 1.0078 1.0083 .0082 .0082 205.277 13,577 9660 9639 -.0001 -.0001 127.773 11,002 1.5401 1.5392 .0097 .0097 204.470 5.434 1.0620 1.0630 .0060 .0060 60,342 4,207 Open Hieh Low Currency Futures Japanese Yen (CME)-V12,500,000: S per 100% June 9998 1.0105 .9954 Sept 1.0001 1.0110 .9959 Canadian Dollar (CME) CAD 100,000; S per CAD June .9667 .9681 .9631 Sept 9650 .9658 9611 British Pound (CME)-62,500; S per June 1.5312 1.5409 1.5290 Sept 1.5295 1.5400 1.5283 Swiss Franc (CME)-CHF 125,000; S per CHF June 1.0563 1.0649 1.0534 Sept 1.0567 1.0659 1.0550 Australian Dollar (CME)-AUD 100,000: S per AUD June .9640 .9650 9503 Sept .9577 .9587 9443 Mexican Peso (CME)-MXN 500,000: S per MXN June .07853 07883 07763 Sept .07793 .07818 .07705 Euro (CME)-125,000: S per June 1.3084 1.3118 1.3054 Sept 1.3089 1.3126 1.3062 Euro/Japanese Yen (ICE-US)-125,000; V per June Sept Euro/British Pound (ICE-US) 125,000: per e June Sept Euro/Swiss Franc (ICE-US) 125,000; CHF per June Sept .9517 9458 -.0110 -.0108 181,224 30,867 07770 ,07713 -00067 -.00067 113,738 11,721 1.3087 1.3094 .0005 .0005 223,380 16,814 129.85 129.85 -1.02 -1.03 8,204 123 85015 85115 -00465 .00460 13,517 174 1.2337 1.2332 -.0051 -.0051 13,611 371 Settle Change Open interest 1.0078 1.0083 .0082 .0082 205.277 13,577 9660 9639 -.0001 -.0001 127.773 11,002 1.5401 1.5392 .0097 .0097 204.470 5.434 1.0620 1.0630 .0060 .0060 60,342 4,207 Open Hieh Low Currency Futures Japanese Yen (CME)-V12,500,000: S per 100% June 9998 1.0105 .9954 Sept 1.0001 1.0110 .9959 Canadian Dollar (CME) CAD 100,000; S per CAD June .9667 .9681 .9631 Sept 9650 .9658 9611 British Pound (CME)-62,500; S per June 1.5312 1.5409 1.5290 Sept 1.5295 1.5400 1.5283 Swiss Franc (CME)-CHF 125,000; S per CHF June 1.0563 1.0649 1.0534 Sept 1.0567 1.0659 1.0550 Australian Dollar (CME)-AUD 100,000: S per AUD June .9640 .9650 9503 Sept .9577 .9587 9443 Mexican Peso (CME)-MXN 500,000: S per MXN June .07853 07883 07763 Sept .07793 .07818 .07705 Euro (CME)-125,000: S per June 1.3084 1.3118 1.3054 Sept 1.3089 1.3126 1.3062 Euro/Japanese Yen (ICE-US)-125,000; V per June Sept Euro/British Pound (ICE-US) 125,000: per e June Sept Euro/Swiss Franc (ICE-US) 125,000; CHF per June Sept .9517 9458 -.0110 -.0108 181,224 30,867 07770 ,07713 -00067 -.00067 113,738 11,721 1.3087 1.3094 .0005 .0005 223,380 16,814 129.85 129.85 -1.02 -1.03 8,204 123 85015 85115 -00465 .00460 13,517 174 1.2337 1.2332 -.0051 -.0051 13,611 371