A US firm enters into 6 long Japanese yen futures contract on September 22nd, at a price of $0.00892/4. Subsequently, the settlement prices of the contract are:

Date Futures Price ($/V)

Sep. 22nd 0.008854

Sep. 25th 0.008665

Sep. 26th 0.008456

Sep. 27th 0.008704

Sep. 28th 0.008548

The standard size of the contract is 1,25,00,000 yen

QUESTIONS: (15 MARKS)

a. Compute the cash flows incurred by the firm at the end of each day because of the marking-to-market.

b. If the initial margin is $3000/contract, and the maintenance margin is $1750/contract, show the firm margin account and amount of additional deposits to be made (assuming no withdrawals)