FUTURES PROBLEM

Today (i.e., day 0), the settlement (or closing) price on a Chicago Mercantile Exchange (CME) British pound futures contract is $1.8578/. Suppose in the next two days (i.e., days 1 and 2) settlement prices are $1.8520/ and $1.8530/. The contractual size of one CME British pound contract is 62,500 per contract. The initial performance bond for British pound contract is $1,485 per contract and maintenance performance bond is $1,100 per contract. If you have a long (buy) position in one futures contract, determine the following.

(1) The balances of the maintenance performance bond at the end of day 1 and day 2.

(2) Given the information in (1), how much money you need to deposit to keep your contract active at the end of day 2?