MFINEDDB Derivative Securities Dr. Huiyan Qiu Part III: Investing in Index Futures and Mark-to-Market Suppose you opened an investment account with BOCUM International Security Ltd. on August 2, 2010 and started to take a long position with 8 HSIF0910 contracts. [The Hang Seng Index Futures expiring in September 2010. Suppose you entered at that day's settlement price.) You closed your position on September 2, 2010. Refer to the appendix for the settlement price of HSIF0910 as well as the level of HSI from August 2, 2010 to September 2, 2010. 3' Prepare a table showing your margin account (daily balance, futures price, gainfloss...) Initial margin and maintenance margin for Hang Seng Index Futures over the investment period were HK565,150 and HKSS2,100, respectively, per contract. Assume the annual interest rate on your account is 0.1% with continuous compounding. > Calculate the annualized rate of return on your investment. For simplicity, assume that over the period, you met all margin calls if any and you didn't withdraw money from your account even when you could. Use the following numbers for transaction cost matter: 5100 BUCOM commission fee, $10 exchange fee, 50.80 commission levy (these three charges are per side per contract] and 510 settlement fee per contract (collected on the settlement day of the contract}. 3? Is your rate of return higher or lower than 0.1%? What if you invest [superficially] in HSI directly over the same period? Have some discussion