Notes:

1 CC Index futures contract multiplier: USD50 per index point

2 Initial margin: USD 119,367

3 Maintenance margin: USD 95,493

Excerpts of CC Index Futures Daily Market Report as of 3 September 2020 Change compared to previous trading day (2 Sep 2020) Contract Open Daily Daily Settlement month price high low price Sep-2020 25,890 25,984 25,722 25,844 Oct-2020 25,915 25,970 25,735 25,840 Dec-2020 25,902 25,938 25,753 25,826 -179 -179 |-179 Mar-2021 25,730 25,730 25,677 25,761 -178 a) Compute the settlement price of the four contract-month futures contracts on previous trading day on 2 September 2020. b) Suppose Ms Jessi has longed three Oct-2020 futures contracts with its settlement price on 2 September 2020. Further suppose that he has a beginning balance of USR 400,000 in her margin trading account. Ignoring transaction cost, what should be the balance of his margin trading account after the market closes on 3 September 2020? c) With the maintenance margin of USR 95,493 per CC Index futures contract, determine the minimum balance Ms Jessi is required to keep in her margin trading account. And, if the settlement price of the CC Index Oct-2020 contract reaches a critical level, she will be required by the clearing house to deposit additional cash to top up her account balance. Determine this critical level for Ms Jessi's Oct-2020 long futures position