Question
Question 1 The standard terms of the 90 day Bank Bills Futures contract and the 3 year Treasury Bonds Futures contracts issued on the ASX
Question 1
The standard terms of the 90 day Bank Bills Futures contract and the 3 year Treasury Bonds Futures contracts issued on the ASX involve nominal values of $1,000,000 and $100,000 respectively:
a) What is the value of a 90 day Bank Bills Futures contract where the index is 95.76
b) What is the value of a 3 year Treasury Bonds Futures contract where the index is 94.94 and where the assumed coupon rate is 6% pa payable half yearly in a similar manner to the 10 year contact
c) The initial margins (or SPAN parameters) required by the ASX were changed in September 2009 to be $1,200 for the 90 day Bank Bills contract and $1,150 for the 3 year Treasury Bonds contract. On the other hand, at the same time, the initial margin required for the 10 year Treasury Bonds contract was $2,900 even though the nominal value of the contract was the same as the 3 year contract. What is the initial margin targeted to represent and why do the margins change frequently?
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