Question 3b 2016

b) A US firm has a sterling account payable of 6.25m due in 3 months' time. It is now early January and the CFO decides to use March GBP futures to hedge FX risk on this transaction. Note that the contract size of GBP futures is 62,500 with the initial margin at $1,760 and the maintenance margin is $1,600 per contract. The March GBP Futures is currently trading at 1.7205$/ Calculate the gain/loss, the margin account and the margin call for the following three days of futures trading on the position of this US firm. Today (ie., opening day of the position) Day 2 with closing futures price of 1.6800 $/