The $10-$year Treasury bond underlying the Australian Securities Exchange $($ASX$)10-$year Treasury futures contract is described as follows: A $10-$year maturity bond, valued on a coupon date with face value AUD$100,000$ and coupon rate of $6\%$ per annum payable semi$-$annually. The bond is valued using $(100$ Futures Price$)$ as the per annum percentage yield $($compounding semi$-$annually$).$

Suppose you sell $100$ of these $10-$year Treasury bond futures contracts at a futures price of $97\mathrm{.}00.$ The futures price closes at $96\mathrm{.}90$ at the end of the trading day. The change in your margin account is closest to:

Question $7$Answer

a$.$

$-$$$98,070\mathrm{.}34$

b$.$

$-$$$97,878\mathrm{.}83$

c$.$

$+$$$97,878\mathrm{.}83$

d$.$

$+$$$98,070\mathrm{.}34$