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You buy a Treasury futures contract with a face value of $100,000 at par. Your initial margin is 10%. The maintenance margin is 4%. The
You buy a Treasury futures contract with a face value of $100,000 at par. Your initial margin is 10%. The maintenance margin is 4%. The MD on the underlying bond is 8 years. Tomorrow the interest rate on the bond rises by 100 bps. What is the balance in your margin account (assuming you do not renege on the contract or take out excess funds)? Your answer should not include a dollar sign or a comma
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