FRM P1金融市场与产品重要知识点—期货保证金计算

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 ▶知识点：期货保证金计算◀ 

Futures margin requirements

▪ Daily settlement or marking to market

▪ Initial margin

▪ Maintenance margin

▪ Margin call

▪ Variation margin：Appended to the initial margin level

常考点：

1. 进行期货交易要缴纳初始保证金。

2. 进行期货交易的过程中要始终保持保证金在维持保证金以上。

3. 一旦保证金低于维持保证金，会收到margin call，需要缴纳保证金到初始保证金以上（而不是到维持保证金以上）。

例题：

To utilize the cash position of assets under management, a portfolio manager enters into a long futures position on the S&P 500 index with a multiplier of 250. The cash position is $15 million which at the current futures value of 1,000, requires the manager to be long 60 contracts. If the current initial margin is $12,500 per contract, and the current maintenance margin is $10,000 per contract, what variation margin does the portfolio manager have to advance if the futures contract value falls to 995 at the end of the first day of the position being placed?
A.$30,000
B.$0
C.$300,000
D.$75,000

【正确答案】B

【答案解析】Step1: compute initial margin 12,500×60=750,000 ;

Maintenance margin 10,000×60=600,000
Step2: The first day lose=(1000-995) ×250×60=$75,000

so the first day value=750,000-75,000=675,000＞600000 will not require a variation margin to bring the position to the proper margin level.

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