FRM P1金融市場與產(chǎn)品重要知識點(diǎn)—期貨保證金計算

金融市場與產(chǎn)品作為FRM P1考試當(dāng)中占比百分之30的考試科目，可以說是我們備考的重中之重！正保會計網(wǎng)校的老師給大家整理了金融市場與產(chǎn)品科目里面的重要知識點(diǎn)，知識點(diǎn)搭配例題，幫助大家更好的吸收！今日一起來學(xué)習(xí)期貨保證金計算吧！

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 ?知識點(diǎn)：期貨保證金計算? 

Futures margin requirements

? Daily settlement or marking to market

? Initial margin

? Maintenance margin

? Margin call

? Variation margin：Appended to the initial margin level

?？键c(diǎn)：

1. 進(jìn)行期貨交易要繳納初始保證金。

2. 進(jìn)行期貨交易的過程中要始終保持保證金在維持保證金以上。

3. 一旦保證金低于維持保證金，會收到margin call，需要繳納保證金到初始保證金以上（而不是到維持保證金以上）。

例題：

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

【正確答案】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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