1000跌到995，这个1000哪来的？

问题如下：

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?

选项：

A.

$0.

B.

$30,000.

C.

$300,000.

D.

$75,000.

解释：

A is correct.

考点：Managing Credit Risk

解析：这道题的头寸是long position。价格从1000跌到了995，long position亏损。1000到995亏了5个点，也就是5*250=$1,250。当天结算完了之后，保证金账户还有$12,500-$1,250=$11,250，大于维持保证金，所以不会接到margin call， variation margin也就等于$0。