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QUESTION 3: (15 Marks) You have gone long 10 June CPO futures contracts. The futures price is now RM2,000 per tonne. Given the following information,
QUESTION 3: (15 Marks) You have gone long 10 June CPO futures contracts. The futures price is now RM2,000 per tonne. Given the following information, determine the daily marking-to-market adjustment to both your counterparty's account. (Assuming same total level). Assuming a counterparty has the same total level value, determine the daily marking- to-market adjustment to both accounts and the balance on the 5th Day. Contract size = 10 tonnes Initial margin = 10% of total value Maintenance = 70% of initial margin Futures Your sett. account Counterparty Day Price adjustment Balance adjustment Balance 0 RM2,000 1 RM2,010 2 RM1,980 3 RM1,970 RM2,000 RM2,020 st LO
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