Question
You as a farmer have gone short 15 March Cocoa futures contracts. The 5-day period using hypothetical futures settlement prices. On the day 0 which
You as a farmer have gone short 15 March Cocoa futures contracts. The 5-day period using hypothetical futures settlement prices. On the day 0 which both parties enter the contract. Given the following information, determinethe daily marking-to-market adjustment to both you and the counterparty account. (Assuming same total value)
Contract size = 10 tons per contract
Initial margin = 10 percent of total value
Maintenance margin = 70 percent of initial margin
Day | Cocoa Futures Settlement Price (RM per ton) | Your account adjustment(RM) | Balance (RM) | Counterparty adjustment(RM) | Balance (RM) |
0 | 100 |
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1 | 95 |
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2 | 96 |
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3 | 98 |
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4 | 96 |
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5 | 90
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