Your account Day price (USD) adjustment(RM) You have gone short 5 February Cocoa futures contracts. The...
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Your account Day price (USD) adjustment(RM) You have gone short 5 February Cocoa futures contracts. The future price is USD4,040 per ton. Given the following information, determine the daily marking-to-market adjustment to both you and the counterparty account. (Assuming same total value) Contract size Initial margin Maintenance margin Future settlement = 10 tons per contract = 10 percent of total value = 70 percent of initial margin Balance (USD) Counterparty Balance adjustment(RM) (USD) 0 4,040 1 4,055 2 4,052 3 4,090 4 4,095 (a) Explain the derivatives instruments. (5 marks) (b) Calculate the long account adjustment and balance (10 marks) (c) Calculate the counterparty adjustment and balance (10 marks) Your account Day price (USD) adjustment(RM) You have gone short 5 February Cocoa futures contracts. The future price is USD4,040 per ton. Given the following information, determine the daily marking-to-market adjustment to both you and the counterparty account. (Assuming same total value) Contract size Initial margin Maintenance margin Future settlement = 10 tons per contract = 10 percent of total value = 70 percent of initial margin Balance (USD) Counterparty Balance adjustment(RM) (USD) 0 4,040 1 4,055 2 4,052 3 4,090 4 4,095 (a) Explain the derivatives instruments. (5 marks) (b) Calculate the long account adjustment and balance (10 marks) (c) Calculate the counterparty adjustment and balance (10 marks)
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