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Unformatted text preview: UNIVERSITY OF ILLINOIS College of Business - Department of Finance - Finance 300 (Financial Markets) Professor James Jackson Commodity Market Account Daily Marked To Market (Replicating Cash with Futures) ∆ Price = Closing Price (t+1) - Closing Price (t) Daily Contract- Market Value ($) MTM = Spot Closing Price * # Spot Market Units P&L ($) = [Closing Price (t+1) - Closing Price (t)] * # Spot Market Bushels Futures Contacts Required = # Spot Market Units / Futures Contract Specification # of Units Initial Margin = Margin per. Futures Contract * Futures Contacts Required Futures Market Account MTM Equity = Equity (t-1) – Futures P&L ($) Excess Cash = Futures Market Account MTM Equity – Margin Requirement Spot Market ROI % = [Closing Price (End) - Closing Price (Beginning)]/ Closing Price (Beginning) Futures Market ROI % = Futures P&L ($) / Initial Margin Commodity Market Account Daily Marked To Market Corn Market Example 1. ∆ Price = $ 3.02- $ 3.07 = Price = $ 3....
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- Spring '08
- Financial Markets, futures market, MTM, Futures Market Account