39UIUC%20FIN%20300%20Futures%20Crude%20Oil%20MTM%20FA10%20v3.2

39UIUC%20FIN%20300%20Futures%20Crude%20Oil%20MTM%20FA10%20v3.2

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Commodity Market Accounts Daily Marked To Market: Crude Oil Market Scenario: Below is a ledger from a commodity brokerage firm. One client has a spot market account, while two other clients have futures market accounts. Account #1 initially deposited $92,000 on 5/23/2010 and Account #2 initially deposited $125,000 on 5/23/2010. The futures account holders have decided to replicate 100% of the long spot contract position. Your job is to audit the daily mark to market process and find any errors that the brokers have made. Remember, futures markets are a zero-sum game. If the clients do not have sufficient funds in their respective accounts to meet the exchange margin requirements, then the firm is held responsible by the exchange for any shortfalls. Date Spot Oil Closing Price Price Daily Spot Contract - Market Value ($) MTM Futures Market Futures Market Account MTM Equity Excess Cash Futures Market Account MTM Equity Excess Cash Spot Contract Account Account 1 Rule: If < $0, then
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Unformatted text preview: Margin Call Account 2 Rule: If &lt; $0, then Margin Call May 23, 2010 $131.58 $657,900.00 $92,000.00 $34,500.00 $125,000.00 $67,500.00 May 27, 2010 $128.81-$2.77 $644,050.00-$13,850.00 $78,150.00 $32,150.00 $111,150.00 $65,150.00 May 28, 2010 $131.00 $2.19 $655,000.00 $10,950.00 $89,100.00 $43,100.00 $122,100.00 $76,100.00 May 29, 2010 $126.70 May 30, 2010 $127.35 Jun 02, 2010 $127.75 Jun 03, 2010 $124.33 Jun 04, 2010 $122.30 Jun 05, 2010 $127.79 Jun 06, 2010 $138.54 Jun 09, 2010 $134.35 Jun 10, 2010 $131.31 Jun 11, 2010 $136.85 Jun 12, 2010 $136.74 Jun 13, 2010 $134.86 Jun 16, 2010 $134.61 Jun 17, 2010 $134.01 Jun 18, 2010 $136.68 Jun 19, 2010 $132.40 Jun 20, 2010 $134.99 # Spot Market Barrels Futures Contract Specification # of bbl. Futures Contacts Required Margin per. Futures Contract Initial Margin Initial Deposit Account 1 Maintenance Margin (80% IM) Initial Deposit Account 2 Spot Market ROI Futures Market ROI 5000 1000 $11,500.00 $92,000.00 $125,000.00...
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