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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 = - $ 0.05 ( 09/11/10) 2. Daily Contract- Market Value ($) MTM = $ 3.07 * 50,000 bu. = $153,500.00 ( 09/10/10) 3. Futures P&L ($) = [$ 3.02 - $ 3.07] * 5,000 bu.* 10 Contracts = ($2,500.00) ( 09/11/10) 4. Futures Contacts Required = (50,000 bu. * (1.00)) / 5000 bu. = Futures Contacts Required = (50,000 bu....
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This note was uploaded on 02/10/2011 for the course FIN 300 taught by Professor Staff during the Spring '08 term at University of Illinois, Urbana Champaign.
- Spring '08
- Financial Markets