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CPO Futures Mark-to-Market Report Feb-Mar 2020

The palm oil farmer shorted 10 CPO futures contracts while the cooking oil factory went long 10 contracts with the same broker BBMB Futures. As the back office staff, you need to prepare daily marking to market position reports for both clients from February 6th to March 7th that show the settlement prices, daily profits/losses, and running balances for each client. The reports track how the clients' balances fluctuate as the CPO futures contract price changes over this period.

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Abdul Aziz Al-Bloshi
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159 views2 pages

CPO Futures Mark-to-Market Report Feb-Mar 2020

The palm oil farmer shorted 10 CPO futures contracts while the cooking oil factory went long 10 contracts with the same broker BBMB Futures. As the back office staff, you need to prepare daily marking to market position reports for both clients from February 6th to March 7th that show the settlement prices, daily profits/losses, and running balances for each client. The reports track how the clients' balances fluctuate as the CPO futures contract price changes over this period.

Uploaded by

Abdul Aziz Al-Bloshi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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On 6th Feb 2020, palm oil farmer has decided to hedge its exposure by shorting (selling) 10 contracts of CPO

futures at a p
The other counterparty is Cooking oil factory, which has decided to go long 10 contracts of CPO futures. Both palm oil farm
are BBMB Futures client. As the back office staff of BBMB, please prepare detailed marking to market position report for b
CPO futures contract specification: 1 contract is 25 tons. Initial margin is 10% of the contract value. Maintenance margin is
Both clients deposit just enough initial margin into their trading accounts to enter into the contracts.

Contract value: 617500 10 CONTRACT


Initial margin: 61750 2470
Maintenance margin: 43225

Settlement price Palm oil farmer Balance Cooking oil Balance


Date factory
RM per ton (Short, RM) (RM) (Long, RM) (RM)

6-Feb-20 2470 61750 61750 61750 61750


7-Feb-20 2485 3750 58000 3750 65500
8-Feb-20 2495 2500 55500 2500 68000
9-Feb-20 2514 4750 50750 4750 72750
12-Feb-20 2543 7250 43500 7250 80000
13-Feb-20 2515 -7000 50500 -7000 73000
14-Feb-20 2506 -2250 52750 -2250 70750
19-Feb-20 2515 2250 50500 2250 73000
20-Feb-20 2485 -7500 58000 -7500 65500
21-Feb-20 2489 1000 57000 1000 66500
22-Feb-20 2488 -250 57250 -250 66250
23-Feb-20 2523 8750 48500 8750 75000
26-Feb-20 2540 4250 44250 4250 79250
27-Feb-20 2542 500 43750 500 79750
28-Feb-20 2559 4250 39500 4250 84000
61750
1-Mar-20 2549 -2500 64250 -2500 81500
2-Mar-20 2474 -18750 83000 -18750 62750
5-Mar-20 2463 -2750 85750 -2750 60000
6-Mar-20 2478 3750 82000 3750 63750
7-Mar-20 2443 -8750 90750 -8750 55000
cts of CPO futures at a price of RM2470 per ton.
tures. Both palm oil farmer and Cooking oil factory
ket position report for both clients for 6th Feb – 7th Mar 2020.
. Maintenance margin is 70% of initial margin.

10 CONTRACT 1 CONTRACT = 25 TON


/TON

10 CONTRACT * 25 TON TOATL= 250 TONS

TOTAL CONTRACT
VALUE
617500
INTIAL MARGIN % 0.1
MARGIN = 61750
MAINTAINCE 0.7
MAINTANCE 43225

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