كتاب روابط اجتياز لـ C. Illustration 3
C. Illustration 3
C 52/2017 STA يسري تنفيذه من تاريخ 1/4/2021Consider a netting set with three commodity forward contracts. All notional amounts and market values are denominated in USD. This netting set is not subject to a margin agreement and there is no exchange of collateral (independent amount/initial margin) at inception. The table below summarizes the relevant contractual terms of the three commodity derivatives.
Trade # | Nature | Underlying | Position | Direction | Residual maturity | Notional (thousands) | Market value (thousands) |
1 | Forward | (WTI) Crude Oil | Protection Buyer | Long | 9 months | 10,000 | -50 |
2 | Forward | (Brent) Crude Oil | Protection Seller | Short | 2 years | 20,000 | -30 |
3 | Forward | Silver | Protection Buyer | Long | 5 years | 10,000 | 100 |