## Currency Margin Calculation

The following provides an example of how currency margins are calculated.

Assume base currency is USD for the  below example

1.  Determine the base-currency equivalent of net liq values in the account

NetLiq    USD Equivalent

EUR:     -14,362.69     -19,712.723

KRW:   6,692,613.37        5032.04

USD:      15,073.07      15,073.07

Using exchange rates as follows

EUR USD 0.72860

KRW USD 1330.00000

2.  Determine the haircut rates for each currency pair

HairCut Rates

USD             EUR             .025

USD             KRW             .10

EUR             KRW             .10

3.  Determine the largest negative currency balance

4.  Sort the haircut rates from smallest to largest

EUR USD  0.025

EUR KRW  0.10

5.  Starting with the positive net liq base-currency equivalent with the lowest haircut rate, calculate the margin requirement on that portion which may be used to off-set the negative net liq value

Consume 15,073.07 USD equivalent against the EUR

Margin1 = (15,073.07) x 0.025 = 376.82

6.  Repeat step (5) until all negative net liq values have been covered

Remaining negative net liq

-19,712.723 + 15,073.07 = -4,639.65

Consume remaining negative net liq with 4,639.65 USD equivalent of KRW

Margin2 = (4,639.65) x 0.10 = 463.97

Remaining negative net liq

-4,639.65 + 4,639.65 = 0.00

Total margin requirement = Margin1 + Margin2 = 376.82 + 463.97 = 840.79