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Initial Margin - FpML

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Initial Margin - FpML Powered By Docstoc
					                                                               All Figures in (base currency)

MTM Exposure                                                                    (238,002,756.00)
Netted Independent Amount(s) Required from party "A"                                        -
Netted Independent Amount(s) Required from party "B"                              55,098,435.00

Threshold                                                                                       -

Credit Support Amount Required                                                  182,904,320.00

Post Haircut Value of Collateral Held by party "B"                              158,098,000.00

Post Haircut Value of collateral in transit                                                     -

Return Amount to party "A"                                                                      -
                              Return Minimum Transfer Amount    100,000.00
                                      Return Rounding Amount     10,000.00

Delivery Amount to party "A"                                                       2,193,679.00
                          Delivery Minimum Transfer Amount      100,000.00
                                   Delivery Rounding Amount      10,000.00

Total Market Value of Collerat Required                                            2,200,000.00
Reference CCY                                    USD

Total Var Requirement                            156,296,573.00
Initial Margin                                       576,058.00
Variation Margin                                 (34,945,172.00)

Client Threshold                                            -

Total Requirement                                156,872,631.00

Value of Held Collateral        127,457,618.00
Collateral Pending Settlement    23,215,599.00
Total Collateral                                 150,673,217.00

Net Excess / Deficit                               6,199,414.00

Minimum Rounding                     10,000.00

Call Requirement                                   6,200,000.00
Reporting Currency                                                   USD

Initial Margin (Risk Based)                                          149,717,821.63
Initial Margin (Traditional)                                           4,317,219.00

Amount of collateral Held in Initial Margin Account                  155,988,550.00
Collateral in Transit                                                           -
Collateral Excess                                                      1,953,509.37

Party "B" Threshold                                                              -
Party "A" Threshold                                                              -

Party "B" Minimum Transfer Amount                       250,000.00
Party "A" Minimum Transfer Amount                       250,000.00

Rounding                                                 10,000.00

Amount due to pay/receive (Initial Margin Account)                     1,950,000.00




Variation Margin                                                      (15,790,381.18)

Amount of collateral Held in Variation Margin Account                 19,720,000.00
Collateral in Transit                                                           -
Collateral Excess                                                      3,929,618.82

Party "B" Threshold                                                              -
Party "A" Threshold                                                              -

Party "B" Minimum Transfer Amount                       250,000.00
Party "A" Minimum Transfer Amount                       250,000.00

Rounding                                                 10,000.00

Amount due to pay/receive (Variation Margin Account)                   3,920,000.00
Reference CCY                                                             USD

Total Var Requirement                                                              -
OTC MTM                                          (27,168,505.00)
Variation Margin Total                                                  (27,168,505.00)

Threshold                                                                          -

Total Requirement                                                       (27,168,505.00)

Value of Held Collateral                         (44,530,000.00)
Collateral Pending Settlements                     8,200,000.00
Total Collateral                                                        (36,330,000.00)

Net Excess / Deficit                                                      9,161,495.00

Recall Requirement                                                        9,100,000.00

Value Date                                                         MM/DD/YY




Collateral Type                  EUR Cash   France Govt bonds      US Treasuries/MBS
Instructions                     xxxxx      Euroclear xxxx         xxxxx
USD Cash
xxxx
Independent Amount Summary Details

Independent Amount Type                         CCY
Sum of Trade Level Independent Amount           USD


Portfolio Level Independent Amount Details

FX Net Open Position                            USD
Rules of the Road                               USD
Sum of Portfolio Level Independent Amount       USD
Total Independent Amount for Agreement          USD


Collateral Position            Market Value     CCY   Post Haircut Value
Cash                             8,000,000.00   USD          8,000,000.00




Collateral Required
Independent Amount
          8,666,533.29




           367,500.00
           312,444.00
            679,944.00
          9,346,477.29




          8,000,000.00




          1,346,477.29
Net Margin Details

Exposure
Independent Amount
Initial Margin Amount
Threshold
Prin Minimum Credit Support Amount
Cpty Minimum Credit Support Amount
Credit Support Amount

After Haircut Value of Collateral Held(Pledged)
After Haircut Value of Collateral Pending
After Haircut Value of Outstanding Substitution Transactions

Return Amount to Principal
           Return Minimum Transfer Amount                      500,000.00
           Return Rounding Amount                               10,000.00

Delivery Amount to Principal
           Delivery Minimum Transfer Amount                    500,000.00
           Delivery Rounding Amount                             10,000.00

Market Value of Collateral required pursuant to this notice
All Figures in USD
        (15,617.00)
        767,500.00
              0.00
              0.00
              0.00
              0.00
        751,883.00

        (560,000.00)
               0.00
               0.00

        560,000.00




        751,883.00




       1,320,000.00
                                        Principal                  Cpty
Current Exposure                                     -12,728,811                    12,728,811

Net Credit Exposure                                   12,728,811                    12,728,811
Threshold                                              2,000,000                     2,000,000
Collateral Obligation                                 10,728,811
Initial Margin Trade                                                                  6,972,909
Initial Margin Agt
Total Obligation                                      10,728,811                      6,972,909
Collat Deliv From                                                                     9,330,000
Collat In Transit Deliv
Collat In Transit Return
Margin Result                                          3,755,902                     -9,330,000


Margin Amount                                          3,755,902                      9,330,000
Rounding Increment                                        10,000                         10,000
Minimum Transfer Amount                                  100,000                        100,000
Rnd/MTA Amount

Rnd/MTA Amount                                         3,760,000                      9,330,000

Final Margin Result                                                                 13,090,000


VM reqt of 12,728,811 netted against threshold of 2,000,000 = 10,728,811 VM due cpty
VM 10,728,811 due cpty netted against IM reqt due prin of 6,972,909 = 3,755,902 due cpty
Collat Delivered by cpty to prin of 9,330,000
Rtn to cpty 9,330,000 collat delivered by cpty plus 3,755,902 collat due cpty = call of 13,090,000 (taking rounding into account).
13,090,000 (taking rounding into account).
                              Principal               Cpty
Current Exposure                          -390,323                    390,323

Net Credit Exposure                       390,323                     390,323
Threshold                                       0                           0
Collateral Obligation                     390,323
Initial Margin Trade                                                  635,236
Initial Margin Agt
Total Obligation                          390,323                     635,236
Collat Deliv From                               0                   1,080,000
Collat In Transit Deliv                         0                           0
Collat In Transit Return                        0                           0
Margin Result                                   0                     835,087


Margin Amount                                   0                     835,087
Rounding Increment                         10,000                      10,000
Minimum Transfer Amount                   100,000                     100,000
Rnd/MTA Amount                                  0                     830,000

Final Margin Result                               0                   830,000


IM reqt of 635,236 due prin netted against VM reqt of 390,323 due cpty = 244,913 due prin
Collat Delivered by cpty to prin of 1,080,000
Rtn to cpty of 830,000 results in collat held by prin of 250,000 (taking rounding into account).

				
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posted:6/25/2011
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