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Risk Based Haircuts 11.0 handles user defined baskets (not recognized by the OCC), computes maximum amount of multi commodity ETF to be hedged against the multiple spot and futures products, cleaner Report/View look, factors in MMAF value when hedging commodity ETFs, has an expanded conversion factor field, permits users to feed Weaver a larger number of baskets and component stocks. Multipliers assigned to enhanced return, leveraged ETFs may now be imported from a file available on the OCC web site.
Basket Weaver™10.0 and Wrapper™10.0 include both speed improvements and the ability to identify and properly handle ultra, inverse and inverse ultra ETFs.
Risk Based Margins™4.0 allows users to utilize expiration day when matching positions to the OCC PL file, handles ultra, inverse and inverse ultra ETFs as basket and ETF hedges, produces a report listing all user stocks NOT in the OCC PL file and allows users to supply their own theoretical numbers to compute intraday and house margin requirements. Users may generate house requirements by using a multiplier based on liquidity, beta, volatility or other risk factor. Multipliers assigned to enhanced return, leveraged ETFs may now be imported from a file available on the OCC web site.
Basket Weaver™10.0 and Wrapper™10.0 include both speed improvements and the ability to identify and properly handle ultra, inverse and inverse ultra ETFs.
Risk Based Margins™4.0 allows users to utilize expiration day when matching positions to the OCC PL file, handles ultra, inverse and inverse ultra ETFs as basket and ETF hedges, produces a report listing all user stocks NOT in the OCC PL file and allows users to supply their own theoretical numbers to compute intraday and house margin requirements. Users may generate house requirements by using a multiplier based on liquidity, beta, volatility or other risk factor. Multipliers assigned to enhanced return, leveraged ETFs may now be imported from a file available on the OCC web site.
Repo/Reverse Repo 4.0 now includes both an error log and a reconcile report. It also computes margin requirements for reverse repo counterparties per Rule 431 and charges the greater of the traditional reverse repo deficit or the margin requirement. The application allows users to apply reverse repo excesses against repo deficits for the same counter party.
Fixed Income 10.0 has added several features and enhancements. These include a new ABS Liquidity report, more rigorous marketability relief qualification, Pari Passu relief, proper handling of Expected Ratings, and the ability to only hedge securities within the same currency. For details on these features click here.
Option Margin Optimizer 7.0 will now margin binary and range option. In addition, users may apply a concentration charge based on naked short options and specify house requirement percentages to be applied by class in the computation of naked short option charges. OMO will properly handle the higher requirements for leveraged ETFs mandated by FINRA.
Day Trader 6.0 computes pattern day trader charges for both stock and option traders according to either the Rule 431 or Portfolio Margin methodology. It is available as a built in option to the Option Margin Optimizer or as a stand alone module for processing Portfolio Margin and Rule 431.
Stock Borrow Loan 3.0 allows users to move agent data from one day to another to compensate for missing information and posts accrued interest to agent borrows.
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LDB Consulting, Incorporated
P.O. Box 512, Valparaiso, IN 46384-0512
Phone: (219) 477-1928 Fax: (219) 531-2643
Questions or Comments? Email CapComp@att.net