Risk Based Haircuts 9.0 handles ultra, inverse and inverse ultra ETFs as basket hedges, computes relief for commodity ETFs hedged by futures, spots or forwards and allows users to supply their own theoretical numbers to compute intraday haircut requirements. Basket Weaver™ 9.0 and Wrapper™ 9.0 include both speed improvements and the ability to identify and properly handle ultra, inverse and inverse ultra ETFs. Risk Based Margins™ 3.0 handles ultra, inverse and inverse ultra ETFs as basket 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. Repo/Reverse Repo 2.0 now includes both an error log and a reconcile report. Fixed Income 8.0 allows users to indicate the amount of a loan financing aged affiliated positions and computes undue concentration on municipal securities. Summaries of long and short values by maturity band have been added to various reports to assist in reconciling against original inventory. Option Margin Optimizer 6.0 handles asymmetric complex spreads and includes a new, faster optimizer compiled by a new Intel Fortran compiler. 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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