The Security Allocation Information Engine (SALLIE for short) is designed to assist broker dealers in complying with the Customer Protection Rule (SEC rule 15 c3-3) by providing the user with more control over the security allocation matrix used in the reserve formula. The system offers numerous features to assure accurate calculations through error checking, supporting reports and allowing users to amend stock records and alter information in their local environment. This system is in development and will be released in Beta version this winter.

 

The Repurchase/Reverse Repurchase system computes repo and reverse repo deficits and deductions as well as charges related to undue counter party concentration, excess collateral and excess aggregate repurchase deficits. The latest release recognizes relief for overnight transactions, GSCC-cleared securities and tri-party arrangements. 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. Reverse repo excesses may be applied against repo deficits for the same counterparty.

 

The Risk Based Margin (RBM) system which computes charges for Portfolio Margin accounts (including what were formerly referred to as Cross Margin accounts). RBM properly computes the charges for convertible securities and verifies that baskets included in these accounts are properly hedged, proportioned and capitalized. RBM now has its own versions of our proprietary Basket Weaver™ and Wrapper™ modified to handle portfolio margin accounts. The latest version is compatible with the OCC's Option Symbology Initiative (OSI).

 

The latest version of Risk Based Haircut (RBH), although not a new product, is compatible with the OCC's OSI Option Symbology Initiative (OSI).

 

OMO Plus and Day Trader are now available. OMO Plus computes option/stock maintenance charges just as the Option Margin Optimizer does. In addition OMO Plus computes pattern day trader charges for stocks AND options according to Rule 431 or the Portfolio Margin methodology. Day Trader is also available as a standalone module to compute these same pattern day trader requirements
 
The Fixed Income OTC module is an add-on to Fixed Income 9.0 and computes charges for naked and covered OTC fixed income options. Net worth adjustments are also derived.