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Repo/Reverse Repo System Overview

The Repo/Reverse Repo System (RRR) computes charges and capital deductions associated with Repurchase and Reverse Repurchase Agreements. Charges and deduction are computed per SEA rules 15c3-1(a)(9)(i)-(iii) and 15c3-1(c)(2)(iv)(F)(1)-(3).

The system:
  • Imports all data from comma separated (CSV) files
  • Imports Repo and Reverse Repo Agreement info from a position file and margin data from a margin file
  • Imports margin calls, marks and other deposits from a separate One Business Day file
  • Permits the creation of consolidated counter parties for reporting purposes
  • Permits the user to manually enter adjustments to the data and stores these individual entries separately
  • Retains all data in a history file with the ability to purge oldest data
  • Generates summary and detail reports including all pertinent repo/reverse repo data by cusip
  • Generates summary reports by counter party and for the firm as a whole
  • Generates balance/reconcile report showing contract and market values included in the calculation
  • Provides online help documentation
  • At the user's option the system will provide relief for Overnights, GSCC, and Tri-Party positions.
     
  • Computes margin requirements for reverse repo counterparties per Rule 431 and charges the greater of the traditional reverse repo deficit or the margin requirement.

 




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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