Extensive Optimized Calculation Library

• Multi-Currency / Multi-Entity / Multi-Product
• Calculations
  • Reg T / Rule 431
  • Customer Portfolio Margin
  • Day Trading
  • Risk Based Haircuts
• Optimized for performance and accuracy
• Calculates requirements in local & rollup currency

Customer Portfolio Margin

• Sophisticated intraday monitoring
• Stress testing (scheduled or on demand)
• Day Trading calculation based on $5M equity rule
• Compliance monitor and alert notification
• Securities eligibility validation
• Minimum equity validation
• Rule 431 margin treatment for non-eligible securities
• CPM House and SRO requirements
• Margin call alerts / exception screen / reports
• Call aging / tracking and closing

What If Analysis

• Separate “What If” database that does not impact production
• Apply hypothetical trades, journals and prices
• Comparison of Reg T / Rule 431 margin calculations to Customer Portfolio Margin calculations by account
• Simulate scenarios tailored to client objectives to maximize profit and avert loss
• Rehearse credit scenarios and action plans in response to evolving market conditions

Financial Instruments Supported

• Equities (Domestic, Foreign, ADR’s)
• Options (Equity / Index / Currency)
• Municipal Bonds
• Corporate Bonds
(Convertible / Non-Convertible)
• Government Bonds
• Zero Coupon Obligations
• Fixed Income Derivatives
• Non Convertible Corp Bonds
• Single Stock Futures
• Treasuries
• Credit Derivatives

Credit Analysis

• Determine credit availability & apportionment across client accounts
• Reconcile credit differences detected during credit requirements recalculation

Exception Processing

• Identify all accounts for a given margin exception condition (e.g. Fed Call, Maintenance Call, House Call, or custom exception criteria etc.)
• Identify all exceptions violated by a specific account or family of accounts

System Flexibility

• Recalculates credit requirements by account
• Overrides credit requirements by account, country, currency, CUSIP, industry and security
• Manual trade and journal entries
• Account recalculations can be launched on an “account-affected trigger” basis or manual user request

Real Time Credit / Risk Management

• Real-time query and online viewing
• Intraday calculations and reporting
• Concentration / liquidity requirement adjustments
• Highly adaptable, offering a full range of exception reporting and customizable notification options
• Instant evaluation of trade results
• Assesses and/or monitors risk exposure and regulatory requirements for Retail, Prime Broker, Market Maker, Leveraged Financing Offshore and Global accounts
• Creates family of accounts (up to four levels)
• Interprets the credit impact of complex trading scenarios
• Automatically determines optimal credit to extend on securities collateral
• Ability to apply cross currency hedges

Reporting

• Real-time and intraday reporting
• Customizable exception reporting
• Pre-configured reports
• Automatic report generation after completion of start of day processing
• On Demand reporting
• Reports can be viewed online, saved as PDF and printed
• Data export to Excel and other formats
• CPM Reporting
• Margin Exception Reporting
• Compares scenarios to baseline records on a standardized or customized basis

Start of Day Calculation Preparation

• Data required for start of day processing
  • Accounts
  • Positions
  • Balances
  • Products
  • FX Rates
  • OCC Tims Data (CPM Only)
  • Trades
  • Journals
  • Pricing

Intraday Calculation Preparation

• Data required for real-time / intraday processing
  • Trades
  • Journals
  • Pricing

Technical Features

• Full security and audit trail
• Innovative browser based Graphical User Interface
• Open database for custom query, report writing and data export
• Export data to downstream books and records systems
• Processes multiple data loads for global functionality
• Available as Davidsohn Software-On-Demand™