Aurigen Inc.: Computer Programming, CHOP

Capital Haircut Optimization Program
(CHOP)



Free Trial		We have a fully functional Free Trial Version of CHOP. It is exactly the same as the full version, but expires after 45 days. It has full install and uninstall programs. Contact us at 800-466-3469 to order the installation CD for the Free Trial Version of CHOP.

Download		You can Download the CHOP documentation as a standard Windows Help File.

Features		CHOP (Capital Haircut Optimization Program) calculates capital requirements for broker dealers and market makers in accordance with Security and Exchange Commission (SEC) Risk Based Haircut rules for your FOCUS Report. The SEC rules detail a method of calculating capital requirements of a security account based on an estimate of the market risk of the account. The account can contain long and short positions in stock, options, futures, indexes, index baskets, and other securities. The risk of an account is measured as its maximum expected loss as the prices of the securities in the account move through a range of up and down steps. The maximum expected loss is a weighted net of the profits and losses on the securities in the account. CHOP works with the Option Clearing Corporation (OCC) Theoretical Information Online (TIO) Risk Based Haircut (RBH) System. At present, the OCC is the only vendor approved by the SEC for supplying theoretical option values and other data needed for the haircut calculations.
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Reports		Haircut Checksum No TIO Match
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Haircut Report		This report displays the total account haircut with details for Portfolio Groups, Product Groups, Class Groups, Basket/Non-Basket Securities, and Individual Securities. It has the following columns: Class Symbol Type of Security Expiration Date For Options Strike Price For Options Market Value The Haircut Report is subtotaled by Portfolio Group, Product Group, Class ID, Basket/Non-Basket Securities. The Risk Based Haircut, Minimum Haircut and Actual Haircut are shown for each subtotaling group. The subtotals are not simple arithmetic subtotals. Rather, a percentage of the profits on some positions are subtracted from the losses on other positions as specified by the SEC and the data imported from the OCC. In general, the percentage is larger for groups with greater P&L correlation.

Checksum Report		This report helps you verify that the portfolio data has been imported or entered correctly into CHOP. It shows subtotals by Portfolio Group, Product Group, Class ID, Basket/Non-Basket.
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TIO No Match Report		This report provides a list of any stock or index options which have not been matched with theoretical values imported from the OCC system. There should be no unmatched options unless there are data import or entry errors.
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Import/Export Screens		In order to minimize manual data entry, CHOP has screens for importing portfolio positions and theoretical values. It can export portfolio positions and requests for theoretical values. Data can also be entered manually, and imported data can be edited to correct errors.
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Import Portfolio Screen		In order to minimize data entry, CHOP can import your portfolio position from a text or database file. We can accommodate virtually any format you have available. We can import various standard text file formats, including the New York Stock Exchange's Capital Asset Management System (NYSE CAMS) format, and the OCC TIO specified format. After importing, the data can be viewed and edited if necessary on the Portfolio Data Entry Screen.
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Export Portfolio Screen		CHOP can export your portfolio positions in the format specified by the OCC TIO system. This is the format requested by the SEC auditors.
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Import TIO Theoretical P&Ls Screen		CHOP can import the standard theoretical value files supplied by the OCC TIO system. After importing, the data can be viewed and edited if necessary on the TIO Data Entry Screen.
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Export TIO Theoretical P&Ls Screen		CHOP can export the TIO Theoretical Value Request file as specified by the OCC. This file can be used to request the theoretical P&Ls you need from the OCC TIO system.
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Aurigen Inc. Northern NJ 800-466-3469 973-228-9139
http://www.aurigen.com service@aurigen.com

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