Actimize FMC SP 4 - 2 - 0 Solution Guide PDF

Actimize
Sales Practices (SP) and

Suitability
Solution Guide
FMC SP Version 4.2.0
Product Confidential
August 19, 2018

Legal Statement
This document contains proprietary information belonging to Actimize Ltd. and/or its affiliates. Such
information is supplied solely for the purpose of assisting explicitly and properly authorized employees or
consultants to use Actimize products. No part of its contents may be used for any other purpose, disclosed to
any person or firm or reproduced by any means, electronic or mechanical, without the express prior written
permission of Actimize Ltd. and/or its affiliates. The text, graphics and examples included herein are for the
purpose of illustration and reference only. The specifications on which they are based are subject to change
without notice. No legal or accounting advice is provided hereunder and any discussion of regulatory
compliance is purely illustrative.
The software described in this document is furnished under a license or access is provided as a service. The
software may be used or copied only in accordance with the terms of that license software-as-a-service
contract. Certain features and functionality described in this document are optional features not included in a
base product license and may only be accessed and used by licensees expressly licensed to use such
features and functionality. Licensees should refer to their respective agreements to determine whether they
have the right to use a particular feature or functionality.
Corporate and individual names and data used in examples herein are fictitious unless otherwise noted.
Information in this document is subject to change without notice. Actimize reserves the right to revise or
withdraw this document or any part thereof, including, without limitation, the elimination or modification of any
product functionality, at any time.
The software described herein may be protected by one or more of the US patents listed at
www.nice.com/Patents. Actimize, the Actimize logo, NICE, and the NICE logo are trademarks or registered
trademarks of NICE Systems Ltd. and/or its subsidiaries. All other marks are trademarks of their respective
owners. Other company, brand, product and service names are trademarks or registered trademarks of their
respective holders.
Copyright ©2018 Actimize Ltd. All rights reserved.
Document Version 4.2.0.10

Rev 5
Catalog Number 8537
Contents
Chapter 1: Overview .................................................................................................................... 1
1.1 About this Guide ............................................................................................................................. 1
1.2 What New in This Version .............................................................................................................. 1
1.3 About the Actimize Sales Practices (SP) and Suitability Solution ................................................. 1
1.4 SP Solution Models ........................................................................................................................ 2
1.4.1 Account Search (ACS) Module ......................................................................................... 2
1.4.2 Trade Blotter (TRB) Module.............................................................................................. 2
1.5 Standard Features ......................................................................................................................... 2
1.6 Solution Methodology..................................................................................................................... 3
1.6.1 Lines of Business .............................................................................................................. 4
1.6.2 Model Flexibility ................................................................................................................ 5
1.7 About Scoring Algorithms............................................................................................................... 5
1.8 Alert Consolidation ......................................................................................................................... 6
1.9 Issue Suppression .......................................................................................................................... 6
1.9.1 Suppress Threshold .......................................................................................................... 6
1.9.2 Suppress Previous Issues Logic ...................................................................................... 7
1.9.3 Regular Thresholds .......................................................................................................... 8
1.10 Actimize Risk Case Manager (RCM) ............................................................................................. 9
1.11 The Broker Risk Dashboard ........................................................................................................... 9
1.11.1 Overview of the Dashboard .............................................................................................. 9
1.11.2 Worksheets ..................................................................................................................... 10
1.11.3 Using the Filtering Pane ................................................................................................. 12
1.11.4 Dashboard Toolbox ........................................................................................................ 12
1.12 Glossary ....................................................................................................................................... 14
Chapter 2: Account Review (ACR) Model Group ....................................................................... 18

2.1 Overview ...................................................................................................................................... 18
2.1.1 Account Profile Core Model ............................................................................................ 18
2.1.2 Account Review Detection Models ................................................................................. 18
2.2 Account Review General Attributes & Conditions ........................................................................ 20
2.2.1 Frequency ....................................................................................................................... 20
2.2.2 General Filters ................................................................................................................ 21
2.2.3 Data Sources Used by All Models .................................................................................. 21
2.2.4 Currency Use .................................................................................................................. 21
2.2.5 Transaction Types .......................................................................................................... 21
2.2.6 Investment Objective Mapping ....................................................................................... 22
2.2.7 Account Review General Settings .................................................................................. 22
2.3 Account Profile Core Model ......................................................................................................... 23
PRODUCT CONFIDENTIAL
Actimize Sales Practices (SP) and Suitability Solution Guide Page i

Contents
2.3.1 Account Attributes ........................................................................................................... 23

2.3.2 Core Aggregation Attributes ........................................................................................... 24
2.3.3 Profile Calculations ......................................................................................................... 24
2.3.4 Suitability Information ..................................................................................................... 25
2.4 Detection Models ......................................................................................................................... 29
2.4.1 Average Adjusted Equity ................................................................................................ 29
2.4.2 Suitability of Portfolio and VA Current Allocations (ACR-SPO) ...................................... 29
2.4.3 Suitability of Portfolio Concentration Risk (ACR-SPC) ................................................... 31
2.4.4 Commission to Equity Ratio (ACR-COR) ....................................................................... 33
2.4.5 Cost to Equity Ratio (ACR-CER) .................................................................................... 35
2.4.6 Turnover Rate (ACR-TOR) ............................................................................................. 37
2.4.7 Loss in Equity by Proportion (ACR-LIE) ......................................................................... 41
2.4.8 Loss in Equity by Monetary Value (ACR-LIM) ................................................................ 47
2.4.9 Fee-Based Accounts Analysis (ACR-FAA) ..................................................................... 50
2.4.10 Carrier/Insurance Appointments (ACR-VCA) ................................................................. 52
2.4.11 Concentration (ACR-SSC) .............................................................................................. 53
2.4.12 Concentrated Positions of 1940 Accounts (ACR-CPM) ................................................. 58
Chapter 3: Daily Account Review (DAR) Model Group............................................................... 60

3.1 Overview ...................................................................................................................................... 60
3.1.1 Summary of the Daily Account Review Models .............................................................. 60
3.2 Daily Account Review General Attributes and Conditions ........................................................... 62
3.2.1 Frequency ....................................................................................................................... 63
3.2.2 General Daily Account Review Filters ............................................................................ 63
3.2.3 Data Sources Used by All Daily Account Review Models .............................................. 63
3.2.4 Currency Use .................................................................................................................. 63
3.2.5 Transaction Types .......................................................................................................... 63
3.2.6 Daily Account Review General Settings ......................................................................... 63
3.2.7 General Daily Account Review User-Defined Lists ........................................................ 64
3.3 Detection Models ......................................................................................................................... 64
3.3.1 529 Plan State Review (DAR-529) ................................................................................. 64
3.3.2 Mutual Fund Market Timing (DAR-MKT) ........................................................................ 66
3.3.3 Trading above Approved Level (DAR-LAP) .................................................................... 68
3.3.4 Suitability of VA Contract Value (DAR-VCV) .................................................................. 72
3.3.5 High-Load Product Switching for Variable Annuities (DAR-VHS) .................................. 73
3.3.6 Market Timing in Variable Annuities (DAR-VMT) ........................................................... 75
3.3.7 Suitability of Portfolio (DAR-SPO) .................................................................................. 77
3.3.8 Suitability of Portfolio - Concentration Risk (DAR-SPC) ................................................. 87
3.3.9 Single Security/Sector Concentration (DAR-SSC) ......................................................... 90
3.3.10 Hybrid Switching (DAR-HSW) ........................................................................................ 98
3.3.11 Mutual Fund Breakpoint Models (DAR-MFB) ............................................................... 105
Actimize Sales Practices (SP) and Suitability Solution Guide Page ii

Contents
3.3.12 Include List (DAR-INC) ................................................................................................. 121

3.4 Daily Account Review Details Screens ...................................................................................... 125
3.4.1 Account Details ............................................................................................................. 125
3.4.2 Account Suitability Information ..................................................................................... 126
3.4.3 Account's VA Contracts ................................................................................................ 126
3.4.4 Daily Account Review Details Tabs .............................................................................. 126
Chapter 4: Trade Review (TRR) Model Groups ....................................................................... 132

4.1 Overview .................................................................................................................................... 132
4.1.1 Summary of Trade Review Detection Models .............................................................. 132
4.2 Trade Review General Attributes and Conditions ...................................................................... 135
4.2.1 Frequency ..................................................................................................................... 135
4.2.2 General Trade Review Filters ....................................................................................... 136
4.2.3 Data Sources Used by All Trade Review Models ......................................................... 136
4.2.4 Currency Use ................................................................................................................ 136
4.2.5 Transaction Types ........................................................................................................ 136
4.2.6 Trade Review General Settings .................................................................................... 136
4.2.7 General Trade Review User-Defined List ..................................................................... 137
4.3 Detection Models ....................................................................................................................... 137
4.3.1 Discretionary Account Activity (TRR-DAA) ................................................................... 137
4.3.2 Off-Hours Trading (TRR-OHT) ..................................................................................... 138
4.3.3 Opening Trade in Expiring Options (TRR-OTE) ........................................................... 139
4.3.4 Suitability of Trade (TRR-UTR)..................................................................................... 140
4.3.5 Low-Priced Security Trades (TRR-LST) ....................................................................... 143
4.3.6 High-Yield Bonds (TRR-HYB)....................................................................................... 144
4.3.7 Large Trades (TRR-LTR).............................................................................................. 147
4.3.8 Uncovered Options Trades (TRR-UOT) ....................................................................... 152
4.3.9 Options Trading No ROP Approval (TRR-NRA) ........................................................... 153
4.3.10 Not RR of Record (TRR-NRR)...................................................................................... 154
4.3.11 Hybrid Switching (TRR-HSW)....................................................................................... 154
4.3.12 Solicited Trades (TRR-ST) ........................................................................................... 157
4.3.13 Mutual Fund Breakpoint Models (TRR-MFB) ............................................................... 158
4.3.14 State Blue Sky of Security (Product Registration) (TRR-BSS)..................................... 167
4.3.15 Financial Consultant Qualifications (State & Product Qualification) (TRR-BSB) ......... 168
4.3.16 Principal Trade Issues (TRR-PTI)................................................................................. 169
4.3.17 Transactions in High-Risk Securities (TRR-HRS) ........................................................ 170
4.3.18 Cost to Trade Ratio (TRR-CTR) ................................................................................... 171
4.3.19 Security List Model (TRR-SLM) .................................................................................... 174
4.4 Trade Review Alert Detail Screens ............................................................................................ 177
4.4.2 Alert Details Tabs ......................................................................................................... 179
Chapter 5: Trade Blotter .......................................................................................................... 184

Actimize Sales Practices (SP) and Suitability Solution Guide Page iii
Contents
5.1 Overview .................................................................................................................................... 184

5.2 Trade Blotter Methodology ......................................................................................................... 184
5.2.1 Trade Blotter Data Integration Filters ........................................................................... 184
5.2.2 Detection Logic ............................................................................................................. 185
5.2.3 Flexibility ....................................................................................................................... 185
5.3 RCM Blotter Display ................................................................................................................... 186
5.3.1 Trade Blotter Views ...................................................................................................... 187
5.3.2 Defining Blotters ........................................................................................................... 188
5.3.3 Trade Blotters List ......................................................................................................... 188
5.4 Trade Blotter Tasks .................................................................................................................... 190
5.4.1 Trade Blotter Search Options ....................................................................................... 190
5.4.2 Review Trades .............................................................................................................. 191
5.4.3 New Item ....................................................................................................................... 192
5.4.4 Sign-Off ......................................................................................................................... 192
5.4.5 Add Note ....................................................................................................................... 193
5.4.6 View Notes .................................................................................................................... 193
5.4.7 View History .................................................................................................................. 194
5.4.8 Assign ........................................................................................................................... 195
5.4.9 Un-Review .................................................................................................................... 195
5.5 Export/Print ................................................................................................................................ 196
5.5.1 Export............................................................................................................................ 196
5.5.2 Print All Trades ............................................................................................................. 196
5.6 Hosted Platforms........................................................................................................................ 197
Chapter 6: Account Search ...................................................................................................... 201

6.1 Overview .................................................................................................................................... 201
Chapter 7: Risk-Related Calculations ...................................................................................... 202

7.1 Detailed Calculations for Security Risk ...................................................................................... 202
7.1.1 Security Risk Calculation Hierarchy ............................................................................. 202
7.1.2 Thresholds for Security Risk ......................................................................................... 209
7.1.3 References for Security Risk ........................................................................................ 212
7.1.4 User-Defined Lists for Security Risk ............................................................................. 212
7.2 Portfolio Risk .............................................................................................................................. 212
7.2.1 Margin Risk Multiplier ................................................................................................... 212
7.2.2 Short Risk Multiplier ...................................................................................................... 213
7.3 Detailed Calculations for Account Calculated Tolerance to Risk ............................................... 213
7.3.1 Calculation .................................................................................................................... 213
7.4 High-Risk Position Calculations ................................................................................................. 219
7.4.1 High-Risk Position Calculation...................................................................................... 219
7.4.2 High-Risk Position ........................................................................................................ 219
Actimize Sales Practices (SP) and Suitability Solution Guide Page iv

Contents
7.4.3 Multiplier Risk ............................................................................................................... 219

7.4.4 User Defined a Risk ...................................................................................................... 219
7.4.5 Position Underlying Quantity ........................................................................................ 220
7.4.6 Is Option Covered ......................................................................................................... 220
7.4.7 Position Quantity Nullification ....................................................................................... 220
7.4.8 Security Risk by Product Type...................................................................................... 221
7.4.9 Security Risk by Equity ................................................................................................. 221
7.4.10 Security Subtype Default Risk ...................................................................................... 221
7.4.11 Security Risk by Fixed Income ..................................................................................... 221
7.4.12 Security Risk by Option ................................................................................................ 221
7.4.13 Security Risk by Mutual Fund ....................................................................................... 221
7.4.14 Security Risk by Other Product Type ........................................................................... 222
7.4.15 S&P Rating is Available ................................................................................................ 222
7.4.16 Moody Rating is Available ............................................................................................ 222
7.4.17 VA Positions Risk by Contract ...................................................................................... 222
7.4.18 VA Positions Quantity Price by Contract ...................................................................... 222
7.4.19 Sum Market Value ........................................................................................................ 222
7.4.20 Sum Currency Value Risk............................................................................................. 223
7.5 Account Tolerance to Risk Calculation ...................................................................................... 223
7.5.1 Account Tolerance to Risk ............................................................................................ 223
7.5.2 Risk Factors .................................................................................................................. 223
Chapter 8: Scoring Algorithms ................................................................................................. 224

8.1 Extent of Excess over Thresholds ............................................................................................. 224
8.2 Account Equity Value ................................................................................................................. 224
8.3 Recurring Alerts ......................................................................................................................... 224
8.4 Scoring Calculations .................................................................................................................. 224
Chapter 9: Policy Manager ...................................................................................................... 226

9.1 Defaults ...................................................................................................................................... 226
9.2 Custom Rule Creation ................................................................................................................ 226
9.3 Custom Lists .............................................................................................................................. 226
9.3.1 Creating a List ............................................................................................................... 227
9.3.2 List Members Creation .................................................................................................. 227
9.4 Policy Manager Context ............................................................................................................. 228
9.5 Alert View ................................................................................................................................... 228
9.6 Configuring the Focus Issues Description ................................................................................. 229
9.7 Actions........................................................................................................................................ 230
9.8 Functions .................................................................................................................................... 232
9.8.1 SP_PM_Account_AVG_balance – For ACR, DAR and TRR ....................................... 232
9.9 Operators ................................................................................................................................... 232
Actimize Sales Practices (SP) and Suitability Solution Guide Page v

Contents
9.9.1 Is In Trade/Account Review List/Daily Account Review List ........................................ 232

9.9.2 Is Not In Trade/Account Review List/Daily Account Review List .................................. 232
9.9.3 Account Risk – For Trade Review Only........................................................................ 233
9.9.4 Portfolio Risk – For Trade Review Only ....................................................................... 233
9.9.5 Daily Positions of the Products – Asset Allocation – For Daily Account Review Only . 233
9.9.6 Daily Positions of the Products – Risk – For Daily Account Review Only .................... 234
9.9.7 Short Option Risk – For Daily Account Review Only .................................................... 235
9.10 Backward Compatibility .............................................................................................................. 235
Chapter 10: Setting Up Policy Manager Rules ........................................................................... 236

10.1 Overview .................................................................................................................................... 236
10.2 Setting up Policy Rules .............................................................................................................. 237
10.2.1 Creating a New Rule ..................................................................................................... 237
10.2.2 Setting up the General Page of a Draft Policy Rule ..................................................... 237
10.2.3 Adding Conditions to the New Rule .............................................................................. 238
10.2.4 Using the Expression Builder........................................................................................ 239
10.2.5 Filtering Options ............................................................................................................ 242
10.2.6 Additional Custom Fields .............................................................................................. 245
10.2.7 Operators ...................................................................................................................... 249
10.2.8 Assigning Actions and Completing Rule Setup ............................................................ 251
10.2.9 Reviewing and Activating Rules ................................................................................... 251
Appendix A: Policy Manager Context ......................................................................................... 253

Fields Common to All Policy Types .......................................................................................................... 253
Fields Common to ACR and DAR Only.................................................................................................... 263
TRR-Specific Fields .................................................................................................................................. 268
DAR-Specific Fields .................................................................................................................................. 275
Actimize Sales Practices (SP) and Suitability Solution Guide Page vi

Chapter 1: Overview
1.1 About this Guide
The Actimize FMC Sales Practices (SP) and Suitability Solution Guide is intended for business
analysts and users of the Actimize SP solution.
This document may describe solution models, features and capabilities that require a separate
license and are not covered by the standard license. For information about licensing, please
contact your Actimize account executive.
The visibility of certain features depends on user roles and permissions. The guide describes
these features, but they may not appear in the solution with which you are currently working.
Examples included in this document are for the purpose of illustration and reference only.
Screenshots may look different from the screens in your solution, depending on your solution’s
configuration and the browser that is used.
Related Documents
The following documents are also part of the Actimize FMC SP documentation suite:
• Actimize FMC SP Installation Guide
• Actimize FMC SP Implementer’s Guide
1.2 What New in This Version

• Under Section 3.3.12: Include List (DAR-INC) > Filters, added the condition to exclude
accounts that do not have trades on the relevant business date (process date)
1.3 About the Actimize Sales Practices (SP) and Suitability

Solution
The Actimize Sales Practices (SP) and Suitability solution ensures proper sales practices for
financial institutions by monitoring accounts, transactions, and sales representatives. The
solution covers a broad range of sales practice issues and products such as account review,
suitability, registration, sales of mutual funds and annuities, approval levels of options and more.
The SP solution models are integrated with an intelligent scoring mechanism – where each factor
contributes to the generation of highly focused alerts (“red flags”). This approach prioritizes and
isolates most suspicious activity and behavior while maintaining a significantly low false positive
ratio.
The Sales Practices library of rules is implemented within the Actimize platform, which comprises
the Actimize Intelligence Server (AIS) and the Actimize Risk Case Manager (RCM). The RCM is
the front-end, providing the user interface component of the package. The models are executed
by the AIS, disseminating alerts and initiating actions upon detection of suspicious activities.
Using the tools and options available from the RCM, supervisory staff is able to review profiles
and suspicious activities.
Actimize Sales Practices (SP) and Suitability Solution Guide Page 1
SP Solution Models
1.4 SP Solution Models

The SP and Suitability solution supports the following model groups:
• Account Profile (ACP) – summarizes monthly account activity and calculates the monthly
account profile.
• Account Review (ACR) – detects violations in sales practices using the monthly account
profile.
• Daily Account Review (DAR) – detects violations in sales practices for daily activity.
• Trade Review (TRR) – detects violations in sales practices for daily trades.
In addition, the solution features an Account Search (ACS) module that searches and displays
details of a specific account, and a Trade Blotter (TB or TRB) module that creates the data
necessary for the RCM module and links the transactions and alerts from the Trade Review
model group.
1.4.1 Account Search (ACS) Module

The RCM Research module includes an Account Search feature that enables users to view, on
demand, the latest account details even if an alert was not generated on that account.
Users can enter any Account Number and Branch Code of interest in order to view all available
account details. For more information about this feature, see Chapter 6: Account Search, page
201.
1.4.2 Trade Blotter (TRB) Module

The Trade Blotter is a recap of the previous day’s activity and contains the details of the
transactions with links to alerts generated by Trade Review models. The purpose of the blotter is
to allow for and provide evidence of supervisory review. It is presented with the account number
and broker number which results in the efficient use of the supervisors’ time.
Trade blotters can be automatically generated, according to the business requirements of the
organization. For more information about this feature, see Chapter 5: Trade Blotter, page 184.
1.5 Standard Features

• Consolidation of detection scenarios into one alert – by combining multiple detection
scenarios into a single alert, the Actimize Sales Practice solution models help pinpoint
accounts that require additional supervisory review. This process results in the efficient use of
a supervisor’s time by lowering the number of repeat alerts generated while still monitoring a
wide variety of scenarios.
• An intelligent scoring algorithm – Actimize uses a sophisticated mechanism to assign a
score to each alert, thus assisting the supervisory personnel in prioritizing workflow and
tasks.
The scoring algorithm is based on multiple factors including thresholds, statistical functions,
and profiling of historical behavior patterns.
• The models are designed with several key objectives in mind:
▪ Quick and easy implementation.
▪ A highly flexible solution that allows for easy configuration of the models.
▪ Ability to meet specific regulatory requirements.
Solution Methodology
▪ Ability to create alerts focused on true risk exposures, thereby reducing the number of
alerts and achieving a low false positive rate.
▪ Intelligent scoring algorithms which lead to efficient management of workload.
• Multilingual support – The SP solution supports multiple languages for predefined user data
(resource strings). This means that RCM can display its interface and alert data in languages
other than English. To this end, the metadata is translated to the user’s language.
For more detailed information, refer to the Actimize FMC SP Implementer’s Guide.
1.6 Solution Methodology

The Sales Practices solution is comprised of various model groups based on the type of entity
under evaluation (accounts, brokers, branches or trades). The solution is divided into the
following model groups:
• Account Review – models that evaluate accounts on a monthly basis based on an account
profile (see Chapter 2: Account Review (ACR) Model Group, page 18)
• Daily Account Review – models that evaluate accounts on a daily basis (see Chapter 3:
Daily Account Review (DAR) Model Group, page 60)
• Trade Review models – detect violations in sales practices for daily trades (see Chapter 4:
Trade Review (TRR) Model Groups, page 132)
The models are designed to process and analyze a wide range of source data and generate
meaningful and focused alerts. The stages that make up the methodology used during detection
can be summarized as follows:
• The models receive data from the organization’s systems (trade data, account data,
registration, disciplinary, etc.)
• Filters eliminate irrelevant data
• The Core Account and Broker Profile models provide an analytical basis for detection
scenarios
• Detection models process the remaining data, leveraging core model results and identifying
issues
• Issues are scored based on compliance risk
• Alerts are consolidated to help manage compliance workflow
• Users manage the alerts in the Actimize RCM
Solution Methodology
1.6.1 Lines of Business

A line of business is a business concept that defines an objective of an analytical (detection)
model. For example, a model can be designed to detect suspicious activity related to a product
type, such as mutual funds, or it may refer to a type of activity such as regulation violations or
trading conflicts.
All analytical (detection) models in a ‘model group’ generate alerts that pertain to one or more
line of business issue. For example, the Account Review model group includes a collection of
models that evaluate accounts, but which detect different lines of business issues such as
suitability violations, account activity, registration activity, etc.
Each solution analytical model covers one or more of the following issues:
• Suitability – the suitability issue is covered by models that identify accounts with a Portfolio
Risk that is higher than the ‘Account Tolerance to Risk’ level defined within the Account
Profile.
• Account Activity – this issue is covered by models that identify accounts that have high costs
compared to their activity, or that have lost substantial amount of value over time and require
further analysis.
• Broker Activity – this issue is covered by models that identify sales representatives who
require further analysis based on broker accounts with high costs compared to related
account activity, or as the result of substantial losses over time.
• Branch Activity – this issue is covered by models that identify Branches that require further
analysis based on broker activity issues or account activity issues.
• Fee Based Account – this issue is covered by models that review fee-based accounts activity
to determine if an account should be fee or commission based.
• High-Risk Trades – although all investments have a degree of risk, certain trades by their
very nature pose more risks than others. The High-Risk Trades issue is covered by models
that identify trades that have characteristics that pose greater exposure to the firm.
About Scoring Algorithms
• Options Approvals – this issue is covered by models that compare the option trading to the
option approval level.
• Registrations – this issue is covered by models that review licensing, registrations and
appointments for brokers/agents, and determine if a broker is the Registered Representative
(RR) of record for an account.
• Long-Term High-Load Detection – these models review transactions in products with high
upfront sales fees that are designed for long-term investment.
• Mutual Fund Activity – this issue is covered by models that identify mutual fund investment
activity which may result in an economic disadvantage for the customer caused by the size,
class, frequency, or sales charges associated with trades in high load, long-term investments.
• 529 Plans – the 529 Plans issue is covered by a model that identifies 529 Plan accounts
where the administrative state is not the residence of the accountholder. The plans are
maintained under Section 529 of the Internal Revenue Code and are a federal/state tax-
advantaged way to save money for college.
• Variable Annuities – variable insurance products are hybrid investments containing both
securities and insurance features. The insurance features of variable annuities permit the
investor to receive a series of periodic payments from the investment over time and provide a
death benefit to the beneficiary should the investor die during the accumulation phase.
Like securities under the federal securities laws and insurance under state insurance laws,
variable insurance products are sold jointly through broker-dealers and insurance agencies.
In selling securities, broker-dealers must comply with a number of requirements including
having reasonable grounds for believing that the recommendation is suitable for the investor,
providing adequate supervision over salespersons, ensuring that adequate disclosure is
made to customers, maintaining appropriate insurance licensing and maintaining all required
books and records.
1.6.2 Model Flexibility

All models come with default settings. However, different components in the models have
aspects that can be adjusted. This flexibility allows Actimize to quickly and easily customize the
models to the unique business needs and clientele of each organization. For example, a high net
worth client at one firm may be >$5,000,000 and at another firm >$25,000,000.
Flexibility is applied in two stages, as follows:
• During the implementation stage – when setting up the models, IT personnel can adjust
filters, model scoring and the user interface according to their organization’s requirements.
• During ongoing interaction with the application – authorized business users can use the
Actimize RCM to adjust the values of thresholds and scoring weights that are used by the
models for analysis.
1.7 About Scoring Algorithms

The main purpose of alert scoring is to prioritize alerts according to their severity. The system
uses several methods to assign a score to alerts generated by the detection models, enabling
risk-driven analysis and handling.
The alert score is calculated based on the various scoring factors, such as:
• The extent of excess over thresholds
• The variance from a broker or account profile
Alert Consolidation
• Recurrence of alerts
Scores are calculated according to a formula that combines the above scoring factors; each
multiplied by its appropriate weight. Authorized users may control the way scores are calculated
by modifying thresholds, weights and other parameters.
1.8 Alert Consolidation

The Actimize Sales Practice models consolidate detection results in order to deliver one
combined alert per model Group. It is possible that an alert is generated for each model group
per line of business.
The score of the combined alert consolidates the score factors from all the relevant detection
models. The consolidation method has a number of merits:
• Providing the full picture in each alert – every alert displays a multi-faceted picture of the
‘Sales Practices’ risk exposure of the account, as well as the account profile, customer
information, and prior alerts for the same account.
• Demonstrating the various aspects of the same activity – often the same behavior can be
considered interesting from several different aspects. The consolidated alert provides the
investigator with all the relevant aspects and the severity level of each.
• Enhanced Due Diligence – in some cases the risk exposure level of each detection model is
not sufficient to trigger an alert, but by combining several activity patterns the system can
identify relevant accounts which might otherwise be overlooked.
• Better scoring scales – by combining the score factors of all the detection models the system
generates a better alert scoring scale.
• Reducing the number of alerts that require investigation – by combining several scenarios
into a single alert, the supervisor’s workload is reduced without missing any detection
scenarios.
1.9 Issue Suppression

When certain conditions are met, the suppression feature enables the system to stop issues from
being generated.
This feature is currently relevant to the Account Review (ACR) and Daily Account Review (DAR)
model groups.
1.9.1 Suppress Threshold

The default of all suppress thresholds is No.
The suppress thresholds are located in Settings > Thresholds > SP General > Suppression >
Suppression Switches
The following is the list of suppress thresholds:
• Account Risk Suppress
• Portfolio Value Suppress
• Portfolio Risk Value Suppress
• Distinct Product Keys Suppress
• Last Alert for this Account Suppress
Issue Suppression
• Check Concentration
NOTE:
The following suppression rules for the DAR model group apply only when the previous alert was
distributed on SP 4.0.0 onward (apart from DAR – SSC, SPO or SPC):
Account Risk Suppress
Portfolio Value Suppress
Portfolio Risk Value Suppress
Distinct Product Keys Suppress
1.9.2 Suppress Previous Issues Logic

If all of the following conditions are true, an issue is not generated:
NOTE:
For DAR, current month should be replaced by current day.
• If “Check Concentration” is on for the current model
And the current model is SSC
Then all the concentrations changed in:
▪ For each Position Underlying Product (using Check Single Security),
Concentration Criteria and Concentration Denominator (using Criteria Concentration
value):
 ABS (current month – Prev Alert) <= “Changes in Concentration for Generating a
New Issue” threshold.
NOTES:
• The suppression logic is checked separately for each security in each concentration
found.
• Check the changes in the percent of concentration.
• If “Account risk suppress” is on
▪ Account Tolerance to Risk for the current month was not changed from the Prev
ACR/DAR alert.
• If “Portfolio Value suppress” is on
If Prev Alert Overall Portfolio Value = 0
Then if Curr month Overall Portfolio Value = Prev Alert Overall Portfolio Value
Then True Else False
Else 100* ABS (Curr month Overall Portfolio Value – Prev Alert Overall Portfolio Value) / Prev
Alert Overall Portfolio Value)) <= “% Change in Overall Portfolio Value for a new issue”
threshold
• If “Portfolio Risk Value suppress” is on
If Account Portfolio Risk for Prev ACR alert = 0
Then if Account Portfolio Risk for the current month = Account Portfolio Risk for Prev
ACR/DAR alert
Then True Else False
Else 100* ABS((Account Portfolio Risk for the current month - Account Portfolio Risk for Prev
ACR/DAR alert (Issue Type – in this model SSC))/ Account Portfolio Risk for Prev ACR/DAR
Issue Suppression
alert (Issue Type – in this model SSC)) <=“ % Change in Overall Account Portfolio Risk for a
new issue“ threshold
• If “Distinct Product Keys suppress” is on
All the positions that:
▪ In the current month = position date and the Prev ACR/DAR alert
▪ Have the same Position product key
• If “Last Alert for this account suppress” is on
▪ Current issue month - Prev ACR/DAR alert <= “N Months for generating a new issue”
threshold
In any case, if “Unsuppressed Function Exit Point” = true, generate an issue even though the last
conditions are met.
The Issue Suppression feature includes two exit points:
• Unsuppressed Function Exit Point – overrides all conditions and decides whether to generate
an issue
• SP_ACR/DAR_dist_should_account_generate_issue_main Exit Point – if this exit point
returns True, all other suppression logic is checked. If this exit point returns False, an issue is
not generated
1.9.3 Regular Thresholds

The regular thresholds are located in Settings > Thresholds > SP General > Suppression > name
of threshold
The following are the regular thresholds:
Suppress Categories Description Format Value
% Change in Overall Portfolio Minimal % change in portfolio value Number 30%

Value for a New Issue
from previous concentration alert for
this account. Determines whether a
new alert is generated.
% Change in Overall Account Minimal % change in portfolio value Number 30%
Portfolio Risk for a New Issue
from previous concentration alert for
this account. Determine whether a
new alert will be generated.
N Months for Generating a New Minimal amount of time from Number 6
Issue
previous concentration alert (any
scenario) for generating a new alert,
even if the portfolio value has not
changed from the previous month.
Changes in Concentration for Minimal changes in a specific Number 30%
Generating a New Issue
concentration from the current month
to the previous month
Previous Issue Lookback Period The lookback period for the previous Integer 6
alert (in months)
Actimize Risk Case Manager (RCM)
All thresholds use the default region and are relevant to all models. They can be configured on
the following levels:
• Region
• Model Group Name
• Model Name
1.10 Actimize Risk Case Manager (RCM)

The Actimize RCM is a web-based portal for streamlining investigation and reporting. It controls
the organizational workflow for internal review and analysis of the alerts generated by the
Actimize detection application. Branch supervisory personnel, and other designated personnel,
receive prioritized and filtered notification of unusual or anomalous Broker activities with
supporting case information. Users who wish to gain further context can easily “drill-down” into
suspicious activity data, find information on related events, and obtain detailed profiles for all
Brokers and individuals involved.
Depending on the user’s role and level of authority, they may re-assign, escalate, or process
alerts from a personalized list, or a common (departmental) queue. The RCM’s review features
enable users to modify the status and score of an alert, to attach notes and other documentation
and determine resolutions to alerts. When resolved, the user can note and describe the
disposition, flagging the alert for archiving.
For examples of Alert Details as they appear within the Actimize RCM, refer to the Alert Detail
Screens section that appears at the end of each chapter describing the solution’s model groups.
For full details of the capabilities of the Actimize Risk Case Manager, refer to the Actimize Risk
Case Manager (RCM) Reference Guide.
1.11 The Broker Risk Dashboard

The Broker Risk Dashboard is a set of two worksheets that summarize business unit productivity
in investigating risk.
NOTE:
The Broker Risk Dashboard does not support tenant.
This section includes the following topics.
✓ Overview of the Dashboard
✓ Worksheets
✓ Using the Filtering Pane
✓ Dashboard Toolbox
1.11.1 Overview of the Dashboard

The Broker Risk Dashboard is a managerial tool for tracking the performance of the organization.
For managers with permission to use this tool, the interactive dashboard displays the risky
brokers in comparison to their peer group. Managers see a default view, which can be filtered
repeatedly to produce different views of data in the SP repository.
The Dashboard enables you to:
• View reports filtered by Business Unit.
• View reports filtered by the top number of riskiest brokers.
The Broker Risk Dashboard
• View reports for all entities in the selected number of Lookback Months.
• View reports filtered by Risk Score – Sum of Alerts Score or Count of Alerts.
1.11.2 Worksheets
The Broker Risk Dashboard includes the following worksheets:
• Broker Risk
• Brokers Profile Deviation
1.11.2.1 Broker Risk
The data in the Brokers Risk worksheet is displayed as a tree map containing brokers that match
the selections in the filter. Once displayed, the user can hover over a broker to view additional
information.
NOTE:
The user can select more than one entity.
The data is displayed in the Brokers Risk worksheet by risk, where the highest risk is first in a
bigger and square and color-coded – red, orange, light green and dark green; Red being a very
high risk and dark green being a low risk.
1.11.2.2 Brokers Profile Deviation
The Brokers Profile Deviation worksheet displays the Broker data split according to key
indicators.
The data is displayed as the following six separate key indicators lined up in two rows:
• Change in Equity
• Cost to Equity Ratio
• Turnover Rate
• Commission to Equity Ratio
• Account Tolerance to Risk
• Account Portfolio Risk
Hovering over a key indicator displays a tooltip with the following general information:
• Maximum – highest value in chart
• Upper Hinge – upper limit of the box
• Median – median of the data
• Lower Hinge – lower limit of the box
• Minimum – lowest value in chart
Hovering over a specific point displays a tooltip with specific broker data as follows:
• ID – Id of the broker
• Name – name of the broker
• Number of accounts – number of accounts with the Last Profile Date
• Risk score – risk score number
• Change in equity – key indicator for Entity for Period per Account with Change in Equity from
profiles
• Turnover Rate – key indicator for Entity for Period per Account with Total Purchases / X
Month Average Adjusted Net Equity from profiles
• Cost to Equity Ratio – key indicator for Entity for Period per Account with Total Cost / X
Month Average Adjusted Net Equity from profiles
• Commission to Equity Ratio – key indicator for Entity for Period per Account with Total
Commission / X Month Average Adjusted Net Equity from profiles
• Account Tolerance to Risk – key indicator for Entity for Period per Account with Account
Tolerance to Risk from profiles
• Account Portfolio to Risk – key indicator for Entity for Period per Account with Account
Portfolio Risk from Profiles
1.11.3 Using the Filtering Pane

You can filter the summary reports by Business Unit, Risk Score Numerator, Top X Brokers and
Lookback Months by using the Filtering Bar at the top-right of the dashboard screen. Once a
selection is made in the filtering pane, the data displayed is automatically updated.
The Top X Brokers filter is taken into account after applying the other filters first.
1.11.4 Dashboard Toolbox

The area on the bottom of the display contains elements that allow you to customize and save
display settings, as well as undo, redo, revert, and refresh display setting options.
The following table describes the Dashboard Toolbox elements.

Element Description
Allows undoing or redoing display settings changes according to the latest
Undo/Redo change
Reverts to an empty display

Revert
Reloads the display in its current settings

Refresh
Pause Freezes any selection until you click Resume
Allows you to save a specific display setting and set it as your default
Original View display, enabling personalizing your dashboard using the following options:
NOTE:
• Selecting Other Views  Original View (default) reloads the default
display. For example, after erasing the display using Revert, this option
restores the default display.
• Once you have saved custom Views, you can reload them at any point.
Available only for users with AVA Publisher permissions. A user with AVA
Interactor permissions does not see this option.
Edit
Allows sharing the display settings via the following options:

Share
Glossary
Element Description
Downloads the display settings to a file
Download
Sets the display to full screen

Full Screen
1.12 Glossary
The following is a list of acronyms and abbreviations used throughout this guide.
Acronym/ Description
Abbreviation
ABS Absolute value
AIS Actimize Intelligence Server
ASF Additional score factor
BAC B&C Share Analysis
BOM Branch Office Manager
BSB Financial Consultant Qualifications (State & Product Qualification)
BSS State Blue Sky of Security (Product Registration)
CER Cost to Equity Ratio
CFR Commission to Fee Ratio
COR Commission to Equity Ratio
CPM Concentrated Positions of 1940 Accounts
DAA Discretionary Account Activity
DE Discretion Exercised
DNE Discretion Not Exercised
DVP Delivery Versus Payment
ECI Excessive Disciplinary Issues
ETF Exchange Traded Funds
FAA Fee-based Account Analysis
GM (GNMA) Government Mortgage (Government National Mortgage Association)
Glossary
Abbreviation
HRS Transaction in High Risk Securities
HSW Hybrid Switching
HYB High-Yield Bonds
IO Investment Objective
LAP Trading above Approved Level
LIE Loss in Equity
LIM Loss in Equity – Monetary
LOB Line of Business
LOI Letter of Intent
LST Low-Priced Security Trade
LTHL Long-Term High-Load (products)
LTR Large Trades
MAV Minimum Account Value
MBA-CER Number of accounts with CER for branch
MBA-COR Number of accounts with COR for branch
MBA-LIE Number of accounts with LIE for branch
MBA-SPO Accounts with Suitability of Portfolio for branch
MBA-TOR Number of accounts with TOR for branch
MBR-351 Average Number of Quarterly Complaints for branch
MBR-ACC Average Account # Changes to Commission Ratio for branch (MBR-ACC)
MBR-CER Average Broker Cost to Equity Ratio for branch (MBR-CER)
MBR-COR Average Broker Commission to Equity Ratio for Branch
MBR-ECR Average Number of Errors to Commission for branch
MBR-EDI Excessive Disciplinary Issues for branch
MBR-LIE Average Broker Loss in Equity for branch
MBR-TOR Average Broker Turnover Rate for branch (MBR-TOR)
MBR-USS Number of RRs under Special Supervision for branch
MF Mutual Fund
MFB Mutual Fund Breakpoint
MFF Multiple Fund Family Purchases
MKT Mutual Fund Market Timing
Glossary
Abbreviation
MMB Missed Breakpoint
NMB Near Breakpoint
NRA Options Trading No ROP Approval
NRR Not RR of Record
OHT Off-Hours Trade
OTE Opening Trade in Expiring Options
PMR Producing Manager Risk
PTI Principal Trade Issues
RCM Actimize Risk Case Manager
ROA Rights of Accumulation
RR Registered Representatives
RVP Receive versus Payment
SC Short Cover
SP Sales Practices
SPC Suitability of Portfolio Concentration Risk
SPO Suitability of Portfolio
SSC Single Security/Sector Concentration
ST Solicited Trades
TB Trade Blotter
TB Treasury Bill
T-Bill Treasury Bill
TOR Turnover Rate
UIT Unit investment trust
UL Underlying
UOT Uncovered Options Trade
UTR Suitability of Trade
VA Variable Annuities
VCA Carried/Insurance Appointments
VCA Carrier/Insurance Appointments
VCV Suitability of VA Contract Value
VHS High-Load Product Switching for Variable Annuities
Glossary
Abbreviation
VHS High-Load Product Switching for Variable Annuities
VMT Market Timing in Variable Annuities
VMT Market Timing in Variable Annuities
Chapter 2: Account Review (ACR) Model Group
2.1 Overview
The Actimize Account Review (ACR) group models include models developed for the primary
purpose of surfacing accounts that require review for potential sales practice abuse.
The Account Review group includes an Account Profile core model and several detection
models. Each detection model is dedicated to the evaluation of issues related to one or more
lines of business. For more information about lines of business, see Section 1.6.1: Lines of
Business, page 4.
2.1.1 Account Profile Core Model

The following table describes the types of attributes that make up the Account Profile core model.
Attribute Group Name Description
Account Attributes Account attributes are historical data that are saved as a snapshot of the
account data for the end of each month. The data includes Household,
Production Unit Number and Branch. (See Section 2.3.1: Account
Attributes, page 23.)
Core Aggregations Core Aggregations are the summary calculations that are done at the
account level. This includes monthly summaries from the detailed account
activity such as sum of cash deposits, withdrawals, number of trades, fees,
commissions, commissions waived, net equity, etc. The motivation for
creating the core aggregation is to summarize the data once and then use it
where needed. (See Section 2.3.2: Core Aggregation Attributes, page 24.)
Profile Calculations Profile Calculations are calculations that are done using the Core
Aggregations. The calculations store monthly attributes that are considered
to be part of the Account Profile such as loss in equity, turnover ratio,
tolerance to risk, and others. The analytical models check the change of the
account profile over a period of time. (See Section 2.3.3: Profile
Calculations, page 24.)
Suitability Information The Suitability Information attribute of the core model maintains information
required for suitability checks such as total net worth, liquid net worth,
investment objectives and others. (See Section 2.3.4: Suitability
Information, page 25.)
2.1.2 Account Review Detection Models

The following table describes the Account Review analytical detection models.
Model Name Description
Suitability of Portfolio and These combined models are designed to evaluate the overall portfolio risk,
Suitability of Variable including margin portfolio risk, and determine whether it is greater than the
Annuities Current account tolerance to risk. (See Section 2.4.2: Suitability of Portfolio and VA
Allocations combined Current Allocations (ACR-SPO), page 29.)
(ACR-SPO) Lines of business:
• Suitability
• Variable Annuities
• Options
Overview
Suitability of Portfolio This model is designed to evaluate the concentration of securities in a

Concentration Risk portfolio and determine whether it is greater than the account tolerance to
(ACR-SPC) risk. (See Section 2.4.3: Suitability of Portfolio Concentration Risk (ACR-
SPC), page 31.)
Line of business:
• Suitability
Commission to Equity This model is designed to detect commission charges that exceed a
Ratio (ACR-COR) percentage of an account’s net equity over monthly, trailing 3-month, and
trailing 12-month lookback periods. By default, the Commission to Equity
Ratio threshold varies according to the account’s stated investment objective,
which is the default value. This value can be modified by the implementer
during the solution’s installation. (See Section 2.4.4: Commission to Equity
Ratio (ACR-COR), page 33.)
Line of business:
• Account Activity
Cost to Equity Ratio This model is designed to detect account charges (cost) that exceed a
(ACR-CER) percentage of an account’s net equity over monthly, trailing 3-month and
trailing 12-month lookback periods. By default, the Cost to Equity Ratio
varies according to the account’s stated investment objective, which is the
default value. This value can be modified by the implementer during the
solution’s installation.
Costs charged include normal account maintenance, investment trade
charges or fees, and non-trade related charges. (See Section 2.4.5: Cost to
Equity Ratio (ACR-CER), page 35.)
Line of business:
Turnover Rate This model compares the average net equity against the monetary value of a
(ACR-TOR) calculated turnover amount over monthly, trailing 3-month, and trailing 12-
month lookback periods. An alert is generated if the calculated value of the
turnover rate exceeds the user-defined threshold over a specific model
period. (See Section 2.4.6: Turnover Rate (ACR-TOR), page 37.)
Line of business:
Loss in Equity (ACR-LIE) This model generates alerts for accounts that experienced a loss in equity
exceeding a predefined proportion threshold over monthly, trailing 3-month,
and trailing 12-month lookback periods. Model setting allows which logic
should be used for calculations (Simple LIE, Market Adjusted LIE or Product
Based LIE). (See Section 2.4.7: Loss in Equity by Proportion (ACR-LIE),
page 41.)
Line of business:
Loss in Equity Monetary This model generates alerts for accounts that experienced a loss in equity
(ACR-LIM) exceeding a predefined monetary threshold over monthly, trailing 3-month,
and trailing 12-month lookback periods. (See Section 2.4.8: Loss in Equity by
Monetary Value (ACR-LIM), page 47.)
Line of business:
Account Review General Attributes & Conditions
Fee-based Account This model is designed to look at fee-based accounts that are non-
Analysis (ACR-FAA) discretionary commission alternative accounts. The model offers both a
regulatory and a business-focused analysis of these accounts. From a
regulatory perspective, it monitors and identifies accounts with low levels of
account activity that may make the account inappropriate for this type of
program. From a business perspective, it looks for and identifies accounts
with high level of activity where the Firm’s periodic fee does not cover the
cost of maintaining the account. (See Section 2.4.9: Fee-Based Accounts
Analysis (ACR-FAA), page 50).
Line of business:
• Fee-Based Account Activity
Carrier/Insurance Each broker that sells variable annuities has to be appointed by each
Appointments insurance company in order to sell their products.
(ACR-VCA) This model is designed to detect VA sales transactions where the RR/agent
(all agents in case of split) on a brokerage account is not appointed by the
insurance company who has issued this contract. (See Section 2.4.10:
Carrier/Insurance Appointments (ACR-VCA), page 52).
Lines of business:
• Registration Activity
Concentration This model generates and alert if an account has highly concentrated
(ACR-SSC) position in single security or sector. Concentration thresholds are set
according to customer age. (See Section 2.4.11: Concentration (ACR-SSC),
page 53.)
Line of business:
• Suitability
Concentrated Positions of This model is designed to detect accounts that lack diversification or are
1940 Accounts overly concentrated. An alert is issued if any single security exceeds a
(ACR-CPM) predefined percentage of the portfolio or if the total of all stock holdings in the
same sector exceeds a predefined percent of the portfolio. (See Section
2.4.12: Concentrated Positions of 1940 Accounts (ACR-CPM), page 58.)
Line of business:
• 1940 Act
2.2 Account Review General Attributes & Conditions

The following sections provide information about the ACR model group’s general attributes and
conditions.
2.2.1 Frequency
The Actimize Account Review models are designed to run as a monthly process. The models
analyze the activities for the last month and compare them to the Account Profile.
NOTE:
All data feeds must be available at the time of the Monthly Account models’ execution.
2.2.2 General Filters

The filter rules determine which account activity is relevant for the Account Review model group.
For example, there may be legal exemptions determined by regulation, or there may be internal
exemptions determined within the organization.
The general filters, described in the following sections of this chapter, are used for all of the Account
Review models. In addition to these filters there may be model specific filters that define the
population for a particular model.
NOTE:
When loading data, make sure that it is final, after filtering cancellations, and after it has been
updated with the latest transactions. It is expected that the data in the staging area consists of
data of the latest transactions.
2.2.2.1 Accounts Filters

The following filters determine which accounts are relevant:
• Exclude DVP/RVP accounts
• Exclude Proprietary/Firm accounts
2.2.2.2 Balances Filters

The following filter determines which balances are relevant:
• Exclude Asset Types from Net Equity
2.2.3 Data Sources Used by All Models

All Account Review models use the following data sources:
• Trade Executions
• Transfers
• Transactions
• Accounts
• Security Master
• Balances
• Positions
Individual models may use additional data sources that are specific for each model.
2.2.4 Currency Use

A base currency is used for all Account Review calculation fields.
2.2.5 Transaction Types

Transaction type mapping between the Client transaction types and the solution transaction
types is predefined during implementation based on the requirements of the organization. For
example, a client transaction type code of 260 (Buy) can be mapped to the solution’s transaction
type Buy. Similarly, a client transaction type code 489 (statement fee) and a client transaction
type code 275 (maintenance fee) can both be mapped to the solution’s transaction type Fee. The
options for setting up Transaction Type Mapping are located in the References tab of the
Actimize RCM.
2.2.6 Investment Objective Mapping

Investment objective mapping is predefined during implementation according to the
organization’s requirements. The options for setting up investment objective mapping are located
in the Reference tab of the RCM.
The following table shows the default Investment Objective categories and the default codes that
are assigned to each category, as they are delivered with the solution.
Default Investment Objective Default Investment Objective

Category Codes
1 Preservation of Capital
2 Income
3 Growth
4 Income or Growth
5 Speculation or Profits
6 Undecided
7 Default
2.2.7 Account Review General Settings

The following thresholds and score factors are set up once for all Account Review models from
the SP Account Review > General Thresholds and Scores link in the Thresholds tab of the
Actimize Risk Case Manager.
2.2.7.1 Thresholds
Threshold Name Description Default Value
Alert Max Score Maximum alert score value to which the final alert score is 100
compared
Minimum Net Equity A general Account Review threshold that sets the minimum $1000
(Ending) account net equity
Lookback Period for A general Account Review threshold that sets the period 6 months
Prior Alerts used when counting prior historical alerts
2.2.7.2 Scoring
Score Factor Description Scoring Default
Scale Value
Prior Alerts The score value assigned based on the number of prior 1 20
alerts counted during the lookback period for prior alerts
2 40
>2 60
Account Profile Core Model
2.3 Account Profile Core Model

The Account Profile core model keeps aggregated historical data for each month.
NOTES:
• End-of-month dates (for running and processing) refer to calendar dates.
• When loading data, make sure that it is final, after filtering cancellations, and after it has been
updated with the latest transactions. It is expected that the data in the staging area consists
of data of the latest transactions.
The following sections describe the basic analytical Account Profile parameters that are used by
the various detection models.
2.3.1 Account Attributes

• Net Equity – the total equity of an account at a certain point of time; all long positions and
cash/cash equivalents minus the value of all account short positions and margin debt.
▪ Beginning Net Equity – net equity as of the last business day of the previous month.
▪ Ending Net Equity – net equity as of the last business day of the current month.
• Household ID - the institution's unique identifier used to link accounts that have a logical
relationship like family or business, or that will receive consolidated statements.
• Production Unit Number – a unique identifier of any representative associated with the
account - agent, promoter, registered representative, sales person, etc.
• Branch – the organization's unique identifier for the branch associated with the account.
• Account Total Assets – the total market value of the securities and cash positions in an
account.
• Margin Debit – borrowed money that is used to purchase securities.
• Investment Objectives – the stated objectives for which the client has chosen to invest, in
combination with the risk the customer has stated they are willing to accept in a given
account. The risk to the firm is inversely related to the risk the customer is willing to accept
(that is, a client willing to accept higher risk in the hopes of higher returns is less risky to the
firm than a client unwilling to accept any risk). There could be up to four investment
objectives (one primary and three additional objectives) set up for each account. Each
investment objective is assigned a weight with the total weight for all investment objectives
equaling 100%.
• Age – the age in years of the oldest account owner/authorized person on the account. Age is
calculated using the difference between the stated date of birth and the run date. This
attribute applies to personal accounts only (nonbusiness accounts).
• Annual Income – the stated annual income of either the account as a whole (if it was stated)
or of the oldest account owner/authorized person on the account. If both are available, the
stated annual income of the account is used preferentially.
• Total Net Worth – the stated total net worth of either the account as a whole (if it was stated)
or of the oldest account owner/authorized person on the account. If both are available, the
stated total net worth of the account is used preferentially.
• Liquid Net Worth – the stated liquid net worth of either the account as a whole (if it was
stated) or of the oldest account owner/authorized person on the account. If both are
available, the stated liquid net worth of the account is used preferentially.
• Risk Tolerance – the stated level of risk a given customer is willing to accept with respect to
the equity in an account. The risk to the firm is inversely related to the risk the customer is
willing to accept (in other words, a client willing to accept higher risk in the hope of higher
returns is less risky to the firm than a client unwilling to accept any risk).
• Fee Charges – the fee amount assessed to the account. The fee is charged on a periodic
(usually quarterly) basis.
2.3.2 Core Aggregation Attributes

• Total Trade Commissions – sum of all trade-related commissions
• Sum of Costs – total of normal account maintenance, fees in lieu of commissions, margin
interest, investment trade charges, and non-trade related charges
• Count of Number of Trades – number of purchases and sales executed over a certain period
• Count of Number of Purchases – number of purchases executed over a certain period
• Count of Number of Variable Annuities Purchase – number of variable annuities purchases
over a certain period
• Count of Number of Sales – number of sales executed over a certain period
• Count of Number of Variable Annuities Sales – number of variable annuities sales over a
certain period
• Sum of Purchases (buys) – total value of buy transactions
• Sum of Sales (sells) – total value of sell transactions
• Sum of Transaction (Assets) In – total value of deposits
• Sum of Transaction (Assets) Out – total value of withdrawals
• Sum of Commission Waived – total value of commissions the account would normally pay but
which was waived (did not pay)
• Sum of Cash Deposit – sum of cash/cash equivalent deposit transactions
• Sum of Security Deposit – sum of all securities deposited to an account through direct
deposits of securities, certificates, transfers, etc.
• Sum of Cash Withdrawals/Transfers – sum of cash/cash equivalent withdrawal/transfer
transactions
• Sum of Security Withdrawals/Transfers – sum of all securities withdrawn from an account
through direct withdrawals of securities certificates, transfers, etc.
2.3.3 Profile Calculations
2.3.3.1 Adjusted Net Equity

The net equity of the account after adjustments for nontrade activity (for example, deposits,
withdrawals, etc.), that were applied to the beginning of the period.
Calculation Logic
1. Take the Net Equity of the beginning of the period.
2. Add all money and securities deposited in the account.
3. Subtract all money and securities withdrawn from the account.
Example 1:
One-month adjusted net equity
Month Net Equity Assets In Assets Out Adjusted Net Equity
12/2004 1000 0 0
1/2005 1200 100 50 1000 + 100 - 50 = 1050
Example 2:
Three-month adjusted net equity
12/2004 1000 0 0
1/2005 1200 100 50
2/2005 1500 400 0
3/2005 1400 200 1000+100+400-50-200=1250
2.3.3.2 Change in Equity per Month

The change in account value due to trade and market activity after adjustments for nontrade
activity (for example, deposits, withdrawals, etc.).
Calculation Logic
• Net Equity (End) minus Adjusted Net Equity.
Example:
Month Net 12 Months 12 Months Adjusted Net Equity Change in Equity
Equity Assets In Assets Out
12/2004 1000 0
12/2005 1500 100 (50) 1000 + 100 -50 = 1050 1500-1050=450
2.3.4 Suitability Information
2.3.4.1 Account Tolerance to Risk

The computed maximum risk (volatility) value assigned to a given account as a result of several
factors used to determine a client’s ability to withstand and/or willingness to accept risk.
Account risk tolerance is derived from the various client characteristics such as customer’s stated
investment objectives, net worth, income, age, account classification, investor classification
(professional or ordinary), and more. Each risk factor is assigned a weight, which determines the
impact of this risk factor. In addition, the solution allows firms to fine tune account risk profiling by
adding an unlimited number of custom risk factors.
The default calculation uses the following characteristics: Investment Objective, Liquid Net
Worth, Annual Income, Net Worth and Age.
Factor Value Risk Volatility Value Weight
Investment objective Income or Growth 2 16.66%
Customer’s stated risk tolerance Moderate 2 16.66%
Customer’s age 73 2 16.66%
Annual income $78,000 2 16.66%
Liquid net worth $300,000 3 16.66%
Total net worth $600,000 3 16.66%
Total:
Account Tolerance Risk: (2*16.66%) + (2*16.66%) + (2*16.66%) + (2*16.66%) + (3*16.66%) +
(3*16.66%) = 2.33
2.3.4.2 Account Portfolio Risk

The overall portfolio risk is based on the volatility (beta) risk value of the stocks, rating of the
bond (S&P/Moody’s), the security type risk score (ETF, MF, etc.), and the margin debit multiplier.
Calculation Logic
1. Identify all the securities that are part of the account position.
2. If security is an option and position is short, determine if security is Covered or not using the
following logic:
If security is Call Option then: If position of underlying security  Option Quantity * Conversion
Factor then the security is covered.
Else
If security is Put Option then: If position of underlying security is short and ABS (position of
underlying security)  ABS (Option Quantity * Conversion Factor) then the security is
covered.
3. For each security, determine the Security Risk based on the security type as described in
Chapter 7: Risk-Related Calculations, page 202, and based on Is Covered indication and
Long/Short indication.
4. If the security is short (quantity < 0) then:
If Security Risk Value  Short High Risk Security Threshold, then multiply the Security Risk
Value by Default Short Security High Risk Multiplier Setting.
Else
Multiply the Security Risk Value by the Default Short Security Low Risk Multiplier Setting.
5. Calculate the Account Risk as: Sum (Abs(Sum(Position by Security ID)* Market Value*
Security Risk)) / Sum(Abs(Sum(Position by Security ID)* Market Value))
6. For accounts with Margin Debit > 0, Calculate Margin Risk Multiplier as: Total Equity divided
by (Total Equity – Margin Debit).
7. Assign Margin Risk Multiplier according to the Margin Risk Multiplier Translation based on
translation table:
Ratio of Margin Debit to Market Margin Multiplier

Value of the Account
0-10% 1.05
10-20% 1.10
20-30% 1.15
30-40% 1.2
40-50% 1.25
50-60% 1.5
60-70% 2.0
>70% 2.2
Flexibility
The following are set up for Account Profile – Account Portfolio Risk Calculation in the Actimize
RCM (Thresholds > SP Account Review > SPO – Suitability of Portfolio link).
Short High Risk Security Sets the threshold for the short high risk security value 3
that defines which short security multiplier is used
Setting Name Description Default Value
Default Short Security The value used for the Short Security High Risk Multiplier 3
High Risk Multiplier
Default Short Security The value used for the Short Security Low Risk Multiplier 2.5
Low Risk Multiplier
Max Margin Risk The value used for the Maximum Margin Risk Multiplier 10
Multiplier
The following table presents a full example of the calculation of account portfolio risk.
Security Security Name Product Type Long/Short Quantity Price ($) Value ($) Risk Risk Absolute
ID Indication Weighted Value
Total Score Risk
Weighted
Total
Score
D008569 DIANA SHIPPING INC CS Common stock Long 1000 $14.64 $14,640.00 3.01
Sum by Position: 1000 $14.64 $14,640.00 44066.4 44066.4

8H87136 PUT TRANSOCEAN PT Put option Long 10 $1.25 $1,250.00 1.5
AUG 050
Sum by Position: 10 $1.25 $1,250.00 1875 1875
8C45390 PUT ALTIRIS INC PT Put option Short 10 $3.00 ($3,000.00) 3

SEP17.50CBOE
Sum by Position: 10 $3.00 ($3,000.00) 9000 9000

8D74271 PUT MAXIMUS INC PT Put option Long 10 $1.75 $1,750.00 1.5
OCT 035 PSE
Sum by Position: 10 $1.75 $1,750.00 2625 2625
T006332 ***TRANSOCEAN INC. CS Common stock Long 1000 $53.97 $53,970.00 1.47
Sum by Position: 1000 $53.97 $53,970.00 79335.9 79335.9
C263805 CENTEX CORP CS Common stock Long 1000 $70.67 $70,670.00 1.27
C263805 CENTEX CORP CS Common stock Short 1000 $70.67 ($70,670.00) 3.18
Sum by Position: 0 $141.34 $0.00 0 0
9999999 Cash Cash Long 72000 $1.00 $72,000.00 0
Sum by Position: 72000 $1.00 $72,000.00 0 0
Portfolio Total Value: $152,210.00 Total: 180902.3
Portfolio Risk Value: 1.19
Margin Debt: $20,000.00
Margin Risk Multiplier: 1.1
Total Portfolio Risk Score: 1.309
2.3.4.3 Total High-Risk Security Position

The Total High-Risk Security Position represents the total market value of the high-risk positions
in an account.
Calculation Logic
1. Identify the risk for each security as shown in Chapter 7: Risk-Related Calculations, page
202.
2. Retrieve all positions of securities which are under Brokerage Account only and with Security
Risk > High Risk Security Determination threshold.
3. Accumulate all the positions using Sum (ABS (Sum (Position of the Same Security) * Market
Value)).
Flexibility
The following threshold is set up for Account Profile Suitability Information Calculations in the
Actimize RCM (Thresholds tab > SP Account Review > SPC – Suitability of Portfolio –
Concentration Risk link).
Detection Models
High Risk Security Determination The minimum risk value that determines whether 3
a security is considered high risk
2.4 Detection Models

The following general calculation describes logic that is used by some of the Account Review
models.
2.4.1 Average Adjusted Equity

After the equity for a given month has been adjusted (for deposits, withdrawals, etc.), it is added
to similarly adjusted equities from other months and divided by the total number of months under
consideration.
2.4.1.1 Calculation Logic

1. Retrieve the Adjusted Net Equity for each one of the months in the specified period (see
Section 2.3.3.1: Adjusted Net Equity, page 24).
2. Sum the results.
3. Divide by the total number of months for that period.
Example
12/2004 1000 0 0
1/2005 1200 100 50 1000+ 100 -50 = 1050
2/2005 1400 100 0 1200+100=1300
3/2005 1500 100 0 1400+100 = 1500
Average Adjusted Net (1050+1300+1500)/3 =1283

Equity
2.4.2 Suitability of Portfolio and VA Current Allocations (ACR-SPO)

The Suitability of Portfolio and Suitability of VA Current Allocations combined models are
designed to evaluate whether the overall portfolio risk is inconsistent with the account suitability
profile information, such as customer’s stated investment objectives, age, annual income, net
worth, liquid net worth, etc.
If there is a variable annuity contract linked to the account, the model compares the risk of
subaccount allocations to the calculated account’s tolerance to risk based on suitability
information provided on the brokerage account. Each variable annuity contract is evaluated
separately.
NOTE:
The ACR-SPO model supports multilanguage functionality. For more information, refer to the
Actimize FMC SP Implementer’s Guide.
Detection Models
In addition to evaluating the overall portfolio, the model checks whether there is a margin debt
that caused the Overall Portfolio Risk to be inconsistent with the account suitability profile
information.
Net equity calculations exclude positions in variable annuities as assets held away.
NOTE:
This model does not reduce the risk value assigned to positions which may be offset by other
security holdings in the portfolio (for example, option spreads. combinations, exotic or
representative derivatives, convertible securities, etc.).
For information about the portfolio risk calculations, see Section 7.2: Portfolio Risk, page 212.
2.4.2.1 ACR-SPO-Specific Population Filters

This model uses only general filters.
2.4.2.2 Detection Logic

1. Apply General Account Review filters.
2. Apply the SPO model.
3. Population filters.
4. Retrieve Account Portfolio Risk and Account Tolerance to Risk from the Account Profile.
5. Generate an alert if:
▪ Account Portfolio Risk > Account Tolerance Factor threshold/100 * Account Tolerance to
Risk (the threshold is a full number with a percentage; the number in the condition is a
fragment)
OR
▪ VA Risk > Account Tolerance to Risk for each variable annuity contract
2.4.2.3 Additional Data Sources

This model uses only Account Review general data sources.
2.4.2.4 Flexibility
Business users can adjust the following settings with the options in the Actimize RCM.
2.4.2.5 Thresholds
This model uses Account Profile thresholds.
Detection Models
2.4.2.6 Scoring
Score Factor Description Scoring Scale Default
Value
Difference between Score values are assigned based on the 0-20% 20
Account Portfolio Risk difference between Account Portfolio Risk
(or Variable Annuity (or Variable Annuity Contract Risk) and 20-40% 30
Contract Risk) and Account Suitability Tolerance to Risk (as
Account Suitability Ratio to Account Suitability Tolerance to 40-60% 40
Tolerance to Risk Risk)
60-80% 60
>80-100% 80
>100% 100
Account’s Total Score values assigned based on the total $10,000-$100,000 5

Assets market value of the securities and cash
positions within an account. The higher the $100,000-$500,000 10
value, the higher the score.
>$500,000 15
Margin Multiplier The default values of margin multiplier 0-10 1.05
10-20 1.1
20-30 1.15
30-40 1.2
40-50 1.25
50-60 1.5
60-70 2
>70 2.2
2.4.2.7 User-Defined Lists

Users can add the appropriate items to user-defined lists using options in the Lists tab of the
Actimize RCM.
List Name Description Example Values
Account Exclusion List Accounts that must be excluded from the analysis User defined
2.4.3 Suitability of Portfolio Concentration Risk (ACR-SPC)

The Portfolio Suitability - Concentrated Risk model is designed to evaluate the concentration of
high-risk securities in a portfolio that is inconsistent with the account suitability profile information,
such as customer’s stated investment objectives, age, annual income, net worth, liquid net worth,
etc.
Portfolio Concentrated Risk is measured by the percentage of the portfolio’s market value in high-
risk security positions, compared to the liquid net worth of the customer. The threshold
concentration depends on the account suitability profile.
Detection Models
2.4.3.1 ACR-SPC-Specific Population Filters

• This model uses only general filters.

2. Apply SPC Model Population filters.
3. Calculate the Portfolio Concentrated Risk Ratio = Total High-Risk Security Position divided
by greater of (Liquid Net Worth and Net Equity).
4. Convert the Portfolio Concentrated Risk Ratio to Portfolio Concentrated Risk using the
Portfolio Concentrated Risk Ratio Setting.
5. Retrieve Account Tolerance to Risk.
6. Generate an alert if Portfolio Concentrated Risk > Account Tolerance to Risk.

2.4.3.4 Flexibility
Business users can adjust the following settings using options in the Actimize RCM.
Scoring
Value
Difference between Score values are assigned based 0-10% 40

Portfolio Concentrated Risk on the degree (%) that Portfolio
and Account Tolerance to Concentrated Risk differs from 10-50% 50
Risk Account Tolerance to Risk
50-100% 60
100-200% 70
>200% 80
Account Total High Risk Score values are assigned based $10,000-$100,000 5
Security Position on the total market value of the
high-risk positions in an account. $100,000-$500,000 10
The higher the value, the higher
the score. >$500,000 15
Portfolio Concentrated Risk Score values are assigned based 0–10% 0.5
Ratio on the account’s portfolio risk that
is calculated based on the volatility 10-20% 1.0
risk value of the stocks
20-25% 1.5
25-30% 2.0
30-40% 2.5
40-50% 3.0
>50% 3.5
Detection Models
User-Defined Lists
Users can add the appropriate items to the user-defined lists using the options in the Lists tab of
the RCM.
List Name Description Sample Values
Account Exclusion List Accounts that are to be excluded from the analysis User defined
2.4.4 Commission to Equity Ratio (ACR-COR)

The Commission to Equity Ratio (COR) model is designed to detect broker-dealer commission
charges that exceed a percentage of an account’s Average Net Equity over monthly, trailing 3-
month, and trailing 12-month lookback periods.
NOTE:
The COR model first checks trailing one month, then trailing 3-month and finally trailing 12-
month. Once an alert is issued, the model does not check other lookback periods. For example, if
commission charges for the past month exceed the threshold, an alert is generated and the 3
and 12-month lookback periods are not checked.
The COR threshold varies according to the account’s stated investment objective, which is its
default value. This value can be modified by the implementer during the solution’s installation.
2.4.4.1 ACR-COR-Specific Population Filters

1. Exclude accounts that did not have any trading activity during the month.
2. Exclude fee-based accounts.
3. Exclude variable annuities accounts.

NOTE:
When referring to historical data for a 3-month period, the model looks back at 4 months of data.
Similarly, when referring to a 12-month period, the model looks back at 13 months of data.
1. Apply general Account Review filters.
2. Apply COR model population filters.
3. Take accounts with Net Equity greater than the Minimum Account Equity threshold.
4. Check if historical data is available for 3-month and 12-month periods. If one of the periods
has no historical data, do not calculate the Commission Equity Ratio for that period.
5. For each of the three periods, calculate the Commission Equity Ratio = (commission for
that period divided by the Adjusted Average Net Equity).
6. Generate an alert if at least for one of the three periods Commission Equity Ratio 
Commission Equity Ratio Threshold.

Detection Models
2.4.4.4 Flexibility
Thresholds
NOTE:
The Minimum Account Equity threshold used by this model is a General Account Review
threshold (see Section 2.2.7: Account Review General Settings, page 22).
The thresholds for this model group can also be configured according to multiple factors, not only
Investment Objective. These factors can be found in the Threshold by Risk action link in the
RCM Settings  Thresholds tab. The following are the values that can be modified.
Threshold Name Description Default

Value
1 month COR COR threshold for period and Investment Objective category (see 10%
Section 2.2.6: Investment Objective Mapping, page 22)
3 months COR COR threshold for period and Investment Objective category (see 6%
12 months COR COR threshold for period and Investment Objective category (see 3%
Scoring
Value
COR Value Score values assigned based on the degree 0-10% 40
that the Actual COR differs from the threshold
10-50% 50
50-100% 60
100-200% 70
>200% 80
Account’s Average Score values assigned based on the 50,000-100,000 5

Adjusted Net account’s net equity of the account. The
Equity higher the equity, the higher the score (see 100,000-200,000 10
Section 2.3.3.1: Adjusted Net Equity, page
24) >200,000 15
Primary Investment Score values assigned based on account’s Speculation/Profits 0

Objective investment objective
Growth 15
Income/Growth 20
Income 25
Undecided 25
Preservation of 30
Capital
Default 25
Detection Models

Value
Account Risk Score assigned based on the account’s risk 0-0.5 0
0.5-1 15
1-1.5 20
1.5-2 25
2-2.5 30
2.5< 35
User-Defined Lists
Users can add the appropriate items to user-defined lists using the options in the Lists tab of the
Actimize RCM.
List Name Description Example

Values
2.4.5 Cost to Equity Ratio (ACR-CER)

The Cost to Equity Ratio (CER) model detects account charges (cost) that exceed a percentage
of an account’s Net Equity over monthly, trailing 3-month and trailing 12-month lookback periods.
The Cost to Equity Ratio varies according to the account’s stated investment objective; this is the
default value, which can be changed during the solution’s implementation phase.
NOTE:
The CER model first checks trailing one month, then trailing 3-month and finally trailing 12-
the account charges for the past month exceed the threshold, an alert is generated and the 3 and
12 month lookback periods are not checked.
Costs charged include normal account maintenance, fees in lieu of commissions, margin interest,
investment trade charges, and nontrade related charges.
2.4.5.1 ACR-CER-Specific Population Filters

• Exclude accounts that did not have any cost-related transactional activity during the month
• Exclude Variable Annuities Accounts

NOTE:
When referring to historical data for a 3-month period, the model looks back at 4 months of data;
similarly, when referring to a 12 -month period, the model looks back at 13 months of data.
2. Apply CER model population filters.
3. Take accounts with net equity greater than the Minimum Account Equity threshold.
Detection Models
4. Check if historical data is available for a 3-month and a 12-month period. If a period does not
have historical data, then the Cost Equity Ratio is not calculated for that period.
5. For each of the three periods, calculate the Cost Equity Ratio = Cost for that period divided
by the Average Adjusted Net Equity.
6. Generate an alert if at least for one of the three periods (Cost Equity Ratio)  Cost Equity
Ratio Threshold.

2.4.5.4 Flexibility
Business users can adjust the following settings using the options in the Actimize RCM.
Thresholds
NOTE:
The default value for ACR-CER thresholds is Investment Objective (see Section 2.2.6:
Investment Objective Mapping, page 22, and Section 2.3.1: Account Attributes, page 23). This
value can be modified by the implementer during the implementation phase.

Value
1 month Cost CER threshold for the period and Investment Objective category 12%
Equity Ratio (see Section 2.2.6: Investment Objective Mapping, page 22)
3 Months Cost CER threshold for the period and Investment Objective category 7%
12 Months Cost CER threshold for the period and Investment Objective category 5%
Scoring
Value
CER Value Score values assigned based on the degree (%) 0-10% 40
that the actual CER differs from the threshold
10-50% 50
50-100% 60
100-200% 70
>200% 80
Account’s Average Score values assigned based on the Net Equity 50,000-100,000 5
Adjusted Net of the account after adjustments for non-trade
Equity activity. The higher the equity, the higher the 100,000-200,000 10
score (see Section 2.3.3.1: Adjusted Net Equity,
page 24). >200,000 15
Detection Models

Value
Primary Investment Score assigned based on account’s investment Speculation/Profits 0
Objective objective
Growth 15
Income/Growth 20
Income 25
Undecided 25
Preservation of 30
Capital
Account Risk Score values assigned based on the account’s 0.5> 0

tolerance to risk
0.5-1 15
1-1.5 20
1.5-2 25
2-2.5< 30
2.5< 35
User Defined Lists

the Actimize RCM.
Account Exclusion List Accounts that must be excluded from the analysis. User defined
2.4.6 Turnover Rate (ACR-TOR)

The Turnover Rate model compares the Ending Net Equity against the monetary value of a
calculated turnover amount over monthly, trailing 3-month, and trailing 12-month lookback
periods. Additional thresholds are available to reduce the false positive ratio of the alerts such as
Sales to Purchases Ratio per period and Minimum TOR Threshold. Turnover rates may be
indicative of an RR account takeover leading to a potential liability for an organization.
An alert is generated if the calculated value of the turnover rate exceeds the user-defined
threshold over a specific period.
NOTES:
• The ACR-TOR model first checks trailing one month, then trailing 3-month and finally trailing
12-month. Once an alert is generated, the model does not check other lookback periods. For
example, if the calculated value of the turnover rate for the past month exceeds the threshold,
an alert is generated and the 3 and 12-month lookback periods are not checked.
• The ACR-TOR model supports multilanguage functionality. For more information, refer to the
2.4.6.1 ACT-TOR-Specific Population Filters

• Exclude accounts that did not have trading activity during the month
Detection Models
• Exclude accounts opened less than 90 days

• Exclude variable annuities accounts

NOTE:
1. Apply general account review filters.
2. Apply TOR population filters.
3. Exclude accounts that have been open for less than the Account Open Date threshold.
4. Check if historical data is available for a 3-month period and a 12-month period. If a period
has no historical data, do not calculate the Turnover Rate for that period.
5. If the turnover setting is Buy, calculate the turnover amount as follows:
Formula A: Total purchases over time period.
6. If the turnover setting is Average of Buys and Sells, calculate the turnover amount as
follows
Formula B: Average of total purchase + total sales.
7. For the Buy setting, include trade types with Buy Direction.
8. For Average of Buys and Sells, include all trade types listed in the following table.
9. Calculate Turnover Rate = Turnover Value for that period divided by the Average Adjusted
Net Equity.
10. Calculate Sales to Purchases Ratio as total of Sales to the Total of Purchases for that period.
Sales and purchases are calculated based on the following transaction types:
Direction Solution Transaction Types
Buy Buy
Buy to Cover
Buy to Open
Buy to Close
Sell Sell
Short Sell
Sell to Open
Sell to Close

(1 Month Turnover Rate > 1 Month Turnover Rate Threshold
AND
ABS (1 Month Total Sales/ Total Purchases Ratio) >= 1 month SalesToPurchases Ratio
threshold
Detection Models
)
OR
(3 Months Turnover Rate > 3 Months Turnover Rate Threshold
AND
ABS (3 Months Total Sales/ Total Purchases Ratio) >= 3 months Sales to Purchases Ratio
Threshold
AND
ABS (1 month TOR) >= Min TOR Threshold
)
OR
(12 Months Turnover Rate > 12 Months Turnover Rate Threshold
AND
ABS (12 Months Total Sales/Total Purchases Ratio) >= 12 months Sale to Purchases
Ratio Threshold
AND
ABS (1 month TOR)>= Min TOR Threshold
)

2.4.6.4 Flexibility
The business user can adjust the following settings using the options available in the Actimize
RCM.
Thresholds
NOTE:
The default value for ACR-TOR thresholds is Investment Objective (see Section 2.2.6:
Investment Objective Mapping, page 22 and Section 2.3.1: Account Attributes, page 23). This
value can be modified by the implementer during the implementation phase.

Value
Minimum Turnover Rate Minimum 1 TOR required. This threshold is applicable for 3 10%
and 12-month calculations only. Not used in scoring.
Minimum Account Age Minimum number of days the account is open. Calculated as 90 days
(Days) the difference between the last business date of the month and
the date the account was open.
1-month Turnover Rate TOR threshold for the period and investment objective. 300%
Detection Models

Value
1 Month Sales to Ratio of total sales (measured in monetary value) to the total 50%
Purchases Ratio purchases (measured in monetary value) for the respective
period. If the total Purchases equal 0, then this threshold is not
applicable. Not used in scoring.
3-month Sales to Ratio of total sales (measured in monetary value) to the total 50%
12-month Sales to Ratio of total sales (measured in monetary value) to the total 50%
TOR Formula Determines how TOR is calculated. Possible values: Buy

1. Buys only.
2. Average of Buys and Sells.
Scoring
Value
TOR Value Score values assigned based on the degree (%) 0-10% 40
that the actual TOR differs from the threshold
10-50% 50
50-100% 60
100-200% 70
>200% 80
Account’s Score values assigned based on the net equity 50,000-100,000 5

Average Adjusted of the account after adjustments for non-trade
Net Equity activity. The higher the equity, the higher the 100,000-200,000 10
page 24). >200,000 15
Primary Score values assigned based on the account’s Speculation/Profits 0

Investment investment objective.
Objective Growth 15
Income/Growth 20
Income 25
Undecided 25
Preservation of 30
Capital

risk
0.5-1 15
1-1.5 20
1.5-2 25
Detection Models

Value
2-2.5< 30
2.5< 35
User-Defined Lists
Users can add the appropriate items to user-defined lists using the options in the Lists tab of the
Actimize RCM.
2.4.7 Loss in Equity by Proportion (ACR-LIE)

This model generates alerts for accounts that experienced a loss in equity exceeding a defined
proportion threshold over monthly, trailing 3-month, and trailing 12-month lookback periods.
Model setting allows user to determine which logic should be used for calculations (Standard,
Market Adjusted by Account Investment Objective or Market Adjusted by Account Product Mix).
NOTE:
The ACR-LIE model first checks trailing one month, then trailing 3-month and finally trailing 12-
the loss in equity for the past month exceeds the threshold, an alert is generated and the 3 and
12 month lookback periods are not checked.
2.4.7.1 Logic Modes

The following are the logic modes:
• Standard – loss in equity is calculated as a change in portfolio value between the beginning
of the period and end of the period, excluding net assets impact.
• Market adjusted by account investment objective – loss in equity is calculated as a
change in portfolio value excluding net assets impact and relative to the market fluctuation by
incorporating changes in market indices. Change in market index is determined based on the
values provided in the Market Index Change setting. In this mode, each investment objective
is mapped to one or more market indices with indicated weights for each.
• Market adjusted by account product mix – loss in equity is calculated as a change in
portfolio value excluding net assets impact and relative to the market fluctuation by
incorporating changes in market indices. In the Product Mix setting, each product is mapped
to one or more market indices with indicated weights for each. This product mix is then
applied to each individual portfolio based on the product allocation in that portfolio.
Standard Example
The LIE model generates alerts for accounts that have experienced a percentage loss in equity
exceeding a defined percentage threshold over monthly, trailing 3-month, and trailing 12-month
lookback periods.
For example, for January 2005, the Beginning Net Equity taken from the end of December 2004
is $10,000. At the end of January 2005, this account shows:
• Net equity $7000
Detection Models
• Total deposits $1000

• Total withdrawals $500
The adjusted net equity is therefore 10000 + 1000 – 500 = 10,500.
The LIE in this case is 7000 –10500 = –3500 or 33.3%. If the LIE exceeds the threshold (default
is set to 15%), an alert is generated.
Market Index Adjusted by Account Investment Objective Example

In this mode, each investment objective is mapped to one or more market indexes. Each index is
assigned a weight with a total of 100%.
Investment Objective Market Index Change/Weight

Speculation/Profits Index1 50%
Index2 25%
Index3 25%
Growth Index1 100%
Income/Growth Same as above. Different indices and weights can be applied per investment
objective.
Income Same as above. Different indices and weights can be applied per investment
objective.
Account information:
• Beginning net equity = $10,000
• Total deposits = $1,000
• Total withdrawals = $500
• Net equity = $7,000
• Primary investment objective is growth
Alert Market Adjusted LIE: -13.3%

Alert is generated due to the 1 month period
Scenario Market Change Account LIE Market Adjusted LIE

1 Month -20% -33.3% -13.3%
1 Month Market Change: -20%

Primary Investment Objective Market Index Index Weight Index Change
Growth Index 1 100% -20%
In this scenario:
• The account’s LIE ratio is -33.3%.
• Based on the investment objective settings, the market was down 20%.
• The market-adjusted LIE equals the account LIE minus the market change. The resulting
adjusted LIE is -13.3%.
Since it does not exceed the threshold (default is set to 15%), an alert is not generated.
Detection Models
Market Adjusted by Account Product Mix Example

This setting allows defining a market index change per product type. Product allocation is
calculated for each individual account portfolio as last business day of the month. The allocation
is applied to calculate market index change for 1, 3 and 12 months.
Product type Index Percentage of Index Applied
Equity Index1 100%
Fixed Income Index2 30%
Index3 70%
Futures Index4 100%
Mutual Fund Index5 100%
Account information:
• Beginning net equity = $10,000
• Total deposits = $1,000
• Total withdrawals = $500
• Net equity = $7,000
• The account portfolio is based on equity (50%) and fixed income (50%)
Alert Market Adjusted LIE: -21.78%

Alert is generated due to the 1 month period
Scenario Market Change Account LIE Market Adjusted LIE

1 Month -11.55% -33.3% -21.78
Index Change Calculation

LIE calculation mode: Market Adjusted by Account Product Mix
Allocation in Portfolio
Equity 50%
Fixed Income 50%
1 Month – Market Change

Product Type Market Index Index Weight Index Change
Equity Index 1 100% -20%
Fixed Income Index 2 30% -8%
Index 3 70% -1%
In this scenario:
• The account’s LIE ratio is -33.3%.
• Based on the weighted average according to portfolio holdings, the market was down
11.55%. This is based on the following calculation:
50% * (-20) + 50% * (0.3*-8 + 0.7*-1) = -11.55%
Detection Models
• The Market Adjusted LIE equals the Account LIE minus the Market Change. The resulting
adjusted LIE is -21.78%, based on the following calculation:
(-33.3%) – (-11.55%) = (-21.78%).
Since the Market Adjusted LIE exceeds the threshold (default is set to 15%), an alert is
generated.
2.4.7.2 ACT-LIE-Specific Population Filters


NOTE:
2. Apply LIE population filters.
3. Standard logic: Take accounts with Net Equity Loss. Determine loss by checking whether
Adjusted Net Equity > Net Equity
4. Check if historical data is available for a 3-month and 12-month period. If the period does not
have enough historical data, Loss in Equity Ratio is not calculated.
5. Calculate Loss in Equity Ratio ((Net Equity (End) - Adjusted Net Equity) for that period
divided by the Adjusted Net Equity).
6. Check the LIE mode. If the logic is set to Standard, continue to Step 7. If LIE is set to one of
the Market Adjusted modes, continue Step 8.
Standard Logic: at least for one of the three periods Loss in Equity Ratio  Loss in Equity
Threshold for respective threshold. If the threshold is exceeded in more than one period,
an alert is issued for the shortest time period.
8. Calculate the market change according to the selected Market Adjusted mode. If the LIE
mode is set to Account Investment Objective, calculate the market change based on the
indices allocations for each investment objective. If the LIE mode is set to Account Product
Mix, calculate the market change based on indices allocations for each product in the
portfolio.
9. Generate an alert if at least one of the three periods Loss in Equity Ratio - Market change
(include sign of the index “+” or “-“)  Loss in Equity Threshold for the respective threshold.

Detection Models
2.4.7.5 Flexibility
Thresholds
NOTE:
The default value for ACR-LIE thresholds is Investment Objective (see Section 2.2.6: Investment
Objective Mapping, page 22 and Section 2.3.1: Account Attributes, page 23). This value can be
modified by the implementer during the implementation phase.

1-month Loss in LIE ratio threshold for period and investment objective category 15%
LIE Calculation Mode Determines which logic is used for calculations. Standard
Possible values:
• Standard
• Market Adjusted by Account Investment Objective
• Market Adjusted by Account Product Mix
Account Investment Assign indices and their weights per investment objective See below
Objectives Indices value.
This threshold is only displayed when the LIE calculation mode
is Market Adjusted by Account Investment Objective.
Account Product Mix Assign indices and their weights per product type. See below
Indices This threshold is only displayed when the LIE calculation mode
is Market Adjusted by Account Product Mix.
Account Investment Objectives Indexes

Investment Objective Market Index Percentage
Preservation of capital Dow 100%
Income Dow 100%
Growth S&P500 100%
Income/Growth S&P500 100%
Speculation/Profits S&P500 100%
Undecided Dow 100%
N/A Dow 100%
Account Product Mix indexes

Product Type Market Index Percentage
Equity Dow 50%

S&P500 50%
Detection Models
Product Type Market Index Percentage
Fixed Income JPMC Govt 30%

Merrill Lynch Bond 70%
500 index
Equity Dow 50%
Equity S&P500 50%
Fixed Income JPMC Govt 30%
Fixed Income Barclays Capital 70%

Aggregate
Scoring
Value
LIE ratio value Score values assigned based on the degree 0-10% 40
(%) that the actual LIE varies from the threshold
10-50% 50
50-100% 60
100-200% 70
>200% 80
Account’s Adjusted Score values assigned based on the net equity 50,000-100,000 5
Net Equity of the account after adjustments for non-trade
activity. The higher the equity, the higher the 100,000-200,000 10
page 24). >200,000 15
< 50,000 0
Primary Investment Score values assigned based on the account’s Speculation/Profits 0

Objective investment objective
Growth 15
Income/Growth 20
Income 25
Undecided 25
Preservation of 30
Capital

risk
0.5-1 15
1-1.5 20
1.5-2 25
2<2.5 30
2.5< 35
Detection Models
User-Defined Lists
the Actimize RCM.
2.4.8 Loss in Equity by Monetary Value (ACR-LIM)

This model generates alerts for accounts that experienced a monetary loss in equity exceeding
predefined thresholds over monthly, trailing 3-month, and trailing 12-month lookback periods.
2.4.8.1 ACR-LIM-Specific Population Filters


NOTE:
2. Apply LIM population filters.
3. Select accounts with Net Equity Loss.
4. Determine the loss by checking whether Adjusted Net Equity > Net Equity.
Check whether there is historical data available for a 3-month period and a 12-month period.
If the period does not have sufficient historical data, Loss in Equity Value is not calculated.
5. Calculate Loss in Equity Value for these periods as follows:
▪ LIM value = -1* ((Net Equity (End) - Adjusted Net Equity)
▪ LIM value thresholds determined based on the account investment objective
 LIM value 1 month ≥ LIM value threshold 1 month
OR
OR
6. Generate an alert if in at least one of the three periods:
LIM value  LIM value threshold for the respective threshold.
NOTE:
If the threshold is exceeded by more than one period, the alert is generated for the shortest
period.

This model uses only Account Review general data source.
Detection Models
2.4.8.4 Flexibility
Thresholds
NOTE:
The default value for ACR-LIM thresholds is Investment Objective (see Section 2.2.6: Investment
Objective Mapping, page 22 and Section 2.3.1: Account Attributes, page 23). This value can be
modified by the implementer during the implementation phase.
Threshold Name Description Investment Objective Default Value

One-month Loss LIM value threshold for a 1-month Preservation of capital $50,000
in Equity value period and investment objective
category Growth $100,000
Income/Growth $100,000
Income $75,000
Speculation/Profits $200,000
Undecided $75,000
Default (N/A) $75,000
Three-month Loss LIM value threshold for a 3-month Preservation of Capital $150,000
in Equity value period and investment objective
Income $200,000
Speculation/Profits $500,000
Undecided $200,000
12-month Loss in LIM value threshold for a 12-month Preservation of Capital $250,000
Equity value period and investment objective
Income $300,000
Speculation/Profits $1,000,000
Undecided $300,000
Detection Models
Account Investment Objective

The following table lists the default investment-objective categories and their default codes,
which are assigned to each category when delivered with the solution.
Default Investment Default Investment Objective
Objective Category
Codes
1 Preservation of Capital
2 Income
3 Growth
4 Income or Growth
5 Speculation or Profits
6 Undecided
7 Default
Scoring
Value
LIM value Score values assigned based on Actual LIM $0-$50,000 10
value difference from the threshold.
The scoring scale is from X to Y (inclusive). $50,000-$200,000 15
$200,000-$400,000 20
$400,000-$1,000,000 25
$1,000,000 and above 30
Account’s Score values assigned based on the net equity $50,000-$100,000 5

Adjusted Net of the account after adjustments for non-trade
Equity activity. $100,000-$200,000 10
The higher the equity, the higher the score.
>$200,000 15
<$50,000 0
Primary Score values assigned based on the account’s Speculation/Profits 0

Investment investment objective
Objective Growth 15
Income/Growth 20
Income 25
Undecided 25
N/A 25
Preservation of Capital 30
Detection Models

Value
risk
0.5-1 15
1-1.5 20
1.5-2 25
2<2.5 30
2.5< 35
User-Defined Lists
the Actimize RCM.
Account Exclusion List Accounts that must be excluded from the analysis. User defined
2.4.9 Fee-Based Accounts Analysis (ACR-FAA)

The Fee-based Accounts Analysis (FAA) model includes the Commission to Fee Ratio (CFR)
and Minimum Account Value (MAV) combined models. It is designed to look at fee-based
accounts that are non-discretionary commission alternative accounts and offer both a regulatory
and a business-focused analysis of these accounts. From a regulatory perspective, they surveil
and identify accounts with low levels of activity that may make the account inappropriate for this
type of program. From a business perspective, they look for and identify accounts with a high
level of activity where the firm’s periodic fixed fee does not cover the cost of maintaining the
account.
The number and types of trades, the amount of commissions waived, the account’s balance and
the cost of the account to be in the program are all compared in order to judge the
appropriateness of an account for inclusion in a fee-based program.
2.4.9.1 ACR-FAA-Specific Population Filters

Include all customer accounts participating in fee-based account programs and other accounts
linked by Household ID that also participate in the program.

2. Apply FAA population filters.
3. Check if historical data is available for a 6-month, 12-month and 18-month period. If a period
has no historical data, do not proceed with the calculations for this period.
▪ The sum of the Net Equity for all accounts associated with a Household ID in the fee-
based program is < the user-defined Minimum Household Total Net Equity threshold.
OR
▪ At least one of the following is true for at least one of the following periods.
Detection Models
NOTE:
The generated alert refers only to the most significant period for each of the following
scenarios. This is the period that has the maximum difference between the scenario’s
result and the threshold.
 Number of Trades for the account is below a user-defined Minimum Low Number
of Trades for a Period threshold, or zero.
OR
 Number of Trades for the account is above a Maximum High Number of Trades for
a period threshold
OR
 If the Fixed Fees Charged > Commissions Waived and the Ratio of Fixed Fees
Charged to Commissions Waived for Under Active Accounts for a period >
Ratio of Fees Charged to Commissions Waived for Under Active Accounts
threshold, up to and including infinity.
OR
 If Commissions Waived > Fixed Fees Charged and the Ratio of Fixed Fees
Charged to Commissions Waived for Over Active Accounts for a period  the
Ratio of Fees Charged to Commissions Waived for Over Active Accounts
threshold.
NOTE:
If commissions waived is equal to 0 (zero), the system issues an alert.

2.4.9.4 Flexibility
The business user can adjust the following settings using options available in the RCM.
Thresholds
Threshold Name Description Period &
Default Value
Minimum Low Number of The minimum number of trades (for each period set User Defined
Trades for a Period by the user for this threshold; for example, 6, 12 and
18 months) which sets the threshold for under
active accounts.
Maximum High Number of The maximum number of trades (for each period set User Defined
Trades for a Period by the user for this threshold; for example, 6, 12 and
18 months) which sets the threshold for over active
accounts.
Ratio of Fees Charged to The ratio (%) of fixed fees charged over 200%.
Commissions Waived for commissions waived (for each user-defined period
Under Active Accounts for this threshold) which sets the threshold for under
active accounts.
Ratio of Fees Charged to The ratio (%) of fixed fees charged over 50%
Commissions Waived for Over commissions waived (for each user-defined period
Active Accounts for this threshold) which sets the threshold for over
active accounts.
Detection Models
Threshold Name Description Period &

Default Value
Minimum Household Total Net The amount that sets the threshold for Minimum $50000
Equity Total Net Equity for accounts of a Household ID in
the program.
Scoring
Value
Number of trades The score values assigned based on the No Activity 25
number of trades during the defined period.
Under-active 20
Over-active 10
Fees charged to For Overactive Accounts < 25% 50

Commissions The score values assigned based on the ratio
Waived Ratios of fixed fees charged to commissions waived 25-50% 50
NOTE: 50-85% 25
Proportionate scores are given for
intermediate values for this factor. 85-200% 0
For Underactive Accounts 200%-300% 20

The score values assigned based on the ratio
of fixed fees charged to commissions waived 300%-500% 25
NOTE: > 500% 30

Proportionate scores are given for
intermediate values for this factor.
Account value falls The score value assigned if the account value -- 10
below Minimum falls below the minimum household total net
Household Total Net equity threshold
Equity threshold
2.4.10 Carrier/Insurance Appointments (ACR-VCA)

This model is designed to detect variable annuity sales transactions where the RR/agent (all
agents in case of split) on a brokerage account is not appointed with the insurance company that
issued the contract. Each broker that sells variable annuities has to be appointed by each
insurance company in order to sell their products.
2.4.10.1 ACR-VCA-Specific Population Filters

• Include contracts that were opened during the current month
2.4.10.2 Logic
1. Apply Account Review filters.
2. Apply model-specific population filters.
3. For each variable annuity contract, retrieve the insurance company that issued the contract
(from the contract record), and compare to a list of insurance companies that the broker
(primary RR on brokerage account) is appointed with.
Detection Models
4. Generate an alert if there are one or more contracts issued by an insurance company which
the broker is not appointed with.
2.4.10.3 Flexibility
Enables the business user to adjust the following settings in the RCM UI.
Scoring
Score Factor Description Default
Value
Broker is not appointed Score assigned for each contract where the RR on the 20
with insurance company account is not appointed with the insurance company that
issued the contract
2.4.11 Concentration (ACR-SSC)

This model generates an alert if the account maintains a highly concentrated position in a single
security or sector. Concentration thresholds are set according to customer age.
NOTE:
The ACR-SSC model supports multi language functionality. For more information, refer to the
2.4.11.1 ACR-SSC-Specific Population Filters

Exclude accounts that fulfill one of the following:
• Net Equity < “Minimum Account Net Equity” threshold
• Total Net Worth < “Minimum Net Worth” threshold
• Acct Custom Value < “Custom Acct Value” threshold
Exclude positions that fulfill one of the following:
• Position product is in the “Security Exclude List”
• Position product subtype is in the “Security Types Exclude List”
• Position Composite Product is not Null
NOTE:
When Total Net Worth or Acct Custom Value is Null, it is not filtered.

2. Apply SSC population filters.
3. Exclude accounts with net equity below a Minimum Account Net Equity threshold.
4. Apply the Check Concentration threshold. When turned on, it prevents duplication of alerts. In
other words, only if there is a change in concentration for the portfolio compared to the
concentration when the last issue was generated, then detection runs. Otherwise, no
detection runs.
5. Calculate the ABS of the underlying product holdings. This is done by subtracting the total
short position value from the total long position value of an underlying product.
Detection Models
6. Calculate the Single Security Concentration/Low Priced Security by dividing the ABS of the
underlying product by the specific concentration denominator (such as Net Equity of the
account).
7. Calculate the ABS of the holdings of each criterion. This is done by subtracting the total short
position value from the total long position value of each criterion.
8. Calculate all other concentration criteria (not Single Security Concentration or Low Priced
Security) by dividing the ABS of each criterion by the specific concentration denominator
(such as Net Equity of the account).
9. Count the number of underlying securities for each criterion and store this value (this is done
to exclude duplication of focus issues).
▪ Single Security Concentration is above the Single Security Concentration threshold
OR
▪ Other concentration criteria (not Single Security Concentration or Low Priced Security) is
above the criterion’s own threshold
AND
▪ The number of underlying securities per criterion is above the count of mapped threshold
for the criterion and the relevant denominator
Thresholds
% Change in Overall Minimal % change in portfolio risk from previous 30%
Account Portfolio Risk concentration alert for this account. Determines
for a New Issue whether a new alert will be generated.
Calculation: None
Format: Number
% Change in Overall Minimal % change in portfolio value from previous 30%

Portfolio Value for a concentration alert for this account. Determines
New Issue whether a new alert will be generated.
Calculation: None
Format: Number
All Criteria’s Users can create several criteria using Account N/A – there is no default
Threshold by Risk factors only, except single security and low price. value
Changes in Minimal changes in a certain concentration from the 30%

Concentration for current to the previous month.
Generating a New Calculation: None
Issue
Format: Number
Concentration Criteria This threshold includes several criteria, as indicated Off

in Concentration Criteria.
Concentration Criteria Enables users to define up to five new Off

Activation concentration criteria.
Detection Models

Custom Account Equity dynamic value that should be mapped by the Age Threshold
Value client in order to filter. The default value is null. This
threshold can be set dynamically by account fields, 0 $100,000
custom fields, and/or account risk.
Calculation: None
Format: Number
Custom Enables users to define new criteria. N/A – there is no default

Concentration Criteria value
Custom Denominator Enables users to define new denominators. N/A – there is no default
value
Custom Product Enables users to define up to five new product N/A – there is no default
Attribute attributes, for example, User Name. value
Low Price ($) Threshold (Price < threshold) for determining Exchange Value
whether a security is low priced (Penny Stock). Code
(Applies to equities only.)
All 5
Calculation: None
Format: Number
Minimum Account Net This threshold can be set dynamically by account Age Threshold
Equity fields, custom fields, and/or account risk.
Calculation: None 0 $100,000
Format: Number
Minimum Net Worth This threshold can be set dynamically by account Age Threshold
fields, custom fields, and/or account risk. The
default scale is age. 0 $100,000
Calculation: None
Format: Number
N Moths for Minimal amount of time from previous 6

Generating a New concentration alert (any scenario) for generating a
Issue new alert, even if the portfolio value has not
changed from the previous month.
Calculation: None
Format: Number
Previous Issue The lookback period for the previous alert (in 6
Lookback Period months).
Product Level Enables users to define a threshold for a specific N/A – there is no default
Definition product key (without having to define criteria and/or value
factors).
Sector vs. Net Equity The count of underlying products that were found Age
during the analysis. The default Age factor can be
changed.
Single Security Users can create two criteria: single security or low Age
Threshold by Risk price, each using the Account and Product factors.
Single Security vs. Checks whether the thresholds are exceeded Age
Net Equity based on the factors.
Detection Models
Concentration Criteria
Name Description
Single Security The unique identifier of a financial instrument
Sector The sector or industry that the security belongs to; for example,
pharmaceuticals
Issuer The issuer of a security (company or legal entity; represented by the

first six digits of a CUSIP)
Country Country of the security’s exchange
Region The region of the position
Security Type Security class or subtype
Low Priced Security Penny Stock – security with a price lower than a certain threshold
(applicable only to equities)
Overall Low Priced Security Penny Stock – security with a price lower than a certain threshold,
calculated for an entire group of securities
High-Yield Bond Noninvestment grade bond
Overall Securities in Watch List 1 The concentration for the overall subtype in the entire watch list
Overall Securities in Watch List 2
Overall Securities in Watch List 3
Overall Securities in Complex The concentration of the overall product subtype in the entire
Products List Complex Products List
Custom The custom concentration criteria defined by the user
Scoring
Score Factor Description General Rule Specific Rules
Account Risk Score Score-assigned values based on the N/A Low Value Score
account’s tolerance to risk value.
0.5> 0
Thresholds can be set dynamically by
account fields, custom fields, and/or 0.5-1 15
account risk.
Calculation: Account Tolerance to 1-1.5 20
Risk
Format: Number 1.5-2 25
2-2.5 30
Country vs. Net Score for the country criterion N/A N/A
Equity Score
High-Yield Bonds vs. Noninvestment grade bond from the N/A N/A
Net Equity Score security master; determines S&P
and/or Moody’s and/or other ratings
Issues vs. Net Equity Score for the Issues criterion N/A N/A
Score
Detection Models
Score Factor Description General Rule Specific Rules

Low Priced Securities Score of the low-priced securities N/A N/A
vs. Net Equity Score criterion versus the net equity store
Overall Low Priced Score of overall low priced securities N/A N/A
Securities vs. Net versus the net equity score
Equity Score
Overall Securities in Score of overall securities in complex N/A N/A

Complex Products product lists versus the net equity
List vs. Net Equity score
Score
Overall Securities in Score of overall securities in Watch N/A N/A

Watch List 1 vs. Net List 1 versus the net equity score
Equity Score

Equity Score

Equity Score
Region vs. Net Equity Score of the region versus the net N/A N/A
Score equity score
Sector vs. Net Equity Score values assigned based on the The larger the Scale Score
Score difference between the sector order the
threshold and the section value. higher the 0-10 40
Calculation: Concentration criteria score
10-50 50
concentration differs from respective
threshold 50-100 60
Format: Number
100-200 70
>200 80
Security Type vs. Net Score of the security type versus the N/A N/A
Equity Score net equity score
Single Security vs. Score values assigned based on the The larger the Scale Score
Net Equity Score difference between the underlying order the
security threshold and the underlying higher the 0-10 40
security value. score
10-50 50
Calculation: Underlying security
concentration differs from respective 50-100 60
threshold
Format: Number 100-200 70
>200 80
Detection Models
2.4.11.4 User Defined Lists

Users can add the appropriate items to the user-defined lists using options in the List tab of the
Actimize RCM.
Name Description
Security Exclude List List of products that must be excluded from the detection analysis.
Security Types Exclude List of product subtypes that must be excluded from the detection analysis.
List
High Yield Security List of security subtypes that are excluded from the High Yield Bond analysis
Type Exclusion List only.
High Yield Security List of fixed income securities that are excluded from the High Yield Bond
Exclusion List analysis only.
Security Watch List 1 First list of securities under special watch.
Security Watch List 2 Second list of securities under special watch.
Security Watch List 3 Third list of securities under special watch.
Complex Products List List of security types (Product Subtypes) that are considered Complex
Products by FINRA, IOSCO and other global or bank-specific standards.
2.4.12 Concentrated Positions of 1940 Accounts (ACR-CPM)

This model detects managed accounts that lack diversification or are overly concentrated in any
single individual security, type of security, sector, etc. An alert is generated if any single security
exceeds a predefined percentage of the portfolio. An alert will also be generated for any
significant combined positions in cash or money market.
2.4.12.1 ACR-CPM-Specific Population Filters

• Include managed accounts only (Is_Managed_Account=”Y”).

3. Calculate single security concentration as follows:
Market value of the position for each security, divided by Account Ending Net Equity.
Aggregate positions with the same security identifier (offset long vs. short positions).
4. Calculate money market concentration as the total market value of the position divided by
Account Ending Net Equity. This is an aggregation of all money market subtype products in
the account.
5. Calculate cash concentration as the total market value of the position divided by Account
Ending Net Equity. This is an aggregation of the cash subtype products in the account.
6. Generate an alert if a single security concentration exceeds the Maximum Allowed Single
security concentration threshold and the account is a managed account.
OR
If the aggregation for all money market subtype products in the account exceeds the Money
Market Concentration threshold.
Detection Models
OR
If the aggregation for the cash subtype products in the account exceeds the Cash Related
Concentration threshold.
The business user can adjust the following settings in the RCM.
Thresholds
Threshold Description Value
Cash Related Maximum tolerated ratio of the total market value of the position 5%
Concentration divided by Account Ending Net Equity
Money Market Maximum tolerated ratio of the total market value of the position 30%
Concentration divided by Account Ending Net Equity
Maximum Allowed Maximum tolerated ratio of the market value of the position for 5%
Single Security each security divided by Account Ending Net Equity.
Concentration
Scoring
The total score of the alert will be determined based on the calculation of the following.

Value
Concentrated position in Score assigned when there is a concentrated position in a 20
managed or discretionary managed account
account
Chapter 3: Daily Account Review (DAR) Model
Group
3.1 Overview
The Actimize Daily Account Review (DAR) models consist of a group of analytical models
developed for the primary purpose of surfacing accounts that require daily review for potential
prohibited sales practices.
In conjunction with Trade Review and Account Review, this completes the comprehensive
offering for Sales Practices Compliance and provides documentation of appropriate supervisory
review.
3.1.1 Summary of the Daily Account Review Models

The following table provides an overview of each of the Daily Account Review Detection models.
Each model is dedicated to the evaluation of issues related to one or more lines of business. For
more information about lines of business, see Section 1.6.1: Lines of Business, page 4.
529 Plan State Review (529) This model identifies 529 Plan accounts where the administrative state
(DAR-529) is not the residence of the accountholder. Opening a 529 Plan account
in one’s home state may entitle the contributor to additional tax
advantages that are not available for non-residents.
529 Plans are a federal/state tax-advantaged way to save money for
college. The plans are maintained under Section 529 of the Internal
Revenue Code.
(See Section 3.3.1: 529 Plan State Review (DAR-529), page 64.)
Line of business:
• 529 Plans
Mutual Fund Market Timing This model is designed to detect patterns of mutual fund purchases and
(DAR-MKT) sales that may indicate Market Timing practices.
Market Timing is the practice of moving assets into and out of mutual
fund asset classes in an attempt to “time” the market and realize short-
term gains in mutual funds.
This practice is explicitly prohibited by most mutual fund companies,
and has been the focus of high visibility regulatory and legal
investigations.
(See Section 3.3.2: Mutual Fund Market Timing (DAR-MKT), page 66.)
Line of business:
• Mutual Funds
Trading Above Approved This model is designed to monitor option positions that are in variance
Level (DAR-LAP) with the account’s approved level for option strategies, by comparing
portfolio holdings against the customer’s approval level.
(See Section 3.3.3: Trading above Approved Level (DAR-LAP), page
68.)
Line of business:
• Options
Overview

Suitability of VA contract This model evaluates the size of a variable annuity contract compared
value (DAR-VCV) to the customer’s financial resources; for example, total net worth. If the
customer purchased multiple contracts, suitability of each contract is
evaluated separately at the time of purchase. This model also evaluates
total value of all variable annuities contracts that were originated in a
brokerage account.
(See Section 3.3.4: Suitability of VA Contract Value (DAR-VCV), page
72.)
Line of business:
High Load Product Switching This model detects accounts that have funded purchases of variable
for Variable Annuities annuities by selling front load products in brokerage accounts.
(DAR-VHS) Variable annuities are long-term high load products, and their cost and
fees structure make them unsuitable for short-term investing. Switching
between different classes of high load products, such as variable
annuities, UIT and mutual funds are especially costly to investors since
most of these products have front-load and back-load fees.
(See Section 3.3.5: High-Load Product Switching for Variable Annuities
(DAR-VHS), page 73.)
Line of business:
Market Timing in Variable This model is designed to detect patterns of purchases and sales that
Annuities (DAR-VMT) may indicate Market Timing practices.
Variable annuities products can be used to market-time mutual fund
portfolios by changing allocations in subaccounts.
(See Section 3.3.6: Market Timing in Variable Annuities (DAR-VMT),
page 75.)
Line of business:
Suitability of Portfolio This model evaluates whether the overall portfolio risk is inconsistent
(DAR_SPO) with the account’s suitability profile information such as stated
investment objective, age, annual income, net worth, and more.
(See Section 3.3.7: Suitability of Portfolio (DAR-SPO), page 77.)
Line of business:
• Account Suitability
Suitability of Portfolio – This model evaluates the concentration of high-risk securities in a
Concentration Risk portfolio that is inconsistent with the account suitability profile
information.
(See Section 3.3.8: Suitability of Portfolio - Concentration Risk (DAR-
SPC), page 87.)
Line of business:
Single Security/Sector This model generates an alert if the account maintains a highly
Concentration (DAR-SSC) concentrated position in a single security or sector.
(See Section 3.3.9: Single Security/Sector Concentration (DAR-SSC),
page 90.)
Line of business:
Daily Account Review General Attributes and Conditions

Hybrid Switching (DAR- This model detects switching behavior among customer determinable
HSW) products like mutual funds, annuities and UITs.
(See Section 3.3.10: Hybrid Switching (DAR-HSW), page 98.)
Line of business:
• Mutual Funds
Mutual Fund Breakpoint This is a subgroup of models.
Models (DAR-MFB) The MFB group includes the following models:
• Missed Breakpoint (DAR MMB) – this model detects patterns of
Mutual Fund breakpoint sales by analyzing client trades of either an
account or a household (based on a user-defined setting). It then
determines if a trade or series of trades qualify for a breakpoint
discount that was not given to the account (see Section 3.3.11.4:
Missed Breakpoint (MMB), page 110)
• Letter of Intent (DAR-LOI) – this model looks for front-end Mutual
Fund purchases in customer accounts, and then checks to see if a
Letter of Intent on file is dated within the last 13 months. If the LOI is
on file, the sales charge percentage is compared to the breakpoint
schedule to verify that the client received the proper discount (see
Section 3.3.11.5: Letter of Intent (LOI), page 113).
• Rights of Accumulation (DAR ROA) – this model analyzes Mutual
Fund, Annuity and 529 Plan positions and trades over time to
determine if a client (account or household, based on a user-defined
setting) is entitled to a Rights of Accumulation sales charge discount
under the terms and conditions of the fund’s Rights of Accumulation
parameters. If a client makes available its Mutual Fund holdings at
other custodial sites, this data can be included in the analysis as
well. The model determines if the current day’s trade, when
combined with other purchases, in any qualifying account, enabled
the client’s position to reach the next breakpoint, thereby qualifying
for the next lowest sales charge rate (see Section 3.3.11.6: Rights
of Accumulation (ROA), page 115).
• Near Breakpoint (DAR-NMB) – this model detects patterns of
Mutual Fund breakpoint sales by analyzing client trades of either an
account or a household (based on a user-defined setting) over time.
It then determines if a trade or series of trades falls short of
qualifying for a better breakpoint discount by a predetermined
configurable amount, initially set at 10% or less (see Section
3.3.11.7: Near Breakpoint (NMB), page 120).
Line of business:
• Mutual funds
Include List (DAR-INC) This model allows client firms to specify a list of specific accounts which
will alert on a daily basis upon detection of trading activity. This model
enables maintaining multiple lists of accounts, each named uniquely
and containing its own set of information/thresholds/include and
exclude criteria (see Section 3.3.12: Include List (DAR-INC), page 121).
3.2 Daily Account Review General Attributes and Conditions

The following sections provide descriptions of the model group’s attributes and conditions.
Daily Account Review General Attributes and Conditions
3.2.1 Frequency
The Daily Account Review models are all designed to run on a daily basis (T+1).
3.2.2 General Daily Account Review Filters

The General Daily Account Review filters determine which accounts are relevant for the model
group. For example, there may be legal exemptions determined by regulation or internal
exemptions determined by the organization.
The filters described in the following subsections are used for all Daily Account Review models.
In addition to these filters, there may be model-specific filters that define the population for that
particular model.
3.2.2.1 Account Filters

The following are filters that determine the accounts that should be excluded:
• Exclude proprietary accounts
• Exclude non-customer accounts
• Exclude accounts identified in the Account Exclude List maintained in the Actimize RCM
3.2.3 Data Sources Used by All Daily Account Review Models

Daily Account Review models use the following data sources:
• Accounts
• Trades
• Products
NOTE:
Individual models may use additional data sources that are specific for that model.
3.2.4 Currency Use

A base currency is used for all Daily Account Review calculation fields.

Transaction type mapping between the client transaction types and the solution’s transaction
types is predefined during implementation based on the requirements of the organization. For
example, a Client transaction type code 260 (Buy) can be mapped to the solution’s transaction
type Buy.
Similarly, a Client transaction type code 489 (Statement fee) and a Client transaction type 275
(maintenance fee) can both be mapped to the solution’s transaction type Fee. The options for
setting up Transaction Type Mapping are located in the References tab of the Actimize RCM.
3.2.6 Daily Account Review General Settings

The following thresholds and score factors are set up once for all Daily Account Review models
from the SP Account Review > General Thresholds and Scores link in the Thresholds tab of
the RCM.
Detection Models
Thresholds
Value
Lookback Period for Prior Alerts A general Daily Account Review threshold that sets the 10 months
period used when counting prior historical alerts.
Number of days trades Determines the expected maximum latency for a trade. 0
registration is being delayed Latency refers to the period between the Daily Account
Review process date and the Trade Date. If higher
latency is identified, trade is flagged as a delayed trade
(As of Trade).
Precision A general Daily Account Review threshold that sets the 2

number of digits after the decimal point; used for
rounding when calculating results (defines the accuracy
of the calculation).
Alert Max Score Maximum alert score value to which the final alert score 100
is compared
Scoring
The following general scoring factor is applied to all trades in the process of alert generation by
the DAR rule. By default, this rule is activated.
Factor Description Scoring Default

Scale Value
Prior Alerts Score value assigned by account based on alert 1 20
history.
The same alert type during the last 6 months, 2 40
including all today’s alerts.
3 60
The more past alerts, the higher the score.
3.2.7 General Daily Account Review User-Defined Lists

The Accounts Exclude List is set up once for all Daily Account Review models in the Lists tab of
the Actimize RCM. The Lists page initially opens empty, enabling business users to add the
appropriate excluded accounts to the list.

The following sections describe the DAR detection models.
3.3.1 529 Plan State Review (DAR-529)

The 529 Plan State Review model scans for activity of 529 Plan accounts whereby the state
sponsoring the plan is not the state of residence of the account holder. Opening a 529 Plan
account in one’s home state may entitle the contributor to additional tax advantages that are not
available for non-residents.
529 Plans are a federal/state tax-advantaged way to save for college. The plans are maintained
under Section 529 of the Internal Revenue Code. Almost every state offers at least one plan.
Residents of a state can invest in any other state's 529 Plan since they do not have to be a
resident of a particular state to invest in that state's plan.
Detection Models
Although each state determines particular plan features like maximum contribution, there are
some similarities. The following features are common to all 529 Plans:
• Tax-deferred growth of investment earnings
• Federal income tax-free qualified distributions
• No restrictions based on income
• The money can be used to pay for tuition and most plans cover books, room and board and
other qualified higher education expenses
• The money can be used to pay for most accredited colleges and universities nationwide and
does not have to be used at a state school
• Gift and estate tax benefits are available for contributors to the accounts
• The contributor (parent) not the beneficiary (child) maintains control over the account’s assets
Although the contributor does not need to be a resident of the state for which the 529 Plan is
being administered, the contributor should consider whether its home state offers its residents a
plan with alternate state tax advantages or other benefits. For this reason, the model surveils and
raises an alert when the client invests in a 529 Plan from a state that is different from the
contributor’s home state.
3.3.1.1 DAR-529-Specific Population Filters

• Exclude accounts that are in the Account Exclusion List
• Exclude accounts that are in the 529 - Account Exclusion List
• Include only 529 Plan Accounts

1. Apply general Daily Account Review filters.
2. Apply 529 model population filters.
3. Retrieve the state of residence of the account holder.
4. Retrieve the state that is administering the 529 Plan from the account information.
5. Generate an alert if the administering state of the 529 Plan does not match that of the
account holder.

• Parties (account holder residency)
• Transactions
• Transfers
3.3.1.4 Flexibility
The business user can adjust the following settings using the options in the Actimize RCM.
Thresholds
This model uses only Daily Account Review general thresholds and settings.
Detection Models
Scoring
Scale Value
Purchase of an out- Score value assigned if there was a purchase of an out- NA 30
of-state 529 Plan of-state 529 plan.
Trade value Score values assigned based on the trade value. The 0-$5K 5
greater the value amount, the higher the score.
$5K-15K 10
> $15K 15
User-Defined Lists
the Actimize RCM.
529 - Account Exclusion List Accounts that must be excluded from the analysis User defined
3.3.2 Mutual Fund Market Timing (DAR-MKT)

The Mutual Fund Market Timing model is designed to detect patterns of mutual fund purchases
and sales that may be indicative of Market Timing practices.
Market timing is the practice of moving assets into and out of mutual funds in an attempt to “time”
the market and realize short-term gains in mutual funds.
Mutual funds are intended to be long-term investments. Large and/or frequent inflows and
outflows can be disruptive to the investment objectives of the fund. Additionally, they can also
create unnecessary expenses within the fund, which can adversely impact its performance.
Inflows and outflows can also create unnecessary sales charge for the individual investor that is
moving the assets in and out of the funds.
The model attempts to minimize the number of false positives by eliminating trading activity that
results from the systematic rebalancing of mutual fund products with asset allocation models that
include automated rebalancing and routine transactions such as reinvestments, systematic
purchases, and/or withdrawals.
The system generates alerts for transactions that exceed user-defined thresholds of the number
of buys and sells within a lookback period, where the minimum value of the trades is above a
minimum value threshold.
3.3.2.1 DAR-MKT-Specific Population Filters

• Exclude account keys that are in the Account Exclusion list
• Exclude account keys that are in the MKT - Account Exclusion list
• Include Mutual Fund trades
• Exclude product keys that are in the MKT - Product exclude list
• Include Share Class
• Exclude proprietary account
• Exclude system rebalanced trades
Detection Models
• Count trades for the current account key >1

• Trade amount > Minimal allowed MF transaction value

2. Apply MKT model population filters.
3. Check that at least one mutual fund buy or sell occurred for the account during the current
business day.
4. Count the Number of Transactions (all mutual fund’s buys and sells) for the account during
the lookback period (short, medium and long) based on the user-defined Aggregation Level.
5. Sum monetary Value of Total Transactions (mutual fund’s buys and sells) for the account
during the lookback period.
6. Sum monetary Value of Buy Transactions (mutual fund’s buys) for the account during each
of the lookback period.
7. Sum monetary Value of Sell Transactions (mutual fund’s sells) for the account during each
of the lookback period.
8. Determine the Total Buys/Sells Ratio = Value of Buy Transactions divided by Value of Sell
Transactions.
9. Generate an alert if: The Number of Total Transactions in the lookback period > the
Minimum Number of Transactions threshold for the period
AND
The Value of Total Transactions > the Minimum total transactions Value threshold,
AND
The Total Buys/Sells Ratio > the Total Value of Buys and Sales Ratio Threshold.

This model uses only Daily Account Review general data sources.
3.3.2.4 Flexibility
The business user can adjust the following settings using the options in the Actimize RCM.
Thresholds
Minimum Number of Determines the thresholds for the number of transactions for 15
Transactions the lookback period
Minimum Value of Determines thresholds for the value of transactions for the $80,000
Total Transactions lookback period
Minimum Ratio Determines the threshold for the ratio of buys/ins over 75%
between Buys/Ins sells/outs (%)
and Sells/Outs
Minimal allowed MF Determines the minimum value of transactions 100

transaction value
Detection Models

Lookback period Determines the setting for the lookback period in days 90
Level of the alert Determines the detection aggregation level; the model can be Fund
set to one of the following:
Fund – analysis for market timing within a specific fund
Fund_Family – analysis across all funds in a family
Multi_Family – analysis across families
NOTE:
Transactions are defined as buys and sells.
Scoring
Value
Degree of Score values assigned based on the percentage >10%-50% 10
Violation by which the number of transactions threshold
was violated. >50%-100% 20
The higher the percentage, the higher the score.
> 100% 25
Buy/Sell Ratio Score values assigned based on the ratio of 75-85% 15

Buy/In transactions over Sell/Out transactions.
The higher the percentage, the higher score. >85-95% 20
>95% 25
Activity Value Score values assigned based on the total value 0 to $100,000 5
of the transactions involved in the activity.
The higher the value, the higher score. >$100,000- $500,000 10
>$500,000 25
User-Defined Lists
the Actimize RCM.

MKT - Product Exclude List Identifies specific products to be excluded User defined
MKT - Account Exclusion List Accounts that must be excluded from the analysis User defined
3.3.3 Trading above Approved Level (DAR-LAP)

The Trading above Approved Level model is designed to monitor options positions that are in
variance with the account’s approved level for option strategies. It compares portfolio holdings
against the customer’s approval level and generates an alert if the level of approval required for
the position is higher than the account level of approval.
The following example presents a table with the types of activities that are commonly included for
the different approval levels. Each higher approval level includes all lower level activities plus
more sophisticated strategies allowed by the higher level of approval.
Example - Level of Approvals for Options Transaction
Detection Models
If, in the example below, an account has Approval Level 4, this includes all activities of Approval
Level 3 (Covered Call, Long Put/Call and Naked Put) plus the addition of Combinations. If the
account holds an option position that is a Naked Call Write, an alert is generated. However, if the
account has Approval Level 4 and holds an option position that is a Covered Call, no alert is
generated.
Level of Approval
Strategy Level 0 Level 1 Level 2 Level 3 Level 4 Level 5
Covered Call * * * * *
Long Put/Call * * * *
Naked Put * * *
Combinations * *
Naked Call Write *
3.3.3.1 DAR-LAP-Specific Population Filters

• Exclude accounts that are in the Account Exclusion List
• Exclude accounts that are in the LAP – Account Exclusion List
• Include only customer Accounts
• Include only option products

2. Apply LAP model population filters.
3. Determine the Position Type of the position (Long/Short).
4. For each position that is being summarized, determine the Quantity Sign using the Long
Short indication. If it is a long position, the quantity is positive; if it is a short position, the
quantity is negative. For example, a quantity with a long indication will be (+100) and with a
short indication will be (-100).
5. Locate the appropriate strategy corresponding to the account’s Level of Approval (see
Section 3.3.3.3: Detailed Calculation for Position Strategy Approval, page 70).
6. Evaluate whether each option position is allowed for the account’s level of approval based on
the types of option positions permitted by the level of approval.
A position is an Options Position
AND
The account has no Level of Approval for option positions
OR
The account has at least one option position that is not approved for the account’s
designated Level of Approval.
Detection Models
NOTE:
This model assumes that all option contracts will be for 100 shares. If fractional contracts are
allowed, the scenarios must be changed. Also, only long positions of UL are said to cover
SC, not short positions of UL.
3.3.3.3 Detailed Calculation for Position Strategy Approval

The following calculations evaluate whether a Position Strategy is approved according to the
account’s option Level of Approval.
Approval Level 0 - No Options No option position is allowed.

Approval Level 1 - Covered Call 1. If Position Type = (Long Call or Long Put or Short Put), the option
position is not allowed.
Else
2. Check if Short Call position is covered, as follows:
▪ Determine Total Option Contracts = sum of all Short Call
Option Position Quantity (including the appropriate quantity
sign) for the underlying Security that is the same as the checked
position.
▪ Determine Total Underlying Quantity = sum of all Underlying
Position Quantity (including the appropriate quantity sign) for
the underlying Security that is the same as the checked
position.
▪ If (Total Underlying Quantity > 0
AND
▪ abs (Total Option contracts) * Conversion Factor  Total
Underlying Quantity), the short call option position is covered.
3. If not covered, then this Short Call option position is not allowed.
Approval Level 2 - Long 1. If Position Type = (Long Call or Long Put), then option position is
Call/Long Put/Covered Put allowed.
Else
If Position Type = (Short Call), determine if the position is covered
as described in Approval Level using the above logic.
Else
Check if Short Put position is covered, as follows:
2. Determine Total Option Contracts = sum of all Short Put Option
Position Quantity (including the appropriate quantity sign) for the
underlying Security that is the same as the checked position.
3. Determine Total Underlying Quantity = sum of all Underlying
Position Quantity (including the appropriate quantity sign) for the
underlying Security that is the same as the checked position.
4. If (Total Underlying Quantity < 0
AND
(Total Option Contracts)*Conversion Factor  Total Underlying
Quantity), the short put option position is covered.
5. If not covered, then this Short Put option position is not allowed.
Approval Level 3 - Naked Put • If Position Type = (Long Call or Long Put or Short Put), then
option position is allowed.
Else
• If Position Type = (Short Call), determine if the position is covered
as described in Approval Level using the logic above.
Detection Models
Approval Level 4 - 1. If Position Type = (Long Call or Long Put or Short Put), then
Combinations Scenario option position is allowed.
Else
If Position Type = (Short Call), determine if the position is covered
as described in Approval Level using the logic above.
Else
Determine Total Short Call Option Contracts = sum of all Short
Call Option Position Quantity (including the appropriate quantity
sign) for the underlying Security that is the same as the checked
position.
2. Determine Total Short Put Option Contracts = sum of all Short Put
Option Position Quantity (including the appropriate quantity sign)
for the underlying Security that is the same as the checked
position.
3. If number of Total Short Call Option Contracts > Total Short Put
Option Contracts then this Short Call option position is not allowed.
Approval Level 5 - Naked Call All option positions are allowed.

Scenario

• Account details (approval level)
• Positions (exclusive of fractional contracts and transferred long positions)
• Product details
3.3.3.5 Flexibility
Business users can adjust the following settings using the options available in the RCM.
Thresholds
This model uses only general thresholds and settings.
Scoring
Value
Unapproved position Score values assigned based on the Level Level 0 100
of Approval.
The lower the approval level, the higher the Level 1 80
score.
Level 2 70
Level 3 60
Level 4 70
Alert History by Account 1 1
Detection Models

Value
Score values assigned based on the 2 2
number of prior alerts by account. The more
previous Alerts, the higher the score. 3 3
This refers to 12 months of history.
4 4
>4 5
User-Defined Lists
the Actimize RCM.
3.3.4 Suitability of VA Contract Value (DAR-VCV)

This model evaluates the size of a variable annuity contract compared to the customer’s financial
resources (for example, total net worth). If the customer has purchased multiple contracts, the
suitability of each contract is evaluated separately at the time of purchase. The model also
evaluates the total value of all variable annuities contracts that originated from the brokerage
account.
NOTE:
There is a time lag between the time a contract is opened (Contract Open Date), and the time a
contract is added to the system. The model retrieves all new contracts that were added to the
system based on the process date.
3.3.4.1 DAR-VCV-Specific Population Filters

• Exclude annuitized accounts
• Exclude account keys that appear in the Account Exclusion List
• Exclude account keys that appear in the VCV – Account Exclusion List

3. Select contracts that were in the latest daily batch (by insert date).
4. Calculate the value amount based on the user-defined Value Amount Attribute setting.
5. Generate an alert if the ratio of the Value Amount of VA Contract/Total Net Worth on the
same VA contract is above the VA Contract Value Ratio Threshold;
OR
If the Total Value Ratio of all variable annuities contracts linked to the same brokerage
account/Total Net Worth on the Brokerage Account is above Total Value Ratio Threshold.
Detection Models
3.3.4.3 Flexibility
Business users can adjust the following settings in the RCM.
Thresholds
Threshold Description Value
VA Contract Value Ratio Ratio between a single VA Contract Value Amount and 25%
Brokerage Total Net Worth
Total Value Ratio Ratio between VA Contracts Total Value Amount and 50%
Brokerage Total Net Worth
Value Amount Attribute The method for calculating the Value Amount. The • Commitment
method can be: (default)
• Contract Amount Commitment - value Amount is equal • Balance
to the Account Commitment Size
• Balance Amount - value Amount is equal to the total of
all subaccount allocations (sum of all positions in VA
account)
Scoring
Scale Value
The ratio exceeds the The degree (%) that the ratio exceeds the threshold 0-5 20
threshold
5-10 40
>10 60
User-Defined Lists
the Actimize RCM.
3.3.5 High-Load Product Switching for Variable Annuities (DAR-VHS)

Variable annuities are long-term high load products, and their cost and fees structure make them
unsuitable for short-term investing. Switching between different of classes of high load products
such as variable annuities, UIT and mutual funds are especially costly to the investor since most
of these products have front load and back load fees.
This model detects brokerage accounts that have funded purchases of variable annuities by
selling front load products in brokerage accounts.
NOTE:
For cases where the purchase of high load products in the brokerage account is funded by the
sale of variable annuities contract(s), see DAR-VHS-Specific Population Filters
• Exclude trades with No Load products
• Exclude trades that did not led to a new commission or CDSC
• Exclude annuitized contracts
Detection Models
• Include products that are defined as long-term high-load products

• Exclude Cancel trades
• Exclude trades marked as Free Exchange
• Exclude systematic purchase and redemption trades
• Exclude Closed-End Mutual Funds
• Exclude account keys that appear in the Account Exclusion List
• Exclude account keys that appear in the VHS - Account Exclusion List
• Include Fee Based account

3. Select all contracts that were received in the current batch of data (inserted today).
4. Find a brokerage account that is linked to the variable annuity account.
5. In the brokerage check, if there was a NET sale of high load products during the sale
lookback period, aggregate the net sale across the products.
6. Calculate the ratio of net ale amount to VA commitment size.
7. Generate an alert if the ratio is above the threshold.

This model uses only Daily Account Review general data sources.
3.3.5.3 Flexibility
Thresholds
Threshold Name Threshold Description Default
Value
Brokerage Account Look Back Days to look back for buy and sell transactions in the 45
Period brokerage account
Ratio Net Sale of High Load Net of all purchases and sales in the brokerage account to 50%
Product to VA contract size VA contract size
Scoring
Name Description Score Scale Default
Value
VA contract size The monetary value of the VA contract 20,000-100,000 10
100,000-250,000 20
>250,000 30
The degree to which ratio exceeds the threshold 0-50% 20
Detection Models

Value
Ratio of Net Sale >50% 40
amount to VA
contract size
User-Defined Lists
the Actimize RCM.
3.3.6 Market Timing in Variable Annuities (DAR-VMT)

Market timing is the series of purchase and sales transactions when the customer changes
allocations within subaccounts. Since a VA contract is provides the customer with an option of
selecting funds within the same family, these transactions do not trigger new sales charges.
3.3.6.1 DAR-VMT-Specific Population Filters

• Exclude account keys that are in the Account Exclusion list
• Exclude account keys that are in the VMT - Account Exclusion list
• Include VA Mutual Fund trades
• Exclude product keys that are in the VMT - Product exclude list
• Include VA Share Class
• Exclude proprietary account
• Exclude VA system rebalanced trades
• Count trades for the current account key >1
3.3.6.2 Lookback Period

Firms receive VA data based on different schedules which may differ from insurance company to
insurance company. For example, insurance company A provides data on a daily basis while
insurance company B provides data twice a month. This model is based on data availability so it
may not be run daily.

3. Sort all VA trades received in the latest batch of VA trades based on trade date.
4. Find the latest purchase or sale type of transactions based on trade date during the lookback
period defined by the user.
NOTE:
For steps 5-9, VA trades are grouped by account, contract and aggregation level.
Detection Models
5. Count the Number of Transactions (all mutual fund buys and sells) for the contract.
6. Sum the monetary Value of Total Transactions (mutual fund buys/sells) for the contract.
7. Sum the monetary Value of Buy Transactions (mutual fund buys) for the contract.
8. Sum monetary Value of Sell Transactions (mutual fund sells) for the contract during the
lookback period.
9. Determine the Total Buys/Sells Ratio = Value of Buy Transactions divided by the Value
of Sell Transactions.
10. Generate an alert if the Number of Total Transactions > the Minimum Number of
Transactions threshold for that period,
AND
The Value of Total Transactions > the Minimum Total Transactions Value threshold,
AND
The Total Buys/Sells Ratio > the Total Value of Buys and Sales Ratio threshold.
3.3.6.4 Flexibility
Thresholds
The Lookback period (In Lookback period in days 90
days)
Aggregation Level (Fund, The detection aggregation level. The model can be set Fund_Family
Fund_Family, for one of the following:
Multi_Family)
• Fund – analysis for market timing within a specific
fund
• Fund_Family – analysis across all funds in a family
(default)
Multi_Family – analysis across families
Minimum Number of Determines the thresholds for the number of transactions 10

Transactions for the lookback period
Minimum Value of Total Determines thresholds for the value of transactions for $30,000
Transactions the lookback period
Minimum Ratio between Determines the threshold for the ratio of buys/ins over 75%
Buys/Ins and Sells/Outs sells/outs (%)
Minimal allowed Variable Determines the minimum transaction value 100

Annuities MF transaction
value
Detection Models
Scoring
Value
Degree of Score values assigned based on the percentage >10%-50% 10
Violation by which the number of transactions threshold
was violated. >50%-100% 20
The higher the percentage, the higher the score.
> 100% 25
Buy/Sell Ratio Score values assigned based on the ratio of In 75-85% 15

transactions over Out transactions.
The higher the percentage, the higher score. >85-95% 20
>95% 25
Activity Value Score values assigned based on the total value $0-$100,000 5
of the transactions involved in the activity.
The higher the value, the higher score. >$100,000-$500,000 10
>$500,000 25
User-Defined Lists
Users can add the appropriate items to user-defined lists using the options in the List tab of the
Actimize RCM.
Values
VMT - Product Exclusion List Identifies specific products to be excluded User defined
VMT - Account Exclusion List Accounts that must be excluded from the analysis User defined
3.3.7 Suitability of Portfolio (DAR-SPO)

The Suitability of Portfolio is designed to evaluate whether the Overall Portfolio Risk is
inconsistent with the account suitability profile information, such as customer’s stated investment
objectives, age, annual income, net worth, liquid net worth, etc.
If there is a variable annuity contract linked to the account then the model compares the risk of
sub-account allocations to the calculated account’s tolerance-to-risk, based on suitability
information provided on the brokerage account. Each variable annuity contract is evaluated
separately.
In addition to evaluating the overall portfolio, the model checks whether there is a margin debt
that caused the Overall Portfolio Risk to be inconsistent with the account suitability profile
information.
Net Equity calculations exclude positions in variable annuities as assets held away.
NOTE:
This model does not reduce the risk value assigned to positions which may be offset by other
security holdings within the portfolio (e.g. option spreads. combinations, exotic or representative
derivatives, convertible securities, etc.).
Detection Models
3.3.7.1 Filters
Apply Account review filters
SPO Filters
• Exclude accounts according to “Account Exclude List”
• Exclude Account Key <> master account
• Exclude accounts that do not have Available Profile.
3.3.7.2 Alert and Detection Definition

This section presents high level logic definitions for how the model performs detection and how it
generates alerts.
Primary Condition for Generating Alert

An alert will be generated for an account that fulfills the following condition:
• Account Portfolio Risk > “Account Tolerance Factor“ threshold / 100 * Account Tolerance
to Risk
(The threshold is a full number with percent – the number in the condition is the fragment)
3.3.7.3 Calculations
Account Tolerance to Risk

Use Complex calculations - Account Tolerance to Risk
Account Portfolio Risk

Exit point, with the following default behavior:
If sum market value = 0
Then Margin risk multiplier * Sum currency value risk
Else Margin risk multiplier * (Sum currency value risk / sum market value)
3.3.7.4 Margin Risk Multiplier

If margin debt >0 and margin debt <> null and sum market value <> 0 and sum market value
<>null
Then assign “Margin Multiplier” score using margin debt / sum market value
Else 1
3.3.7.5 Margin Debt

Balance value that fulfils the following:
• The balance account is the current account
• Balance type is margin
• Balance Date = current profile month
Detection Models
3.3.7.6 Account Tolerance and Portfolio Difference

Abs (Account Portfolio Risk - Account Tolerance to Risk) / Account Tolerance to Risk *100
3.3.7.7 Sum Market Value

Sum (Position Market Value) of positions that fulfill the following:
• Position is Accounts positions
• High-risk position Calculation <> Null
3.3.7.8 Position Market Value

First (market value) for each Account Key, Position Product, position contract key and
Long/short indicator.
NOTE:
The market value should be the same in every row.
3.3.7.9 Accounts Positions

Positions that fulfill the following conditions:
• position account key = current account
• position contract key = ‘NA’
3.3.7.10 Sum Currency Value Risk

Sum (abs (Position Market Value * High-risk position Calculation)) of positions that fulfill all
the following:
• Position in Accounts positions
• Position Market Value <> Null
High-risk position Calculation <> Null
3.3.7.11 User Defined Lists

NOTE:
The lists are available from the Lists tab  Daily Account Review.
Name Description
Account Exclude List A list of accounts that need to be excluded from the detection
analysis.
3.3.7.12 Thresholds and Settings

NOTE:
The thresholds and setting are available under the tab Thresholds  SPO Suitability of Portfolio.
Name Description Value

Account Tolerance Factor The factor that defines on which percent of the risk 100%
tolerance the alert will be generated
Detection Models

Format: Percent
Setting tree: Threshold -> SPO
Max Margin Risk Multiplier Max Margin Risk Multiplier 10
Multiply security risk if it is Multiply security risk if it is above threshold 3

above threshold
Multiply security risk if it is Multiply security risk if it is below threshold 2.5

below threshold
Set default risk Set default risk Yes
Short High Risk Security Short High Risk Security 3
3.3.7.13 Scoring Factors

NOTES:
• The score factors are available from the Thresholds tab  Daily Account Review SPO
• The user can modify values in the shaded area
• If the score factors add up to more than 100, the total score for the alert is rounded to 100
according to the “Max Score” (Threshold).
Factor Description General Rule Specific Rules
Account’s Total Score values assigned The larger the Scale Score
Assets based on the total market order the higher
value of the securities and the score 10,000-100,000 5
cash positions within an
account. The higher the 100,000-500,000 10
value, the higher the score.
>500,000 15
Calculation: Net Equity

Format: Quantity format
Margin Multiplier The default values of margin 0-10 1.05

multiplier
10-20 1.1
20-30 1.15
30-40 1.2
40-50 1.25
50-60 1.5
60-70 2
>70 2.2
Detection Models
Format: Number
Setting tree: threshold->SPO
Difference Score values assigned The larger the 0-20% 20

Between Account based on the difference order the higher 20-40% 30
Portfolio Risk and between Account Portfolio the score
Account Suitability Risk (or Variable Annuity 40-60% 40
Tolerance to Risk Contract Risk) and Account 60-80% 60
Suitability Tolerance to Risk 80-100% 80
(as Ratio to Account
>100% 100
Suitability Tolerance to Risk)
Calculation: Account Tolerance and portfolio difference

Format: Real format
3.3.7.14 Account Review Detail Screens

The following is the Account Review Details screen. A description of each of its sections
follows.
3.3.7.15 Account Details

At the top of the Account Review Details window there is a collapsible section that displays
details about the account, such as branch information, account number and type, broker
information and other general account information.
3.3.7.16 Account Suitability Information

This section provides information that enables the analyst to evaluate the suitability of the
portfolio for the current account.
Detection Models
3.3.7.17 Account's VA Contracts

Provides information on the contracts that belong to the Brokerage Account; for each contact,
you can expand the section to see more details.
3.3.7.18 About the Alert Review Details Tabs

The tabs at the bottom of the Account Review Details page can include:
• Focus Issues – to view the issues that contributed to the alert and the score associated to
each (see Section 3.3.7.19: Focus Issues (Current Month), page 82)
• Account Profile – to view information about the account portfolio detailing lists of investment
holdings (see Section 3.3.7.20: Account Profile, page 83)
• Portfolio – enables users to view details listing investment holdings like total overall risks,
quantity, product type, price, etc. (see Section 3.3.7.21: Portfolio, page 84)
• Transactions – to view details about the account, such as date of the transaction, product
description and type, etc. (see Section 3.3.7.22: Transactions, page 86)
• Risk Tolerance Calculation – to view how Account Tolerance to Risk was calculated (see
Section 3.3.7.23: Risk Tolerance Calculation, page 86)
• Market Adjusted LIE – to view the Market Adjusted LIE calculation when an LIE alert is
generated according to the market adjusted calculation mode (see Section 3.3.7.24: Market
Adjusted LIE, page 86)
• Prior Alerts – enables users to access Account Review alerts that were generated in the
past (see Section 3.3.7.25: Prior Alerts, page 86)
• Drill Outs – used to access a window with additional information about issues associated
with the account, such as type, date, etc. (see Section 3.3.7.26: Drill Outs, page 87)
The following subsections provide information regarding each of the tabs that may appear.
3.3.7.19 Focus Issues (Current Month)

The Focus Issues tab shows the different issues detected, the total score associated with each
issue, and a breakdown of the scoring.
Detection Models
This section lists the Account Review models that generated issues that contributed to the
currently selected alert. Some issues can be expanded to display scenarios that were used by
the model during detection.
For each scenario in the expanded area, you can view the Current Value, the value that is being
analyzed, and the Check Value, which can be a threshold, a calculation or a setting. When
applicable, an issue is generated based on the comparison of values. For some of the scenarios,
a score is assigned based on the Current Value.
3.3.7.20 Account Profile

The Account Profile tab displays static data that summarizes the account’s values for each of
the three lookback periods, that is, Last Month, the Last 3 Months and the Last 12 Months.
Detection Models
3.3.7.21 Portfolio Tab

The Portfolio tab provides a list of investment holdings, including the total overall risks.
The Brokerage Account Overall Risk, which appears at the top of this section, includes only
products that are not VA.
For VA products, there is partial information displayed at the position top level. You can expand
the section to view the breakdown of the VA contract. When the VA contract is a composite
product, you see its allocation. When the VA contract has a different position for each product,
these positions are presented under the VA contract.
1. Positions for the current account key.
Column Value
Product Type Position product type
Product Sub Type Positions sub type
Product Key Positions product
Product Name Product description
Long/Short Long/short indicator
risk Security risk
MV Position MV
Risk Weighted Total Score Risk Weighted Total Score
Total Portfolio Risk Impact Position MV / Total Risk Weighted Total Score
Position Type Position type
Quantity Position quantity
Price Position price
% of Total Net Worth Position total net worth
Underlying Product Key Position underlying product
Sector Product Sector
Is composite product If Position composite product is null

then 'No'
else 'Yes'
2. Contracts for the current account key (positions.contract_key!=’NA’).

a. Upper table.
Detection Models
Column Value
Product Type Position product type
Product Sub Type “VA”
Product Key Contract key
Product Name Contract name
Long/Short Long/short indicator
risk Sum ((Security risk)* Contract product allocation) of all the

composite products that Position composite product
=composite_product.composite_product_key
MV Total Composite Position MV
Risk Weighted Total Score Contract Risk Weighted Total Score
Total Portfolio Risk Impact Total Composite Position MV /Total Risk Weighted Total
Score
Position Type “N/A”
Quantity “N/A”
Price “N/A”
% of Total Net Worth Total Composite Position MV/ Account net worth
Underlying Product Key Position underlying product
Sector Product Sector
Is composite product If Position composite product is null then ‘No’ else ‘Yes’
b. Nested table.
Column Value
SecuID – product_key Contract product
Security Name - product_Name Contract product description
Position Type Position type
Position sub type Contract sub type
Quantity Composite product quantity
Price If Composite product price=null

Then position price
Else Composite product price
MV Composite product MV
risk Security risk
Detection Models
3.3.7.22 Transactions
The Transactions tab displays data regarding the transactions of the account for the current
month.
3.3.7.23 Risk Tolerance Calculation

The Risk Tolerance Calculation tab displays a table with the Account Tolerance to Risk
calculation based on predefined and custom risk factors.
For more details about Risk Tolerance calculation, see Section 4.4.2.3: Risk-Tolerance
Calculation, page 180.
3.3.7.24 Market Adjusted LIE

The Market Adjusted LIE tab displays the Market Adjusted LIE calculation when an LIE alert is
generated according to the Market Adjusted calculation mode.
3.3.7.25 Prior Alerts

The Prior Alerts tab includes the following two links:
• Prior Alerts by Account – displays all prior Account Review alerts within a user defined
lookback period, associated with the trade’s account
Detection Models
• Prior Alerts by Broker – displays all prior Account Review alerts within a user defined
lookback period, associated with the trade’s broker (RR)
3.3.7.26 Drill Outs

The Drill Outs tab has the Portfolio Summarize link that enables users to open a window that
provides additional information about the account portfolio associated with the account under
evaluation.
3.3.8 Suitability of Portfolio - Concentration Risk (DAR-SPC)

The Portfolio Suitability - Concentrated Risk model is designed to evaluate the concentration of
high risk securities in a portfolio that is inconsistent with the account suitability profile information,
such as customer’s stated investment objectives, age, annual income, net worth, liquid net worth,
etc.
Portfolio Concentrated Risk is measured by the percentage of the portfolio’s market value in
high-risk security positions, compared to the liquid net worth of the customer. The threshold
concentration depends on the account suitability profile.
3.3.8.1 Filters
Apply Account review filters.
SPC Filters
• Exclude accounts according to “Account Exclude List”
• Exclude positions that Total quantity for position risk <=0
• Exclude accounts that do not have trades on the relevant business date (process date)

This section presents high level logic definitions for how the model performs detection and how it
generates alerts.
Primary Condition for Generating Alert

An alert will be generated for an account that fulfills all of the following conditions:
• Portfolio Concentrated Risk > Account Tolerance to Risk
Portfolio Concentrated Risk > Account Tolerance to Risk

Account that fulfills all of the following conditions:
Detection Models
• Portfolio Concentrated Risk > (“Account Tolerance Factor“ threshold / 100) * Account
Tolerance to Risk
• Liquid Net Worth >= 0 OR Net Equity >=0
3.3.8.4 Portfolio Concentrated Risk

Exit point, with the following default behavior:
Get the risk by “Portfolio Concentrated Risk Ratio” Threshold
Using the value that was calculated in Portfolio Concentrated Risk Ratio
3.3.8.5 Portfolio Concentrated Risk Ratio

If Liquid Net Worth > Net Equity
Then
If Liquid Net Worth = 0
then 0
else
100 * (Total High-Risk Security Position / Net Equity)
3.3.8.6 Total High-Risk Security Position

Total quantity for position risk
3.3.8.7 Total Quantity for Position Risk

Sum (Position normalized quantity * Normalize Position Price)
For all the positions that fulfill the following conditions:
• Position account key = current account key
• High-risk position calculation > “High Risk Security Determination” Threshold
3.3.8.8 Tolerance Difference

If Account Tolerance to Risk=0
Then (Portfolio Concentrated Risk*100)
Else (Portfolio Concentrated Risk - Account Tolerance to Risk) / (Account Tolerance to
Risk * 100)
3.3.8.9 User Defined Lists (Maintained in RCM)

NOTE:
The lists are available from the lists tab  Account Review  SPC.
Name Description
Account Exclude List A list of accounts that need to be excluded from the detection
analysis.
Detection Models
3.3.8.10 Thresholds and Settings (Maintained in RCM)

NOTES:
• The thresholds and setting are available under the Thresholds tab.
• The user can modify values in the shaded area.

Account Tolerance Factor The factor that defines on which percent of the risk tolerance 100%
the alert will be generated
Format: Percent
Setting tree: Threshold -> SPC
High Risk Security High Risk Security Determination 3

Determination
Format: Number
Setting tree: Threshold -> SPC

NOTES:
• The score factors are available from the Thresholds tab  Account Review  SPC.
Factor Description General Specific Rules

Rule
Difference Score values assigned based on the The larger Scale Score
Between Portfolio degree (%) that Portfolio Concentrated the order the
Concentrated Risk Risk differs from Account Tolerance to higher the 0-10% 40
and Account Risk score
10-50% 50
Tolerance to Risk
50-1000% 60
100-200% 70
>200% 80
Calculation: tolerance difference
Account Total High Score values assigned based on the The larger Scale Score
Risk Security total market value of the high-risk the order the
Position positions within an account. The higher higher the 10,000- 5
the value, the higher the score. score 100,000
100,000- 10
500,000
>500,000 15
Calculation: Total High-Risk Security Position

Score values assigned based on the The larger Lower value Score
the order the
0 0.5
Detection Models
Factor Description General Specific Rules

Rule
Portfolio Portfolio Concentrated Risk Ratio higher the 10 1
Concentrated Risk calculation. score
Ratio 20- 1.5
25 2
30 2.5
40 3
>50 3.5
Calculation: Portfolio Concentrated Risk

3.3.8.12 Focus Issues

• Issue Type: “Portfolio Suitability - Concentrated Risk”
• Description: Concentration of high-risk securities portfolio (Portfolio Concentrated Risk)
Inconsistent with account suitability profile information (“Account Tolerance Factor”
threshold/100 * Account Tolerance to Risk).
NOTE:
The threshold is a full number with percent – the number in the condition is the fragment.
• Scenario 1
▪ Issue Type: Portfolio Concentrated Risk
▪ Description: Difference between total high risk security position / liquid net worth and
account tolerance to high risk securities (%)
▪ Current Value: Tolerance difference (format: percent)
▪ Check Value: N/A
▪ Score: use “Difference between Portfolio Concentrated Risk and Account Tolerance to
Risk” Score
• Scenario 2
▪ Issue Type: Portfolio Concentrated Risk
▪ Description: Account total high risk security position
▪ Current Value: Total High-Risk Security Position (format price)
▪ Check Value: N/A
▪ Score: use “Account Total High Risk Security Position“ Score
3.3.9 Single Security/Sector Concentration (DAR-SSC)

This model generates an alert if the account maintains a highly concentrated position in a single
security or sector. Concentration thresholds are set according to customer age.
3.3.9.1 Filters
Exclude accounts that fulfill one of the following:
Detection Models
• Net Equity < “Minimum Account Net Equity” threshold

• Total Net Worth < “Minimum Net Worth” threshold
• Acct Custom Value < “Custom Acct Value” threshold
Exclude positions that fulfill one of the following:
• Position product is in the “Security Exclude List”
• Position product subtype is in the “Security Types Exclude List”
• Position Composite Product is not Null
NOTE:
When Total Net Worth or Acct Custom Value is Null, it is not filtered.

This section presents a high level logical description of how the model performs detection and
how it generates alerts.
3.3.9.3 Primary Condition for Generating Alert

The flow of generating an alert depends on the following:
1. If “Check Concentration” is ON for SSC, for each Position Underlying Product (using Check
Single Security),
Concentration Criteria and Concentration Denominator (using Criteria Concentration
value):
 ABS (current month - Prev ACR/DAR alert (Issue Type – in this model SSC)) <=
“Changes in Concentration for generating a new issue” threshold.
NOTES:
• The suppression logic is checked separately for each security in each concentration
found.
• We check the change in the percent of concentration.
If the condition returns TRUE, then the alert is not generated and the flow stops here.
Unless “Unsuppressed function exit point” = TRUE then the flow is continued and an alert is
generated.
2. Suppress Logic
If the condition returns TRUE, the alert is not generated and the flow stops here.
Unless “Unsuppressed function exit point” = true then the flow is continued and an alert is
generated.
3. If one the following conditions is fulfilled:
a. There is at least one Position Underlying Product that fulfills one of the following:
 For each Concentration criteria
(This check is for “Single Security” or “Low Priced Security”) –
Check all the Concentration Denominators with “And” condition:
 Check Single Security
b. For each Concentration criteria (that is not “Single Security” or “Low Priced Security”)
whose “On/Off Flag” = “On” — check that there is at least one item in the Concentration
Detection Models
criteria that for each Concentration Denominator (all the Concentration

Denominators should be checked with the “And” condition) fulfills the following:
 Criteria Concentration value * 100 > <Concentration criteria> + “VS.” +
<Denominator Name> + “Concentration Threshold” threshold
 Number of underlying Securities for Concentration Criteria >= “Number of
Securities in the” + <Concentration Criteria> + “VS.” + <Denominator Name> +
”Threshold” threshold
3.3.9.4 Single Security Concentration Value

If Concentration Denominator = 0
Then Single Security Concentration Value= 0
Else Single Security Concentration Value=abs (Total Value for Underlying Security) /
Concentration Denominator
3.3.9.5 Check Single Security

Check if Position Underlying Product fulfills at least one of the following:
• Fulfills all of the following:
▪ If concentration criteria “Single Security” is “On”
▪ Single Security Concentration value * 100 > “Single Security Concentration Threshold”
threshold
• Fulfills all of the following:
▪ If concentration criteria “Low Priced Security” is “On”
▪ Single Security Concentration value * 100 > “Low Priced Security Concentration
Threshold” threshold
3.3.9.6 Concentration Criteria Value

If Concentration Denominator = 0
Then Concentration Criteria Value = 0
Else Concentration Criteria Value = abs (Total Value for Concentration Criteria) /
Concentration Denominator
3.3.9.7 Curr Month Overall Portfolio Value

Overall Portfolio Long Value - Overall Portfolio Short Value that fulfills the following:
• Position date = Current process date month
3.3.9.8 Prev Alert Overall Portfolio Value

Overall Portfolio Long Value - Overall Portfolio Short Value that fulfills the following:
• Prev ACR alert (Issue Type – in this model SSC)
3.3.9.9 Prev ACR Alert (Issue Type)

Input: Issue Type can be one of the following – SSC/SPO/SPC
Previous ACR or DAR alert that fulfills the following:
Detection Models
• Is of Issue parameter.Issue type

• The month of the alert date < process month
• The month of the alert date >= process month – “Previous issue Lookback Period”
• On the current account key
3.3.9.10 Overall Portfolio Short Value

Sum (Normalize position price * Position normalized quantity value) for all the positions that
fulfill the following:
• Position account key= current account key
• Position is short
3.3.9.11 Overall Portfolio Long Value

fulfill the following:
• Position is long
3.3.9.12 Months from Previous SSC Focus Issue for this Account
The difference between the current month and Prev ACR alert (Issue Type).
3.3.9.13 Total Value for Underlying Security

Total Long Value for Underlying Security - Total Short Value for Underlying Security
3.3.9.14 Total Long Value for Underlying Security

fulfill the followings:
• Position Underlying Product= current Underlying Product
3.3.9.15 Total Short Value for Underlying Security

Sum (Normalized position price * Position normalized quantity value) for all the positions
that fulfill the following:
• Position Underlying Product= current Underlying Product
Detection Models
3.3.9.16 Total Value for Concentration Criteria

Total Long Value for Concentration Criteria - Total Short Value for Concentration Criteria
3.3.9.17 Total Long Value for Concentration Criteria

that fulfill all of the followings:
• Concentration Criteria Mapping
3.3.9.18 Total Short Value for Concentration Criteria

that fulfill all of the following:
3.3.9.19 Number of Underlying Securities for Concentration Criteria

Count (Position Underlying Product) for all the positions that fulfill the following:
3.3.9.20 Concentration Criteria Concentration Differs from Respective Threshold

(Concentration Criteria value*100 - <Concentration criteria> “Concentration Threshold”)*100/
<Concentration criteria>“Concentration Threshold”
3.3.9.21 Underlying Security Differs from Respective Threshold

This check is for “Single Security” or “Low Priced Security”:
(Single Security Concentration value * 100 - “Single Security Concentration Threshold”)*100 /
“Single Security Concentration Threshold”
3.3.9.22 Account Household Net Equity

Sum (Net Equity) of all accounts that fulfills the following:
• Profile month = current process date
• Account Household ID = current account Household ID
Detection Models
3.3.9.23 User Defined Lists (maintained in Actimize Case Manager)

NOTE:
The lists are available from the Lists tab > SP Account Review.
Name Description
Security Exclude List A list of products that need to be excluded from the detection analysis.
Security Types Exclude List A list of product subtypes that need to be excluded from the detection
analysis.
High Yield Security Type List of security subtypes that are only excluded from the High Yield
Exclusion List Bond analysis
High Yield Security Exclusion List of Fixed Income securities that are only excluded from the High
List Yield Bond analysis
Security Watch List 1 1st list of securities under special watch
Security Watch List 2 2nd list of securities under special watch
Security Watch List 3 3rd list of securities under special watch
Complex Products List List of security types (Product Subtypes) that are considered ‘Complex
Products’ (Under FINRA, IOSCO and other global or bank specific
standards)
3.3.9.24 Thresholds and Settings

NOTES:
• The thresholds and setting are available under the tab Thresholds >SSC.
Thresholds Based on 3 Parameters Thresholds

Minimum Account Minimum Account Net Equity Age Threshold
Net Equity Thresholds can be set dynamically by account fields,
custom fields, and/or account risk 0 100000
Thresholds > SSC > Threshold by Risk
The default scale is age.
Calculation: None
Format: Number
Minimum Net Worth Minimum Net Worth Age Threshold

Thresholds can be set dynamically by account fields,
custom fields, and/or account risk 0 100000
The default scale is age
Calculation: None
Format: Number
Detection Models

Custom Account A dynamic value that should be mapped by the client Age Threshold
Value in order to filter. The default value is null.
Thresholds can be set dynamically by account fields, 0 100000
custom fields, and/or account risk
The default scale is age
Calculation: None
Format: Number
Regular Thresholds
% Change in Overall Minimal % change in portfolio value from previous 30%
Portfolio Value for a concentration alert for this account. Determine if a
new issue new alert will be generated.
Thresholds > SSC
Calculation: None
Format: Number
% Change in Overall Minimal % change in portfolio risk from previous 30%

Account Portfolio concentration alert for this account. Determine if a
Risk for a new issue new alert will be generated.
Thresholds > SSC
Calculation: None
Format: Number
N Months for Minimal amount of time from previous concentration 6

generating a new alert (any scenario) for generating a new alert, even if
issue the portfolio value hasn’t changed from the previous
month.
Thresholds > SSC
Calculation: None
Format: Number
Changes in Minimal changes in a certain concentration from the 30%

Concentration for current month to the previous month
generating a new Thresholds > SSC
issue
Calculation: None
Format: Number
Low Price ($) Threshold (Price < threshold) for determining whether Exchange Value
a security is low priced (Penny Stock). CD
Value should be decimal. Relevant only to Equities
Thresholds > SSC
All 5
Calculation: None
Format: Number
Detection Models

Previous issue The look-back period for the previous alert (in month) 6
Lookback Period
Calculation: None
Format: Integer

NOTES:
• The score factors are available from the Thresholds tab > Account Review > SSC.
3.3.9.26 Concentration Criteria Scores

The various concentration criteria scores are defined based on the following generic table for all
such scores.
The concentration criteria Description Value
scores Name
<Concentration Criteria Score values are assigned based on the User defined as per the
Name> vs. <Denominator degree (%) that each specific concentration table below
Mapping Name> score criterion differs from the respective threshold.
The model picks the highest concentration
score of the different scenarios met.
Calculation: Concentration Criteria Concentration differs from respective

threshold
Format: Number
The following are the default values of the Concentration Criteria Scores.
Sector vs. Net Score values assigned based on The larger the order Scale Score
Equity score the difference between the sector the higher the score
threshold and the section value 0-10 40
10-50 50
50-100 60
100-200 70
>200 80
Calculation: Concentration Criteria Concentration differs from respective threshold

Format: Number
Detection Models

Single Security Score values assigned based on The larger the order Scale Score
vs. Net Equity the difference between the the higher the score
score underlying security threshold and 0-10 40
the underlying security value
10-50 50
50-100 60
100-200 70
>200 80
Calculation: Underlying security Concentration differs from respective threshold

Format: Number
3.3.9.27 Regular Scores

Account Risk Score Score assigned values based on the account’s Low Value Score
tolerance to risk value.
Thresholds can be set dynamically by account fields, 0 0
custom fields, and/or account risk
0.5 15
1 20
1.5 25
2 30
2.5 35
Calculation: Account Tolerance to Risk

Format: Number
Prior Alerts Previous Concentration alerts for the same Account Low Value Score
Threshold > ACR > General Threshold and Score
0 0
1 20
2 40
3 and up 60
Calculation: count prior alerts by account

Format: Number
3.3.10 Hybrid Switching (DAR-HSW)

The Daily Account Review Hybrid Switching (DAR-HSW) model detects switching behavior
among customer determinable products, typically LTHLs such as mutual funds, annuities, and
UITs.
Switching is the practice of liquidating customer holdings in one long-term high-load product and
using the proceeds to purchase shares of a different long-term high-load product. The purchases
of these products are intended to be held for extended periods of time, and their cost and fees
structure make them unsuitable for short-term investing. From the client's point of view, there is
Detection Models
no economic rationale. Therefore, this model surveys these LTHL purchases and looks back a
predetermined period of time to determine if the purchase was funded by the sale of another
LTHL. Switches are identified by observing patterns as they emerge and flagging such behavior
for supervisory review.
To identify LTHL switching, the model creates two groups of trades:
• A triggering set of trades
• A set of trades of opposite side in a defined lookback period
If the difference between these groups is below a configurable percentage, the model generates
an alert.
3.3.10.1 General and Prelogic Filters

The DAR-HSW model applies the following filters.
General Filters
1. Exclude Fee Base Account.
2. Exclude trades marked as Free Exchange.
3. If Exclude Buy Trades with Zero Commission threshold = True, include only trades where
trade commission > 0.
4. Exclude trades that did not cause a new commission or CDSC filter.
5. Exclude system rebalanced trades.
Prelogic Filters
These are specific filters that are applied at the single trade level. The model’s logic will run on
the trade population after these filters are applied.
The following filters are applied at the single-trade level.
2. Apply the general filters outlined above.
3. Retrieve trades that fulfil the following:
Sum of fees and commissions >= Minimum Trade Charge threshold.
4. Determine if trade exceed the Minimum Trade Value Calculation Mode setting.
If this setting is set to Minimum Trade Size, retrieve trades whose Trade net amount >=
Minimum Trade Size threshold.
If this setting is set to Minimum Trade % Size, retrieve trades whose Net Amount and
Account Net Equity % ratio >= Minimum Trade % Size threshold.
3.3.10.2 Detection Groups

After applying the filters outlined in Section 3.3.10.1, the model applies the logic to the remaining
set of trades. The core of the detection compares the trades in the Hybrid Switching Group
(HSG) with the trades in the Lookback Group, as detailed below:
• Hybrid Switching Group – this is a list of product subtypes defined in the RCM. Trades from
the current business day whose product subtypes are included in this list are referred to as
triggering trades. A trade can be included in more than one HSG. The trades in each HSG
are aggregated by side.
Detection Models
• Lookback Group – a list of product subtypes defined in the RCM. Trades whose product
subtypes are included in this list are part of this. The trades are within the period defined by
the Buy Look Back Period threshold or Sell Look Back Period threshold.
• Scenario – a scenario is a pairing of an HSG group and a Lookback group. The number of
scenarios and the number of pairings is configurable. It is possible to add scenarios and
define the pairing logic.
3.3.10.3 Detection logic
For each scenario defined, the model does the following:

1. Scenario Trigger sum = sum (trade net amount) aggregated by side of all trades belonging to
this HSG. The summing is at the level defined in the Aggregation Level threshold.
2. Determine if the scenario’s trigger sum exceeds the Minimum Trigger Value Calculation
Mode setting.
If this setting is set to Minimum Trigger Size, retrieve trades whose Scenario trigger sum >=
Minimum Trigger Size threshold.
If this setting is set to Minimum Trigger % Size, retrieve trades whose (Scenario trigger sum
/(max (Liquid Net Worth, Net Equity)) * 100 >= Minimum Trigger % Size threshold.
3. Scenario Lookback sum = sum (trade net amount) of all trades within the period defined by
the Buy Look Back Period threshold or Sell Look Back Period threshold. The summing is
at the level defined in the Aggregation Level threshold.
Include trades in Look Back Period group based on Lookback Trade Elimination option
threshold.
4. Generate an alert if the difference (%) between the Trigger Sum and Look Back Sum <=
Switching Difference threshold.
(ABS (Scenario Trigger Sum -Scenario Lookback Sum)/ Scenario Trigger Sum) * 100 <=
Switching Difference threshold.
3.3.10.4 Lookback Trade Elimination Option

This option limits the use of a trade in the summing to only once in each scenario. If this
threshold is selected (the RCM Settings  Thresholds  Daily Account Review  HSW 
Hybrid Switching Scenarios  Edit User Values) the following logic is applied.
1. Sort the trades in the lookback period by date (in ascending order) and trade value (in
descending order).
2. Sum trades only up to the point where the sum of value is Switching Difference threshold
away from the triggering value.
Trades can be broken into smaller values to fit the switching difference.
The trades included in this summing are known as Previously Used Full or Previously Used
Partial.
3. Trades flagged as Previously Used Full are not being included in subsequent lookback
periods for the rule.
4. Trades flagged as Previously Used Partial trades also record the difference between trade
value and value used for that dates run. Values are stored as Remaining Value.
5. Trades flagged as partially used are only used for the Remaining Value in subsequent rule
runs.
Detection Models
6. No value of any trade is used more than once per scenario in the model’s lifecycle.
7. The remaining sequence is used for the next day, prioritized by date and value.
The following are some examples.
Example 1: Previously Used Partial
HSG (Buy):
Trade 50,000
Trades in LBP (Sell):
• Trade 1 20,000 10:00
• Trade 2 25,000 10:01
• Trade 3 95,000 10:05
Sort by date and value:
• Trade 3
• Trade 2
• Trade 1
LBP Sum:
• Trade 3 50,000  Previously Used Partial
• Trade 3 45,000  Remaining Value; carry over for this scenario to tomorrow
Example 2: Previously Used Full
HSG (Buy): Trade 50,000
Trades in LBP (Sell):
• Trade 1 30,000 10:00
• Trade 2 20,000 10:01
• Trade 3 10,000 10:02
• Trade 4 20,000 10:03
Sort by date and value:
• Trade 1
• Trade 2
• Trade 4
• Trade 3
LBP Sum:
• Trade 1 30,000 -> Previously Used Full
• Trade 2 20,000 -> Previously Used Full
Detection Models
Sum of Fees and Commissions

Trade commission + trade other fee + trade MF Sells Charge
Net Amount and Account Net Equity % ratio

(Trade net amount / Net Equity) *100
Fee-Based Account
Account that fulfills all the following conditions:
• Fee-Based Enroll Date ≠ NULL
• Fee-Based Enroll Date <= Current process date
• Account that fulfills one of the following conditions:
▪ Fee-Based Term Date is Null
▪ Fee-Based Term Date > current process date
3.3.10.6 Issue Suppression

If the aggregation level is configured to Household ID, since the alert level is account, the same
HSW issue can appear in all account of the same Household ID.
To avoid generating redundant issues, the model checks that the issue was not generated
already for the same household in another account. If it was generated, then the issue is
suppressed.
3.3.10.7 User Defined Lists (Maintained in RCM)

NOTE:
• The lists are available from the Lists tab > SP Daily Account Review.
• After you define a Hybrid Switching Group and Hybrid Switching Lookback Group, you can
then use those groups to define a Hybrid Switching Scenario.
Name Description
Hybrid Switching Group List of product subtypes used to identify trades that will be used as
triggering trades for the HSW logic.
Hybrid Switching Lookback List of product subtypes defined in the RCM. Trades whose product
Group subtypes are included in this list will be a part of the Lookback group. The
trades are within the period defined by the Buy Look Back Period
threshold or Sell Look Back Period threshold.
Hybrid Switching Scenarios A pairing of an HSG and a lookback group, each one on opposite sides
3.3.10.8 Thresholds (Maintained in RCM)

Level Value
Aggregation Level • Region Checks for trades with the same 1
account (= 1) or the same account
• System household ID (= 0)
Detection Models

Level Value
Minimum Trade Charge • Region Minimum trade charge used to filter 100
(Currency) transactions
• Product
subtype
Minimum Trade Value • Region Determines whether to use Minimum Min. trade
Calculation Mode Trade Size or Minimum Trade Size ($) size
• Product to filter transactions
subtype
Minimum Trade Size • Region Minimum size of the trade (currency) 2000
(Currency)
• Product
subtype
Minimum Trade Size • Region Minimum size of the trade as a 20%

(%) percentage of account net equity
• Product
subtype
Minimum Trigger Value • Region Determines whether to use Minimum Minimum

Calculation Mode Trigger Size or Minimum Trigger % trade size
• Scenario Size in the calculation
NOTE:
Once you define the Hybrid Switching
Scenario for a specific Hybrid Switching
Group and Hybrid Switching Lookback
Group, you can then access this
threshold from the Hybrid Switching
Scenario defined for those groups (by
clicking Edit User Value).
Minimum Trigger Size • Region Minimum size of the triggering set 2000
(Currency)
• Scenario NOTE:
Minimum Trigger % Size • Region Minimum size of the triggering set as a 20

percentage of max (Liquid Net Worth,
• Scenario Current Account Value (%))
NOTE:
Buy Lookback Period • Region Days in the lookback period when 30

trigger HSG is a buy
• Scenario
Detection Models

Level Value
NOTE:
Sell Lookback Period • Region Days in the lookback period when 5

trigger HSG is a sell
• Scenario
NOTE:
Switching Difference (%) • Region Difference (%) between the size of all 25
prior trades and the triggering trades
• Scenario
NOTE:
Exclude Buy Trades with System Exclude buy trades with zero True
Zero Commission commission (True / False)
Lookback Trade Elimination • Region This threshold affects the way the False
Option trades in the lookback period group are
• Scenario summed.
NOTE:
Detection Models

Score Description Value
Range Default
Age Account age calculation 0-20 10
21-50 5
51-64 10
65-75 15
>=76 20
Amount of Sales Score value assigned based on the amount of the 100-499 5
Charge sales charge incurred by the switch. The higher the
amount, the higher the score 500-999 10
Calculation:
>=1000 15
Max (avg (Sum of fees and commissions) of trades in
HSW group) of triggering scenarios
Switching Difference Difference (%) between the size of all prior trades 0-19 15
and the triggering trades.
Calculation: 20-29 10
Min (abs (Scenario Trigger Sum -Scenario Lookback 30-39 5
Sum)/ Scenario Trigger Sum) from all triggering
scenarios. >=40 0
Time between Trades Score value assigned based on the length of time 0 45
(Days) between today’s purchase and the prior sale, or on
today’s sale and the prior purchase. The lesser the 1 35
time, the higher the score.
11 25
Calculation:
Min (trigger date - last lookback period trade date) of
all triggering scenarios.
3.3.11 Mutual Fund Breakpoint Models (DAR-MFB)

The Mutual Fund Breakpoint (MFB) process identifies potential mutual fund investment activity
that may result in an economic disadvantage for the customer, caused by incorrectly determining
the sales charges that should be charged to the account.
MFB Rule Sequence

The following diagram defines the order of the rules that are in the MFB model.
NOTES:
• If a specific rule is turned off, it does not generate alerts.
• If an LOI rule is detected, ROA or MMB and its NMB rules are not detected.
• If an MMB of NMB of MMB rule is detected, ROA or NMB for ROA rules are not detected.
• If an MMB rule is detected, NMB for MMB rules are not detected.
• If an ROA rule is detected, NMB for ROA rules are not detected.
Detection Models
LOI eligible
Yes MFB Trades amount

round by precision
+ LOI Position
No LOI
Amount > LOI
No commitment
Alert
amount
No Alert Alert
“NMB Option”
threshold for MMB
No Alert MMB No ROA eligible Yes
Yes
ROA Alert
No Alert MMB NMB
No Alert
Alert
“NMB Option”
Alert ROA NMB threshold for ROA
No Alert
3.3.11.1 Filters
The MFB model suite applies the following filters:
• Exclude product key in ‘MFB Security Exclude List’
• Exclude Account key ‘MFB Account Exclude List’
• Exclude Account household ‘MFB Household Exclude List’
• Exclude product fund family key ‘MFB Fund Family Exclude List’
• Exclude product sub type ‘MFB Security Subtype Exclusion List’
• Trade row update = process date
• Trade MF Sales Charge >= 0
• Product type ='MFU’
• In MMB or NMB for MMB: mutual fund shares = ‘A’ or mutual fund shares = null
• In MMB NMB for MMB: No Load Product = ‘FE’ or No Load Product = null
• The logic uses the logic of Cancel Correct Trades
3.3.11.2 Global Detection Logic

The following calculations are relevant for all the models in the MFB suite.
MFB Trade
Trade that fulfills all the following conditions:
• Trade Access key = current Trade Access key
Detection Models
• In LOI, MMB or NMB for MMB or from Calculations: MFB Trades Amount or MFB As of
Trades Amount: Product
• From Calculations: MFB As of Trades Amount or ROA As of Trades Amount Use Date(Trade
Date) = Process Date < Process Date otherwise use Date(Trade Date) = Process Date
Round by Precision
Round the number and save the digits after the decimal point. The number of digits after the
decimal point is based on the “Precision” threshold.
Example:
The number is 3.678, “Precision” threshold is 2 => 3.68
The number is 3.673, “Precision” threshold is 2 => 3.67
Trade Access Key

If ‘MFB Account or Household’ threshold = ‘Household’
Then trade Account Household
Else trade Account key
Account Access Key

Then if Account household is null
Then Account key
Else Account Household
Else Account Key
ROA or NMB for ROA: if Consolidation Level = “Account” then Account key
Example:
Accounts:
Account Key Household

A1 H1
A2 H2
A3 H3
Products:
Product Consolidation Level
P1 Account
P2 Household
P3 Household
Detection Models
The result of the calculation is the following:
‘MFB Account or Household’ Account Product Account Access Key

threshold
Account A1 P1 A1
Account A1 P2 H1
Account A1 P3 H1
Account A2 P1 A2
Account A2 P2 H1
Account A2 P3 H1
Account A3 P1 A3
Account A3 P2 H1
Account A3 P3 H1
Household A1 P1 A1
Household A1 P2 H1
Household A1 P3 H1
Household A2 P1 A2
Household A2 P2 H1
Household A2 P3 H1
Household A3 P1 A3
Household A3 P2 H1
Household A3 P3 H1
MFB Trades Amount

Sum (trade net amount) of all trades that fulfills the following condition:
• Trade is MFB Trade
MFB as of Trades Amount

Sum (trade net amount) of all trades that fulfills the following condition:
MFB Position
Position that fulfills all the following conditions:
• Position product type =’MFU’
• Position Date = current process date
• Position Access key = Account Access key
Detection Models
As-of Trade
Process Date – Trade Date (different of days)
NOTE:
The MFB Filter Trade = Process Date.
Cancel Correct Trades
Cancel trades
The logic filters:
• Cancelled trades
• Trades that were canceled in the current date (first trade, second trade):
▪ First trade date = current process date
▪ Second trade date = current process date
▪ First trade original key = Second trade original key
Correct trades
The logic uses the latest trade that was corrected:
• Scenario number 1: there is no Corrected trade – use the first new transaction
• Scenario number 2: there are couple of correct trade use the transactions with max(Trade
date)
MFB Thresholds and Settings

All MFB models use the same thresholds. The values for these thresholds are set up once for all
models in the RCM.
Threshold/Setting Name Description Default Value
MFB Account or Household Account or household Account
Minimum Net Amount Minimum trade net amount that is considered in the $1000
logic
Precision Defines the accuracy of the calculation 2

Location: Thresholds  Daily Account Review 
General Thresholds and Scores
As-of trades The number of delay days that a transaction was 0
delayed
NOTE:
This threshold already exists in the DAR model group
and is the same for all DAR models.
MFB User-Defined Lists

the Actimize RCM.
Detection Models
Name Description Example Values
MFB Security Exclusion List Securities that must be excluded from the analysis IBM
MFB Security Subtype Security subtypes that must be excluded from the GM (GNMA)
Exclusion List analysis TB (Treasury Bills)
MFB Fund Family Exclude Security subtypes that must be excluded from the
List analysis
MFB Account Exclude List Lists of accounts that should be excluded by

the Daily Account Review models
MFB Household Exclude List Lists of households that should be excluded
by the Daily Account Review models
3.3.11.4 Missed Breakpoint (MMB)

This model detects patterns of mutual fund breakpoint sales by analyzing client trades of either
an account or a household (based on a user-defined setting) and order entry points over time. It
then determines if a trade or series of trades qualifies for a breakpoint discount that was not
given to the account.
Improper mutual fund breakpoint sales occur when a front-end mutual fund purchase occurs and
the sales charge percentage applied to the current trade exceeds the new, lower percentage that
the customer should have been charged.
Filters for MMB and NMB for MMB

• Apply Daily Account Review
• Apply MFB Filters
• Include MFB Trades
Detection Logic
MMB
For each trade product key that fulfills all the following conditions:
• Date(Trade Date) = Process Date
• Trade Access key = current Account Access key
• (MFB Trades Fee * 100)/ MFB Trades amount - Product Break Point Percent) Round by
Precision >= ‘Minimum MMB MF Sales Charge Difference’ threshold Round by Precision
• Transaction Type is Buy
• MFB Trades amount >= ‘Minimum Net Amount threshold
NMB
• Trade Access key = current Account Access key
• MFB Trades amount >= ‘Minimum Net Amount’ threshold
Detection Models
• “NMB Option” threshold for MMB = “On”

• No MMB Alert:
▪ (MFB Trades Fee *100/ MFB Trades amount - Product Break Point Percent) Round by
Precision) < ‘Minimum MMB MF Sales Charge Difference’ threshold Round by Precision
▪ (MFB Trades Fee *100/ MFB Trades amount - Product Break Point Percent Round by
Precision >= ‘Minimum NMB MF Sales Charge Difference’ threshold Round by Precision
• NMB Eligibility %
▪ If “NMB Method - Percentage” threshold = “On”
Then (100 - MMB Near break point *100) Round by Precision < “NMB Eligibility %”
threshold
Else True
• NMB Eligibility $ Value
▪ If “NMB Method - Dollar Value” threshold = “On”
Then (Last Break Point - MFB Trades amount) Round by Precision < NMB Eligibility $
Value” threshold
Else True
Specific Detection Logic
MFB Trades Fee

Round by Precision of Sum (trade MF Sales Charge) of all trades that fulfill the following
conditions:
▪ Trade is MFB Trade
▪ Trade Product key = current Product key
Product Break Point Percent

Round by Precision of Break Point Percent that fulfills all the following conditions:
▪ Break Point Product Key = current Product key
▪ Break Point Investment Amount Range From <= MFB Trades amount
▪ Break Point Investment Amount Range To > MFB Trades amount
Or
Break Point Investment Amount Range To = null
▪ Minimum (Break Point Investment Amount Range From)
Breakpoint Sales Load Percent

Round by Precision of (Product Break Point Percent/100)* (MFB Trades amount)
MMB near Break Point

If MFB Trades amount / Last Break point = null
Then 0
Else MFB Trades amount / Last Break point
Detection Models
Last Break Point

If Is Last Break Point = true then Null
Else
If Next break point = 0 then Null
Else Next break point
Is Last Break Point

Next break point <= MFB Trades amount
Next Break Point

Bottom (Break Point Investment Amount)
• Break Point Product Key = Current Product key
• Break Point Investment Amount Range From <=MFB Trades amount
• Break Point Investment Amount Range To > MFB Trades amount
Or
From Value in Next Break Point

Bottom (Break Point Investment Amount Range From* Break Point Percent/100)
• Break Point Product Key = Current Security key
• Break Point Investment Amount Range From <= MFB Trades amount
• Break Point Investment Amount Range To > MFB Trades amount
Or
Break Point Investment Amount

If Break Point Investment Amount Range To = null then
Break Point Investment Amount Range From
Else
Break Point Investment Amount Range To
Flexibility
MMB Specific Thresholds & Settings

Minimum Trade MF The minimum difference between the % charged 0%

Sales Charge Difference and the expected MMB % charge required to
qualify as an issue.
Detection Models
MMB Specific Scoring

Score Factor Description Aggregation Default
Level Value
Missed Breakpoint Score value assigned when an incorrect discount is <3% 10

given
>=3% 20
Calculation: MFB Trades Fee round by precision * 100/ MFB Trades amount round by precision - Product
Break Point Percent round by precision
3.3.11.5 Letter of Intent (LOI)

A front-end mutual fund purchase occurs in a customer account, which is then checked to see if
an LOI dated within the last 13 months is on file. If the LOI is on file, the sales charge percentage
is compared to the breakpoint schedule to verify that the client received the proper discount.
Example
A client buys $10,000 of a mutual fund, which would subject him to a high sales charge. But he
has signed an LOI pledging to buy a total of $100,000 over the next 13 months. He is charged
the lower sales charge rate immediately as if he had already purchased the full $100,000 today.
Filter
• Include MFB Trade
• Exclude Core System Rebalanced trades
Detection Logic
• Account Letter of Intent is Valid
• (MFB Trades amount round by precision + MFB As of Trades Amount + LOI Position
Amount) > LOI commitment amount
• (((LOI Buy Trades sales charge round by precision *100) / MFB Trades amount round by
precision) - LOI Product Break Point Percent round by precision) >= ‘Minimum LOI MF Sales
Charge Difference’ threshold round by precision
• MFB Trades amount round by precision >= ‘Minimum Net Amount’ threshold
LOI Specific Detection Logic
Account Letter of Intent is Valid

• Has LOI = True
• Fund Family LOI = current Fund Family
• LOI Access key = current Account Access key
• LOI expiration date > current process date
LOI Access Key

Detection Models
Then all the Account LOI that have the current Account Household
Else Account LOI
LOI Commitment Amount

Sum(LOI Commitment amount) that fulfills all the following conditions:
▪ Has LOI = True
▪ Fund Family LOI = current Fund Family
▪ LOI Access Key = current Account Access key
▪ LOI expiration date > current process date
LOI Product Break Point Percent

Round by Precision of Break Point Percent that fulfills all the following conditions:
• Break Point Product key = Current Product key
• Break Point Investment Amount Range From <= LOI commitment amount
• Break Point Investment Amount Range To > LOI commitment amount
Or
• Minimum (Break Point Investment Amount Range From)
LOI Breakpoint Sales Load Percent

Round by Precision of (LOI Product Break Point Percent/100)* MFB Trades amount
LOI Position Amount

Round by Precision of Sum (Position amount) of positions that fulfills the following conditions:
• Position is MFB position
• Position product = current product key
LOI Buy Trades Sales Charge

Round by Precision of Sum (trade MF Sales Charge) of all trades that fulfill the following
conditions:
▪ Trade is MFB Trade
▪ Transaction Type is Buy
Flexibility
LOI Thresholds
Value
Minimum LOI MF Sales The minimum difference between the % charged and 0%
Charge Difference the expected LOI % charge required to qualify to be an
issue.
Detection Models
LOI Scoring
Value
Letter of Score values assigned when an incorrect discount is <3% 10
Intent (LOI) received with a signed LOI.
Scoring scale is according to the % amount of
discount lost.  3% 20
Calculation: (LOI Buy Trades sales charge *100)/ MFB Trades amount) Round by Precision - LOI
Product Break Point Percent
Display
• Issue Type: “Letter of Intent”
• Description: “A transaction did not receive a proper discount as per the LOI. (Fee paid:”+
LOI Buy Trades sales charge round by precision + “, Fee with LOI commitment:” + LOI
Breakpoint Sales Load Percent“)”
• Score: Total Scenario Score
▪ Scenario: “Letter of Intent”
 Description: “A transaction did not receive a proper discount as per the LOI. (Fee
paid:”+ LOI Buy Trades sales charge round by precision + “, Fee with LOI
commitment:” LOI Product Break Point Percent round by precision + “)”
 Current Value: (LOI Buy Trades sales charge round by precision / (MFB Trades
amount round by precision*100) - LOI Product Break Point Percent round by
precision
Format: Amount
 Check Value: ‘Minimum LOI MF Sales Charge Difference’ threshold round by
precision
Format: Amount
Score: ‘Letter of Intent (LOI)‘ score
3.3.11.6 Rights of Accumulation (ROA)

This model analyzes mutual fund, Annuity and 529 Plan positions and trades over time to
determine if a client (account or household, based on a user-defined setting) is entitled to an
ROA sales charge discount under the terms and conditions of the fund’s ROA parameters. If a
client makes its mutual fund holdings available at other custodial sites, this data can also be
included in the analysis. The model determines if the current day’s trade, when combined with
other purchases in any qualifying account, enabled the client’s position to reach the next
breakpoint, thereby qualifying for the next lowest sales charge rate.
Example
A front-end mutual fund purchase occurs in a customer account that has other prior purchases
for that fund family, and a check is done to ensure that the client received the lowest possible
sales charge, which is earned under the fund’s ROA parameters.
Filter for ROA and NMB for ROA

• Apply MFB filters
Detection Models
• Filter when Position fund family is null
Detection Logic
ROA
• ROA Eligible = “Yes”
• MFB As of Trades Amount + MFB Trades Amount >= ‘Minimum Net Amount’ threshold
• Fulfill one of the following:
▪ If “MFB Account or Household” threshold = “Account” and ROA Product Level = “Fund”
Then Account/Fund ROA Method
▪ If “MFB Account or Household” threshold = “Account” and ROA Product Level =
“FundFamily”
Then Account/Family ROA Method
▪ If “MFB Account or Household” threshold = “Household” and ROA Consolidation Level =
null or “Household” and ROA Product Level = “Fund”
Then Household/Fund ROA Method
null or “Household” and ROA Product Level = ”FundFamily”
Then Household/Family ROA Method
“Account” and ROA Product Level = “Fund”
Then Account/Fund ROA Method
“Account” and ROA Product Level = “FundFamily”
Then Account/Family ROA Method
NMB
• Date (Trade Date) = Process Date
• Position Access key = current Account Access key
• If ‘NMB Option’ threshold for ROA = “On”
• MFB As of Trades Amount + MFB Trades Amount >= ‘Minimum Net Amount’ threshold
• No ROA Alert:
▪ (ROA Buy Trades sales charge* 100)/ Product/Family Amount – ROA Product Break
Point Percent) Round by Precision < ‘Minimum ROA MF Sales Charge Difference’
threshold round by precision
▪ (ROA Buy Trades sales charge* 100/ Product/Family Amount – ROA Product Break Point
Percent) Round by Precision >= ‘Minimum NMB MF Sales Charge Difference’ threshold
Round by Precision
Detection Models
• NMB Eligibility %
▪ If ‘NMB Method – Percentage’ threshold = “On”
Then (100 - ROA Near break point* 100) Round by Precision < ‘NMB Eligibility %’
threshold
Else True
• NMB Eligibility $ Value
▪ If ‘NMB Method - Dollar Value’ threshold = “On”
Then
ROA Last Break Point is not null
AND
(ROA Last Break Point – Product/Family Amount) Round by Precision < ‘NMB Eligibility $
Value’ threshold
Else True
ROA Specific Detection Logic
Account/Fund ROA Method or Household/Fund ROA Method

Use ROA Main Logic with the parameters:
• The use in the calculation is product calculations using the calculation Product or Fund family
• The difference between the account and household is in the calculations using the threshold
‘MFB Account or Household’ in the calculations Position Access Key and Trade Access key
Account/Family ROA Method or Household/Family ROA Method

Use ROA Main Logic with the parameters:
• The use in the calculation is fund family calculations using the calculation Product or Fund
family
• The difference between the account and household is in the calculations using the threshold
‘MFB Account or Household’ in the calculations Position Access Key and Trade Access key
ROA Main Logic

(ROA Buy Trades sales charge* 100)/ Product/Family Amount - ROA Product Break Point
Percent) Round by Precision >= “Minimum ROA MF Sales Charge Difference” threshold Round
by Precision
Position Access Key Display String

Then if Consolidation Level = “Account”
Then “Account”
Else “Household”
Else “Account”
Product or Fund Family

If the use is of product:
• From positions: Position product = current product key
• From trades: trade product key = current product key
Detection Models
If the use is of fund family:

• From positions: Position fund family = current Fund Family
And ROA Eligible = “Yes” for Position Product
• From trades: trades fund family = current Fund Family
And ROA Eligible = “Yes” for Trade Product
ROA Position Amount

Round by Precision of Sum (Position amount) of positions that fulfills the following condition:
• Position is MFB position
• Product or Fund family
ROA Trades Amount

Round by Precision of Sum (trade net amount) of all trades that fulfill the following conditions:
ROA as of Trades Amount

Sum (trade net amount) of all trades that fulfill the following conditions
ROA Buy Trades Sales Charge

Round of Precision of Sum (trade MF Sales Charge) of all trades that fulfill the following
conditions:
• Transaction Type is Buy
ROA Product Break Point Percent

Round of Precision of Break Point Percent that fulfills all the following conditions:
• Break Point Product Key = Current Product key
• Break Point Investment Amount Range From <= Product/Family Amount
• Break Point Investment Amount Range To > Product/Family Amount
Or
• Minimum (Break Point Investment Amount Range From)
ROA Breakpoint Sales Load Percent

Round by Precision of (ROA Product Break Point Percent/100* Product/Family Amount)
ROA near Break Point

If (Product/Family Amount) / ROA Last Break point = null
Detection Models
Then 0
Else (Product/Family Amount) / ROA Last Break point
ROA Last Break Point

If ROA Is Last Break Point = True
Then Null
Else if ROA Next Break Point = 0
Then Null
Else ROA Next break point
ROA Is Last Break Point

ROA Next break point <= (Product/Family Amount)
ROA Next Break Point

• Break Point Product key = Current Product key
• Break Point Investment Amount Range From <= Product/Family Amount
• Break Point Investment Amount Range to Product/Family Amount
Or
Product/Family Amount
ROA As of Trades Amount + ROA Position Amount + ROA Trades amount

If Break Point Investment Amount Range To = null
Then Break Point Investment Amount Range From
Else Break Point Investment Amount Range To
Flexibility
ROA Specific Thresholds

Location: Thresholds  ROA - Rights of Accumulation

Value
Minimum ROA MF Sales The minimum difference between the % charged and 0%
Charge Difference the expected ROA % charge required to qualify for
issue.
ROA Specific Scoring

Location: Thresholds  ROA - Rights of Accumulation
Detection Models
Score Factor Description Score Scale Default

Value
Rights of Score values assigned when incorrect < 3% 10
Accumulation (ROA) discount is received by an ROA eligible fund
Scoring scale is according to the % amount of  3% 20
discount lost.
Calculation:
ROA Buy Trades sales charge*100/ Product/Family Amount - ROA Product Break Point
Percent
3.3.11.7 Near Breakpoint (NMB)

then determines if a trade or series of trades is very close to qualifying for a breakpoint discount
that was not given to the account.
NOTES:
• There are two NMB scenarios – one for MMB and one for ROA.
• This model is a standalone rule: It can be activated even if ROA or MMB is not, and it has its
own scenario in the Focus Issues section.
• NMB for MMB has different thresholds and scores than NMB for ROA.
• The logic and filters for NMB are described under the TRR-ROA and TRR-MMB models (see
Section 3.3.11.4: Missed Breakpoint (MMB), page 110 and Section 3.3.11.6: Rights of
Accumulation (ROA), page 115).
NMB Specific Thresholds

Location: Thresholds  NMB - Near Breakpoint
NMB Option Determines which (ROA/MMB) ROA • On
scenarios will also consider the (default)
NMB scenario option
• Off
MMB • On
(default)
• Off
NMB Method <ROA/MMB> - Closest by Percentage • On (default)
Percentage
• Off
NMB Method <ROA/MMB> - Closest by Dollar value • On (default)
Dollar Value
• Off
NMB <ROA/MMB> Eligibility Percentage by which the 10%
Percentage position/activity is within the next
eligible breakpoint level
NMB <ROA/MMB> Dollar Value Dollar value by which the $5000

position/activity is within the next
eligible breakpoint level
Detection Models
NMB Specific Scoring

Location: Thresholds  NMB - Near Breakpoint
Factor Description Value
Near Breakpoint <ROA/MMB> Score value assigned when >=90% 5
customer purchases fall short
of the amount required to take
advantage of breakpoint
discounts.
The near breakpoint ratio is the >=95% 10
amount or value purchased over
the nearest breakpoint value.
Calculation: MMB: Near break point * 100

ROA: ROA Near break point
3.3.12 Include List (DAR-INC)

The Daily Account Review Include List (DAR-INC) model allows client firms to specify a list of
specific accounts which will alert on a daily basis upon detection of trading activity. This model
enables maintaining multiple lists of accounts, each named uniquely and containing its own set of
information/thresholds/include and exclude criteria.
3.3.12.1 Filters
For the Include List model, the general Daily Account Review filters apply, including the following:
• Exclude proprietary accounts
• Exclude non-customer accounts
• Exclude Account key that is in the “Account Exclude List”
• Exclude accounts that do not have trades on the relevant business date (process date)
The account include list in this model overrides these lists. This means that even if an account is
excluded by the general Daily Account Review filters, if it is in the model, the include list account
will be included in the alert.

Alerts will be generated for accounts and lists that fulfill all of the following conditions:
• If Account Attribute = “Account Key”
Then Account key in one of the account lists
Else Account ID in one of the account lists
• Current account Net Equity > “Minimum Account Value” threshold
• If Trade Activity = “Yes”

Then at least one trade with Trade principal amount > “Minimum Transaction Value” threshold
▪ Trade account = current account key
Detection Models
▪ Trade date = current process date

▪ Include Transaction type according to “Included Transaction Types - <list name>”
Else True
• The row in the list is validate:
▪ Monitoring Start Date <= current process date or Monitoring Start Date is unavailable
▪ Monitoring End Date >= current process date or Monitoring End Date is unavailable
The Last Balance Date available is calculated from the database.
Last Balance Date

Max Balance Date that fulfills the following:
▪ Balance Date < Date part of Trade Date Time
▪ Balance Account = Current Account
▪ Balance type is net equity
Net Equity
The Net Equity for the Last Balance Date available is received.
Total Balance Value that fulfills the following:
▪ Balance Date = Last Balance Date
▪ Balance Account = Current Account
▪ Balance type is net equity
Example
For sample Security List XYZ:
Account Monitoring Start Date Monitoring End date

511999888 01/01/2014 05/01/2014
ABC999888 01/01/2014 03/01/2014
XYZ999888 01/01/2014 07/01/2014
QYZ999888 01/01/2014 04/01/2014
The following accounts will generate an Include List alert:

Trade date Account Number Account Value Trade Activity
3/25/2014 511999888 75,000 Yes
3/25/2014 XYZ999888 13,500 Yes
3/25/2014 QYZ999888 25,000 Yes
The following accounts will not generate an Include List alert:
Detection Models
Trade date Account # Account Value Trade Activity Reason

Not passed the
minimum Account
3/25/2014 511999888 6,500 Yes Value
Passed the
Monitoring End
date of the
3/25/2014 ABC999888 13,500 Yes account
Does not have

3/25/2014 QYZ999888 25,000 No trade activity
The account is not

3/25/2014 DEF999888 52,500 Yes in the list
Thresholds and Settings

Name Description Default Value
Minimum Account Value The minimum account value in 10000
order to add into the detection
This definition is per list, using
the drop down of list names from
the list of Include lists.
Minimum Transaction Value The minimum transaction value 1000

in order to add into the detection
Trade Activity Used to determine if new trade • Yes (default)

activity is required to generate an
alert • No
list of lists.
Account Attribute Defines which account attribute • Account Key (default)

is maintained in the model list
• Account Number
the drop down of the list names
from the list of Include lists.
Scoring
Include List This score is added if this 20
scenario is detected. The Score
is at List level (for example, List A
issues have a score of 20; List B
issues have a score of 50, and so
on).
Detection Models

This definition is per list, using the
drop down of the list names from
Calculation: None
User-Defined Lists
Defining List of Possible Values

You can define lists of possible values for custom Include lists under References  SP Daily
Account Review  Custom Lists. Use the definitions in the policy manager custom lists to
define the lists in the User Details column. These lists describe the transaction types that must
be included in the analysis, for example, Buy, Short sell, Buy to open, and Sell to open.
Name Description
List Code The code of the list
List Name The name or description of the list
Configuring Custom Include Lists

You can configure the following values in the Include lists under Settings  Lists  SP Daily
Account Review  Custom List  <List Name>.
• Region – the region to be defined for the Include list. Not relevant for hosted mode.
• Value – the account keys or IDs from the “Account Attribute” threshold
• Effective Date – date from which the securities are included for generating an alert (the
monitoring start date). The default is the date the list is configured.
Daily Account Review Details Screens
• Expiration Date – the date after which the securities are not included for generating an alert
(monitoring end date). The default is no end date.
• User Defined Lists
Included Transaction The transactions types that must be Possible values:
Types - <list name> included in the analysis. In the display
• Buy
just the descriptions will be shown.
• Sell
• Buy to Cover
• Short Sell
• Sell to Close
• Sell to Open
• Buy to Open
• Buy to Close
3.4 Daily Account Review Details Screens

The Daily Account Review Detail pages include several sections, panes and tabs.
3.4.1 Account Details

At the top of the Daily Account Review Details page is a collapsible section that displays details
about the account, including branch information, broker information and other general account
information.
3.4.2 Account Suitability Information

This section provides information that enables supervisors to evaluate the suitability of the
portfolio for the current account.
3.4.3 Account's VA Contracts

This section provides information about the contracts that belong to the Brokerage Account. You
can expand each contract row to view additional details.
3.4.4 Daily Account Review Details Tabs

The tabs at the bottom of the page include the following:
• Focus Issues – enables users to view the issues that contributed to the alert and the score
associated to each (see Focus Issues, page 127)
▪ Related Issues – this is a group of tabs that appears only when specific issues are
generated to provide additional information about associated issues; they include:
 Market Timing (see Market Timing, page 128)
 Out of State 529 (see Out of State 529, page 127)
 Option Portfolio (see Option Portfolio, page 127)
 HSW Activity – (see HSW Activity, page 129)
 Account’s Activity – shows information about the activity of the account (see
Account’s Activity, page 130)
• Portfolio – (see Portfolio, page 129)
• Drill Downs – enables users to access a window with additional information about issues
associated with the account, including issue type, issue date and more (see Drill Downs,
page 130)
• Prior Alerts – enables users to access Daily Account Review alerts that were generated for
the same account in the past (see Prior Alerts, page 130)
The tabs that appear at the bottom of the Daily Account Review Details page depend on the
issues that are associated with the alert.
The following subsections provide information about each of the tabs that may appear.

The Focus Issues tab shows the different issues detected for the current account, the total score
associated with each issue, and a breakdown of the scoring.
It lists the Daily Account Review models that generated issues that contributed to the currently
selected alert. Some issue can be expanded to display scenarios that were used by the model
during detection.
For each scenario within the expanded area, you can view the Current Value (the value being
analyzed) and the Check Value (a threshold, a calculation or a setting). When applicable, an
issue is generated based on the comparison of values. For some of the scenarios, a score is
assigned based on the Current Value.
The Score Information section shows an additional score based on previous alerts on the same
account. It includes a factor called Previous Alerts with a Value column, displaying the number
of prior alerts per account, and a Score column, displaying a score value based on the number of
prior alerts. The more Previous Alerts the higher the score.
The score value displayed refers to the number of prior alerts in the last set number of months.
The period of the prior alert is configurable by threshold. The default value for DAR is 10 months.
The default value for ACR and TRR is 6 months.
3.4.4.2 Out of State 529

This tab provides extended details for an Out of State 529 issue, including the list of all parties
related to the account, their relationship to the account and their location.
3.4.4.3 Option Portfolio

This tab provides extended details for a LAP issue, including all option positions of the portfolio
grouped according to the underlying product.
3.4.4.4 Market Timing

The Market Timing tab provides extended information about mutual fund activity. It includes two
sections: Period Summary and Potential Mutual Fund Market Timing Activity.
• Period Summary - the information in the Period Summary section is based on the defined
aggregation level (Fund, Fund Family or Multifund family). The aggregation summary
information and the user-defined threshold value (shown within brackets) appear for the
lookback period.
• Potential Mutual Fund Market Timing Activity – shows all mutual fund transactions sorted
by aggregation level.
3.4.4.5 VA Market Timing

This tab provides additional information about variable annuity activity, it also has two sections:
Period Summary and Potential Mutual Fund Market Timing Activity.
• Period Summary – the information contained in this section is for each contract, and is
based on the defined aggregation level (Fund, Fund Family or Multifund family). The
aggregation summary information and the user-defined threshold value (shown within
brackets) appear for the lookback period.
• Potential Mutual Fund Market Timing Activity – shows all variable annuity mutual fund
transactions sorted by aggregation level.
3.4.4.6 LTHL Historical Activity

This tab enables users to view details about the history of Long Term High Load product trading,
with extended details for Variable Annuity Switching issues (see Section 3.3.5: High-Load
Product Switching for Variable Annuities (DAR-VHS), page 73).
3.4.4.7 Portfolio
The Portfolio tab provides a list of investment holdings, including the total overall risks.
3.4.4.8 HSW Activity

This tab shows the list of trades that are part of the HSW or lookback groups.
3.4.4.9 Account’s Activity

The Account’s Activity tab displays static data that summarizes information about Trades,
Transfers and Transactions.
3.4.4.10 Drill Downs

The Drill to Account Positions link in the Drill Downs tab enables users to open a window that
provides additional information about the associated account portfolio under evaluation, as
shown in the following example.

This tab has the following two links:
• Prior Alerts by Account – displays all prior Daily Account Review alerts, within a user
defined lookback period, associated with the account
• Prior Alerts by Broker – shows all prior Daily Account Review alerts, within a user defined
lookback period, associated with the account broker (RR)
Chapter 4: Trade Review (TRR) Model Groups
4.1 Overview
The Actimize SP Trade Review (TRR) models include a group of analytical models developed for
the primary purpose of identifying trades that may require additional supervisory review.
This model group is an integral part of the Trade Blotter Report, providing convenient access to
in-depth compliance surveillance of all blotter transactions. It is also accessible directly from the
Actimize Risk Case Manager.
4.1.1 Summary of Trade Review Detection Models

The following table provides an overview of each of the SP Trade Review models. Each
detection model is dedicated to the evaluation of issues related to one or more lines of business.
For more information about lines of business, see Section 1.6.1, Lines of Business, page 4.

Discretionary Account Activity This model identifies trades in which the client account is not
(TRR-DAA) discretionary and the trade is marked as discretionary (see Section
4.3.1: Discretionary Account Activity (TRR-DAA), page 137).
Line of business:
• High-Risk Trades
Off-hours Trades (TRR-OHT) This model detects trades that occur outside the user-defined normal
trading hours window threshold (see Section 4.3.2: Off-Hours
Trading (TRR-OHT), page 138).
Line of Business:
Opening Trade in Expiring This model detects trades in which equity options are expiring within
Options (TRR-OTE) a user-defined time threshold, allowing for supervisory review of
high-risk, soon-to-expire option trades (see Section 4.3.3: Opening
Trade in Expiring Options (TRR-OTE), page 139.)
Lines of business:
• Options
Suitability of Trade (TRR-UTR) This model detects trades that may be inconsistent with an account’s
suitability information. This information includes the customer’s
stated investment objectives, liquid and total net worth, risk
tolerance, income, and age. In determining whether to generate an
alert, the system weighs the risk of security against the customer’s
Summary Risk Threshold and the size of the trade (see Section
4.3.4: Suitability of Trade (TRR-UTR), page 140).
Lines of business:
• Suitability
• Mutual Funds
• Options
Low Priced Security Trade This model detects purchases in low priced, non-listed, non-NMS
(TRR-LST) securities. It allows for supervisory review of “penny stocks” (see
Section 4.3.5: Low-Priced Security Trades (TRR-LST), page 143).
Overview

Line of business:
High Yield Bonds (TRR-HYB) This model monitors purchases in bonds that are rated below
investment grade by both S&P and Moody’s. If only one rating is
available, that rating must be below the investment grade. This
information enables supervisors to review the appropriateness of
“junk bond” purchases (see Section 4.3.6: High-Yield Bonds (TRR-
HYB), page 144).
Line of business:
Large Trades (TRR-LTR) This model detects trades that exceed a specific share amount or
principal size. Thresholds may vary by product type. It also prompts
supervisors to review large commitments made in client accounts
(see Section 4.3.7: Large Trades (TRR-LTR), page 147).
Lines of business:
• Mutual Funds
• Options
Uncovered Options Trades This model detects trades of equity options that are designated as
(TRR-UOT) uncovered, allowing for supervisory review of high-risk “naked”
option trades (see Section 4.3.8: Uncovered Options Trades (TRR-
UOT), page 152).
Line of business:
• Options
Options Trading No ROP This model detects trades of equity options in accounts that are not
Approval (TRR-NRA) approved for options trading (see Section 4.3.9: Options Trading No
ROP Approval (TRR-NRA), page 153).
Line of business:
• Options
Not RR of Record (TRR-NRR) This model detects trades where the RR on the trade is not the RR
designated for the account, allowing for supervisory review of trades
executed in an RR number other than the RR of the record (see
Section 4.3.10: Not RR of Record (TRR-NRR), page 154).
Line of business:
• Registration
Hybrid Switching (TRR-HSW) This model detects switching behavior amongst long-term high-load
products (LTHLs), such as mutual funds, annuities, UITs, etc.
Switching is the practice of liquidating customer holdings in one
long-term high-load product and using the proceeds to purchase
shares of a different long-term high-load product within a specified
time period (see Section 4.3.11: Hybrid Switching (TRR-HSW), page
154).
Lines of business:
• Mutual Funds
• Variable Annuity
Overview

Solicited Trades (TRR-ST) This model identifies trades marked as solicited, allowing
supervisors to review the appropriateness of RR recommended
trades (see Section 4.3.12: Solicited Trades (TRR-ST), page 138).
Line of business:
Mutual Fund Breakpoint Models This is a subgroup of models.
(TRR-MFB) Line of business:
• Mutual funds
The MFB group includes the following models:
• Missed Breakpoint (TRR MMB) - this model detects patterns of
Mutual Fund breakpoint sales by analyzing client trades of either
an account or a household (based on a user-defined setting). It
then determines if a trade or series of trades qualify for a
breakpoint discount that was not given to the account (see
Section 4.3.13.1: Missed Breakpoint (MMB), page 159).
• Letter of Intent (TRR-LOI) - this model looks for front-end Mutual
Fund purchases in customer accounts, and then checks to see if
a Letter of Intent is on file that is dated within the last 13 months.
If the LOI is on file, the sales charge percentage is compared to
the breakpoint schedule to verify that the client received the
proper discount (see Section 4.3.13.6: Letter of Intent (LOI),
page 161).
• Rights of Accumulation (TRR ROA) - this model analyzes Mutual
Fund, Annuity and 529 Plan positions and trades over time to
determine if a client (account or household, based on a user-
defined setting) is entitled to a Rights of Accumulation sales
charge discount under the terms and conditions of the fund’s
Rights of Accumulation parameters. If a client makes available its
Mutual Fund holdings at other custodial sites, this data can be
included in the analysis, as well. The model determines if the
current day’s trade, when combined with other purchases, in any
qualifying account, enabled the client’s position to reach the next
breakpoint, thereby qualifying for the next lowest sales charge
rate (see Section 4.3.13.7: Rights of Accumulation (ROA), page
162).
• Near Breakpoint (TRR-NMB) - this model detects patterns of
Mutual Fund breakpoint sales by analyzing client trades of either
an account or a household (based on a user-defined setting)
over time. It then determines if a trade or series of trades falls
short of qualifying for a better breakpoint discount by a
predetermined configurable amount, initially set at 10% or less
(see Section 4.3.13.8: Near Breakpoint (NMB), page 163).
• Multiple Fund Family Purchases (TRR-MFF) - this model
detects patterns of different Mutual Fund family purchases by
analyzing client trades of either an account or a household
(based on a user-defined setting) and order entry points over
time. It then determines if a trade or series of trades, spread
among multiple fund families with the same investment objective,
would qualify for a better breakpoint discount if they were limited
to a single fund family instead (see Section 4.3.13.9: Multiple
Fund Family Purchases (MFF), page 164).
B & C Share Analysis This model identifies potential mutual fund investment activity that
(TRR-BAC) may result in an economic disadvantage for the customer when they
purchased B or C class shares. If positions in class B, C, and/or
Trade Review General Attributes and Conditions

other shares exceed the specified threshold, the system issues an
alert (see Section 4.3.13.10: B & C Share Analysis (TRR-BAC), page
166).
Line of business:
• Mutual Funds
State Blue Sky of Security This model detects transactions in securities that were sold in states
(Product Registration) where security is not registered for sale in accordance with state law.
(TRR-BSS) If the security is on the list for at least one state, then an alert is
issued (see Section 4.3.14: State Blue Sky of Security (Product
Registration) (TRR-BSS), page 167).
Line of business:
• Registrations
Financial Consultant This model detects if the RR is registered to do business in the state
Qualifications (State & Product that is associated with the primary address on this account (see
Qualification) (TRR-BSB) Section 4.3.15: Financial Consultant Qualifications (State & Product
Qualification) (TRR-BSB), page 168).
Line of business:
• Registrations
Principal Trade Issues This model identifies principal trades (Buy and Sell) in a managed or
(TRR-PTI) discretionary account (where discretion is assigned to an employee
of the firm), or when there is a principal trade that is marked as
‘discretion exercised’ (DE). The model excludes certain programs as
well as individual accounts (based on the assumption that they
signed a one-time written consent). If the program allows for
principal trades but the account has chosen to not consent, then the
account setting overwrites the program code. An alert is generated
for all ERISA (Employee Retirement Income Security Act) accounts
(see Section 4.3.16: Principal Trade Issues (TRR-PTI), page 169.)
Line of business:
• 1940 Act
Transactions in High Risk This model detects opening transactions in high-risk securities, short
Securities (TRR-HRS) sales in any securities, and transactions in securities on the client
lists for managed accounts (see Section 4.3.17: Transactions in
High-Risk Securities (TRR-HRS), page 170).
Line of business:
• 1940 Act
Cost to Trade Ratio (TRR-CTR) This model allows client firms to identify instances where excessive
costs or commissions were charged to a customer for execution of
the customer’s order. The model detects instances where the costs
associated to the trade are inappropriate based on factors such as
product type (see Section 4.3.19: Security List Model (TRR-SLM),
page 174.
4.2 Trade Review General Attributes and Conditions
4.2.1 Frequency
The Trade Review models are all designed to run on a daily basis (T+1).
Trade Review General Attributes and Conditions
4.2.2 General Trade Review Filters

The general Trade Review filters determine which trades/accounts are relevant (or not relevant)
for the Trade Review model group. For example, there may be legal exemptions determined by
regulation, or internal exemptions determined within the organization.
The filters described in the following sections are used for all Trade Review models. In addition to
these filters, there may be model-specific filters that define the population for that particular
model.
4.2.2.1 Account Filters

The following are filters that determine the accounts to be excluded:
• Exclude DVP/RVP accounts
• Exclude proprietary/firm accounts
• Exclude accounts identified on the Exclude List
4.2.2.2 Trade Filters

The Exclude Cancels filter determines the trades that should be excluded.
4.2.3 Data Sources Used by All Trade Review Models

All Trade Review models use the following data sources:
• Trade executions
• Accounts
• Security master
NOTE:
Individual models may use additional data sources that are specific for each model.
4.2.4 Currency Use

A base currency is used for all Trade Review calculation fields.

Transaction type mapping between the client transaction types and the solution transaction types
is predefined during implementation based on the requirements of the organization. For example,
a client transaction type code 260 (Buy) can be mapped to the solution’s transaction type Buy.
Similarly, a client transaction type code 489 (statement fee) and a client transaction type code
275 (maintenance fee) can both be mapped to the solution’s transaction type Fee. The options
for setting up Transaction Type Mapping are located in the References tab of the Actimize RCM.
4.2.6 Trade Review General Settings

The following thresholds and score factors are set up once for all Trade Review models from the
SP Trade Review > General Thresholds and Scores link in the Thresholds tab of the RCM.
Detection Models
Thresholds
Value
Alert Max Score Maximum alert score value to which the final alert score 100
is compared
Lookback Period for Prior Alerts A general Trade Review threshold that sets the period 6 months
used when counting prior historical alerts.
Number of days trades Determines the expected maximum latency for a trade. 0
registration is being delayed Latency refers to the period between the Trade Review
process date and the Trade Date. If higher latency is
identified, trade is flagged as a delayed trade (As of
Trade).
Precision A general Trade Review threshold that sets the number 2

of digits after the decimal point; used for rounding when
calculating results.
Scoring
The following general scoring factors are applied to all trades in the process of alert generation
by the ASF rule. By default, this rule is activated.
Factor Description Scoring Default
Scale Value
Additional Scoring Score value assigned by account based on alert 1-5 10
(ASF) - Prior Alerts by history.
Account The same alert type during the last 6 months, 5-10 20
>10 30
Additional Scoring Score value assigned by representative based 1-5 5

(ASF) - Prior Alerts by on alert history.
Broker The same alert type during the last 6 months, 5-10 10
10-20 20
>20 40
4.2.7 General Trade Review User-Defined List
4.2.7.1 Trade Review Accounts Exclusion List

The Accounts Exclusion List is set up once for all Trade Review models from the Lists tab of the
RCM. This list initially opens empty, enabling business users to add to it the appropriate excluded
accounts.
4.3.1 Discretionary Account Activity (TRR-DAA)

This model identifies trades in which the client account is not discretionary and the trade is
marked as discretionary.
Detection Models
4.3.1.1 TRR-DAA-Specific Population Filters

• Include all trades

• Apply general Trade Review filters.
• Apply DAA model-specific population filters.
• Generate an alert if trade is marked as DE or DNE (Discretion Not Exercised) and the
account is not on the firm’s list of approved discretionary accounts.

This model uses only Trade Review general data sources.
4.3.1.4 Flexibility
Business users can adjust the following settings using the options available in the Actimize RCM.
Scoring
Score Factor Description Default Value
Discretionary Account Score value assigned when trade is marked as DE or 20

Score DNE, and account is not in the list of approved
discretionary accounts

This model uses only Trade Review general settings.
4.3.2 Off-Hours Trading (TRR-OHT)

The Off-Hours Trading model detects trades that occur outside the user-set normal trading hours
window threshold, allowing for supervisory review of trades executed outside of the normal hours
of trading.
4.3.2.1 TRR-OHT-Specific Population


1. Apply general Trade Review filters.
2. Apply OHT population filters.
3. Determine the product type of trade and normal trading hours for the product type.
4. Determine the time of trade and whether it occurred outside of normal trading hours for
product type.
5. Generate an alert and flag trade for display if trade occurred outside of normal trading hours.

Detection Models
4.3.2.4 Flexibility
Scoring
Off-Hours Trade score Score value assigned if trade occurred during off hours 20

4.3.3 Opening Trade in Expiring Options (TRR-OTE)

The model detects equity options trades whose imminent expiration date is closer than a user-
specified time period, allowing for supervisory review of ‘high risk’ rapidly expiring options trades.
4.3.3.1 TRR-OTE-Specific Population Filters

• Include only Equity Options trades
• Include only Opening transaction types (Buy to Open and Sell to Open)
NOTE:
Transaction Types are mapped during the implementation stage of deployment (see Transaction
Types on page 136).

2. Apply OTE model-specific population filters.
3. Calculate Time to Expiration = the difference in days between the Option Expiration Date and
the Current Calendar Day.
4. Generate an alert if Time to Expiration is less than a user-specified Maximum Time Period
to Expiration threshold.

4.3.3.4 Flexibility
Thresholds
Maximum Time Period to Maximum allowed time period (in days) before the 30
Expiration option’s imminent expiration date
Detection Models
Scoring
Time to Expiration < Score value assigned if time to expiration is less than 20
Threshold the value assigned for the Maximum time Period to
Expiration threshold
4.3.4 Suitability of Trade (TRR-UTR)

This model detects trades that may be inconsistent with an account’s suitability information,
which includes the customer’s stated investment objectives, liquid and total net worth, risk
tolerance, income, and age. In determining whether to generate an alert, the system weighs the
risk of a security against the customer’s Summary Risk Threshold and the size of the trade.
4.3.4.1 TRR-UTR-Specific Population

• Include only new commitment trades (Buys, Short Sales)
• Exclude trades under a threshold principal value amount
• Exclude trades for product subtypes on the Security subtypes exclusion list
• Exclude trades for securities on securities exclusion list
Direction Solution Transaction Types

Buy Buy
Buy to Open
Sell Short Sell
Sell to Open
NOTE:
Transaction types are mapped during the implementation stage of deployment (see Section
4.2.5: Transaction Types, page 136).

2. Apply UTR model-specific population filters.
3. Take trades with Net Amount  Minimum Trade Net Amount Threshold.
4. Take trades that have Account Net Equity  Minimum Account Net Equity Threshold.
5. Determine the Security Risk Value for the security being traded.
6. Determine the Account Tolerance to Risk calculated threshold.
7. Determine the Trade Net Amount Ratio (Percent) over the larger of (Account Net Equity or
Account Liquid Net Worth).
8. Generate alert in one of the following cases:
a. If Trade Variance Check Setting is set to None, generate an alert if the Security Risk
Variance > the calculated Account Tolerance to Risk threshold.
b. If Absolute Net Amount Setting is set to Yes, generate an alert if the Security Risk
Variance > the calculated Account Tolerance to Risk threshold
Detection Models
OR
Absolute Net Amount > Maximum Allowed Trade Net Amount calculated threshold.
c. If Trade Variance Check Setting is set to Maximum Allowed % of Trade Net Amount,
generate an alert if the Security Risk Variance > the calculated Account Tolerance to Risk
threshold;
OR
Trade Net Amount Ratio (Percent) > Maximum Allowed % of Trade Net Amount
calculated threshold.
d. If Trade Variance Check Setting is set to Maximum Allowed % of Trade Net Amount Age
Based, generate an alert if the Security Risk Variance > the calculated Account Tolerance
to Risk threshold;
OR
Trade Net Amount Ratio (Percent) > Maximum Allowed % of Trade Net Amount Age
Based calculated threshold.

4.3.4.4 Flexibility
Business users can adjust the following settings with the options available in the Actimize RCM.
Settings
Setting Name Description Default
Value
Set default risk Sets whether or not to use the Default Risk Value for Security 1 (Yes)
Risk Variance. When the calculation value for Security Risk
Variance is null then:
• If set to Yes, use the Default Risk Value defined in the
threshold Default Risk Value located in Thresholds > SP
General > Product Risk.
• If set to No, then the Security Risk Variance value should be
set to 0 and no alert is generated.
Absolute Net Amount Setting for activating the scenario: Absolute Net Amount. If No is 1 (Yes)
Check (Y/N) used, the model does not use this scenario during analysis.
Also known as Absolute Net Amount
Trade Variance This setting determines the logic used during model detection: Maximum
Check Setting Allowed % of
• None
Trade Net
• Absolute Net Amount Amount
• Maximum Allowed % of Trade Net Amount (Variance)
• Maximum Allowed % of Trade Net Amount Age Based
(variance by age)
Detection Models
Thresholds
NOTE:
Thresholds used for Detailed Calculations for Security Risk are provided in Chapter 7: Risk-
Related Calculations, page 202.

Maximum Allowed % of Determines the threshold values for the Threshold Default
Trade Net Amount maximum allowed percent of trade amount Range Value
out of the larger of Account Net Equity or
Liquid Net Worth. 0-1 10%
The default value depends on the Account
1-2 25%
Risk Tolerance
2-3 40%
3-4 60%
4+ 75%
Maximum Allowed Trade Net Determines the threshold values for the 0-1 $100,000
Amount maximum allowed net amount.
This threshold is displayed only when 1-2 $300,000
Absolute Net Amount is set to Yes.
2-3 $500,000
The default value depends on the Account
Risk Tolerance. 3-4 $700,000
4+ $1,000,000
Minimum Trade Net Amount Determines the threshold value for the $500 Minimum
minimum net amount of interest Trade Net
Amount
Minimum Account Net Equity Determines the threshold value for the $100,000 Minimum
minimum account net equity Account Net
Equity
Maximum Allowed % of Determines the threshold values for the 0-20 10%
Trade Net Amount - Age maximum allowed percent of trade amount
Based out of the larger of Account Net Equity or 21-50 50%
Liquid Net Worth.
51-59 30%
The default value depends on the Age
Risk Factor. 60-75 20%
>76 10%
NOTE:
The Security Risk Variance calculation is based on thresholds that are defined Chapter 7: Risk-
Related Calculations, page 202.
4.3.4.5 Alert Scoring

Scale Value
Net Amount Score value assigned based on the difference 0 15
between trade net amount price and the “Maximum
Allowed Trade Net Amount” threshold
Detection Models

Scale Value
Security Risk Variance Score value assigned based on Security Risk Value 0-20% 20
and Account Summary Risk Variance
21-39% 30
40-59% 40
60-79% 60
80-99% 80
100% 100
Trade Net % Variance Score value assigned based on variance between 0-10% 0
Allowable Trade Net % and Trade Net as a % of the
higher of Liquid Net Worth or Account Net Equity 10-25% 10
The higher the percentage above the threshold
26-39% 20
level, the greater the score.
40-59% 40
60-79% 60
 80% 80
User-Defined Lists
Actimize RCM.
Security SubTypes Security subtypes that must be excluded from the GM (GNMA),
Exclusion List analysis TB (Treas. Bills)
Security Exclusion List Securities that must be excluded from the analysis IBM
4.3.5 Low-Priced Security Trades (TRR-LST)

This model detects trades in low priced, non-listed, non-NMS securities. It allows for supervisory
review of “penny stocks”.
4.3.5.1 TRR-LST-Specific Population Filters

• Include only equities
• Exclude trades for securities traded on exchange exclusion list (Exchange traded on trade
attribute)
• Include only Buy transactions
• Exclude trades for securities on securities exclusion list
NOTE:
Transaction Types are mapped during the implementation stage of deployment (see Section
Detection Models

2. Apply LST model population filters.
3. Generate alert for trades where price/weighted average per share < Low Price Threshold.
4.3.5.3 Additional Model Data Sources

4.3.5.4 Flexibility
Thresholds
Low Price Determines the threshold value for the maximum allowed $5.00
share price
User-Defined Lists
Actimize RCM.
List Name Description Values
LST Exchange Exclusion Exchanges that must be excluded from the analysis Sample values:
List NYSE
AMEX
NMS
LST Securities Exclusion Securities that must be excluded from the analysis Sample values:
List GM (GNMA)
TB (Treas. Bills)
Scoring
Low Price Security Trade Score value assigned when price/weighted average 20
per share < Low Price Threshold
4.3.6 High-Yield Bonds (TRR-HYB)

The High-Yield Bond model monitors purchases in bonds that are rated as below investment
grade by S&P rating, Moody’s rating, and additional optional customized rating. If only one rating
is available, that rating must be below investment grade. This information enables supervisors to
review the appropriateness of “junk bond” purchases.
4.3.6.1 TRR-HYB-Specific Population Filters

• Include only fixed income securities
• Include only Buy transactions
• Exclude securities and security subtypes according to exclusion lists
Detection Models
NOTE:

2. Apply HYB model-specific population filters.
3. From the security master, determine S&P and/or Moody’s and/or other ratings.
4. Generate an alert for scenarios where at least one of the following applies:
▪ No rating exists
▪ All available ratings fall below investment grade rating
4.3.6.3 Additional Model-Specific Data Sources

• Moody’s and S&P ratings
• Firm-generated ratings, if available
4.3.6.4 Flexibility
User- Defined Lists

Actimize RCM.
HYB Security Subtype Security subtypes that must be excluded from the US Treasuries,
Exclusion List analysis Municipalities
HYB Security Exclusion Securities that must be excluded from the analysis GM (GNMA), TB
List (Treas. Bills)
Investment Grade Rating Thresholds for S&P and Moody’s

Agency Rating Risk Investment Grade (Y/N)
S&P AAA 1 Y
S&P AA+ 1 Y
S&P AA 1 Y
S&P AA- 1 Y
S&P A+ 2 Y
S&P A 2 Y
S&P A- 2 Y
S&P BBB+ 2 Y
S&P BBB 2 Y
Detection Models

S&P BBB- 3 Y
S&P BB+ 3 N
S&P BB 3 N
S&P BB- 4 N
S&P B+ 4 N
S&P B 4 N
S&P B- 4 N
S&P CCC+ 5 N
S&P CCC 5 N
S&P CCC- 5 N
S&P CC+ 5 N
S&P CC 5 N
S&P CC- 6 N
S&P C+ 6 N
S&P C 6 N
S&P C- 6 N
S&P D 7 N
Moody Aaa 1 Y
Moody Aa1 1 Y
Moody Aa2 1 Y
Moody Aa3 1 Y
Moody A1 2 Y
Moody A2 2 Y
Moody A3 2 Y
Moody Baa1 2 Y
Moody Baa2 2 Y
Moody Baa3 2 Y
Moody Ba1 3 N
Moody Ba2 3 N
Moody Ba3 5 N
Moody B1 5 N
Moody B2 5 N
Detection Models

Moody B3 5 N
Moody Caa1 6 N
Moody Caa2 6 N
Moody Caa3 6 N
Moody Ca 7 N
Moody C 7 N
InHouse A1 1 Y
InHouse A2 2 Y
InHouse B1 3 N
InHouse B2 4 N
Scoring
Value
High Yield Bonds - Existing Score value assigned if the alert is generated because 20
rates are below investment existing rates are below investment grades
grade
High Yield Bond Score - No Score value assigned if the alert is generated because no 10
rating exists rating exists
4.3.7 Large Trades (TRR-LTR)

The Large Trades model detects trades that exceed a specific share amount, number of options
contracts, or principal size. It also prompts supervisors to review large commitments made in
client accounts.
The thresholds for this model may vary by product type.
4.3.7.1 TRR-LTR-Specific Population Filters

• Include Security Type is Equity, Security Type is Fixed Income, Security Type is Option and
Security Type is Mutual Fund
• Exclude Security Key that is in the LTR Security Exclusion List
• Exclude Account Type that is in the LTR Account Type Exclusion list
• Exclude Security Subtype that is in the LTR Security Subtype Exclusion List
• If the threshold Detect Large Trades for Buy Only or for Both Buy and Sell = Buy, then the
Current Trade Type should include one of the following (using the mapping in Settings >
References in the RCM):
▪ BUY
▪ SHORT SELL
▪ BUY TO OPEN
Detection Models
• If the threshold Detect Large Trades for Buy Only or for Both Buy and Sell = Sell, then the
Current Trade Type is should include one of the following (using the mapping in Settings >
▪ SELL
▪ SELL TO OPEN
• If the threshold Detect Large Trades for Buy Only or Both Buy and Sell = Buy/Sell, then the
Current Trade Type should include one of the following (using the mapping in Settings >
▪ BUY
▪ SHORT SELL
▪ SELL
▪ SELL TO OPEN
▪ BUY TO OPEN

2. Apply LTR specific population filters.
3. If the Buy/Sell setting is Buy, include Buy and Short Sell and Buy to Open trades; if the
Buy/Sell setting is Sell, include Sell and Sell to Open trades; if the setting is Buy/Sell,
including Buy, Short Sell, Sell, Sell to Open and Buy to Open trades.
NOTE:
4. Generate an alert based on the product type check, as follows:
▪ For equity:
 Scenario 1:
Round by precision ABS (trade quantity) > round by precision Equity Trades -
Maximum Allowed Quantity Threshold Value
OR
 Scenario 2:
Round by precision ABS (trade principal amount) > round by precision Equity
Trades - Maximum Allowed Principal Threshold Value
▪ For fixed Income:
 Scenario 1:
Round by precision ABS (trade quantity) > round by precision Fixed Income
Trades - Maximum Allowed Quantity Threshold Value
OR
 Scenario 2:
Round by precision ABS (trade principal amount) > round by precision Fixed
Income Trades - Maximum Allowed Principal Threshold Value
▪ For options:
Detection Models
 Scenario 1:
Round by precision ABS (trade quantity) > round by precision Option Trades -
Maximum Allowed Quantity Threshold Value
OR
 Scenario 2:
Round by precision ABS (trade principal amount) > round by precision Option
Trades - Maximum Allowed Principal Threshold Value
▪ For mutual fund:
 If the security sub type is Mutual Fund switches:
Then round by precision ABS (trade principal amount) > round by precision
Security Subtype is Mutual Fund switches - Maximum Allowed Principal Threshold
Value
 If the security subtype is Money Market:
Then round by precision ABS (trade principal amount) > round by precision
Security Subtype is Money Market - Maximum Allowed Principal Threshold Value
Otherwise:
Round by precision ABS (trade principal amount) > round by precision Mutual
Fund - Maximum Allowed Principal Threshold Value

4.3.7.4 Flexibility
Thresholds
Threshold Name Threshold Description Default Value
Detect Large Trades for Buy Detects large trades for buy transactions only • Buy/Sell (default)
Only or for Both Buy and Sell or for both buy and sell transactions; options:
• Buy
• Buy/Sell
• Sell
OR
• Buy/Short Sell
Equity Trades - Maximum Maximum net amount allowed $50,000
Allowed Principal Threshold
Value
Equity Trades - Maximum Maximum quantity of shares allowed 10,000

Allowed Quantity Threshold
Value
Fixed Income Trades - Maximum fixed income principal value allowed 100,000 (default for
Maximum Allowed Principal separated by product subtype (see the list of all security subtypes)
Threshold Value security subtypes in the following section).
Fixed Income Trades - Maximum number of units allowed separated 100 (default for all
Maximum Allowed Quantity by product subtype (see the list of security security subtypes)
Threshold Value subtypes in the following section).
Detection Models
Threshold Name Threshold Description Default Value
Mutual Fund - Maximum Maximum mutual fund principal amount $200,000

Allowed Principal Threshold allowed
Value
Option Trades - Maximum Maximum net amount of premium allowed $10,000

Value
Option Trades - Maximum Maximum number of contracts allowed 50

Allowed Quantity Threshold
Value
Security sub type is Mutual Maximum principal amount allowed when the $300,000
Fund switches - Maximum security subtype is Mutual Fund Switches
Value
Security sub type is Money Maximum principal amount allowed when the $300,000
Market - Maximum Allowed security subtype is Money Market
Principal Threshold Value
Security Subtypes
Security subtypes are defined in the RCM Settings > References > SP General > Mapping >
Security Sub Types. The following are the default values.
Security Subtype Code Security Subtype Name
AB Asset Backed Securities
AD Agencies Discount
AG Agencies
AP Agency Pass-Through
BA Banker's Acceptance
BB Bonds Borrowed
BF Bond Futures
CAP Cap
CBD Corporate Bond - Distressed
CBI Corporate Bond - Investment Grade
CBN Corporate Bond - Noninvestment Grade
CBO Corporate Bond
CDO Collateralized Debt Obligations
CDS Credit Default Swap
CFD Contract for Delivery
CLO Collateralized Loan Obligations
CMO Collateralized Mortgage Obligations
Detection Models
CN Corporate Note
CP Commercial Paper
CVB Convertible Bonds
EM Emerging Markets
FB Foreign Bonds
FM Freddie Mac
FR Repo
FRR Fixed Income Reverse Repos
GB Governmental Bond
GLT Gilt
GM GNMA/ FNMA
HY High Yield
IRS Interest Rate Swap
MBD Municipal Bond - Distressed
MBI Municipal Bond - Investment Grade
MBN Municipal Bond - Non-Investment Grade
MBO Municipal Bonds - Other
MBS Mortgage Backed Securities
OB Other Bond
OFI Other Fixed Income
OID Original Issue Discounts
PP Private Pass-through
RRF Interest Rate Floor
RS Return Swaps
SBB Sell/Buy Back
SC Structured Credit
SF Structured Fund
SH Structured Hybrid
SL Sallie Mae
SSW Structured Swap
SWO Swaption (Swap Option)
TB T-Bill
Detection Models
TN T-Note
TRE Treasuries
ZC Zero Coupon bonds
User-Defined Lists
Users can add the appropriate items to the following lists using the options in the List tab of the
Actimize RCM.
LTR Security Exclusion Securities that must be excluded from the analysis IBM
List
LTR Security Subtype Security subtypes that must be excluded from the GM (GNMA)
Exclusion List analysis TB (Treas. Bills)
LTR Account Type Account types that must be excluded from the HF (Hedge Fund)
Exclusion List analysis MU (Municipality)
Scoring
Maximum Allowed Quantity Score assigned when quantity exceeds threshold 10

> Threshold
Maximum Allowed Score assigned when principal exceeds threshold 10

Principal > Threshold
4.3.8 Uncovered Options Trades (TRR-UOT)

The Uncovered Call Options Trades model detects options transactions that are designated as
uncovered and options trades missing an uncovered/covered designation, allowing for
supervisory review of high-risk “naked” options trades.
4.3.8.1 TRR-UOT-Specific Population

• Include only options trades
• Include only Sell
NOTE:

2. Apply UOT model-specific population filters.
3. Generate an alert for scenarios where at least one of the following applies:
▪ Trade is marked with the designation ‘uncovered’
Detection Models
▪ Trade is missing covered/uncovered designation

4.3.8.4 Flexibility
Scoring
Uncovered Option Score assigned when the alert is generated 20

4.3.9 Options Trading No ROP Approval (TRR-NRA)

The Options Trading No ROP Approval model detects equity options transactions that are
executed in accounts which have not been approved for options trading, allowing for supervisory
review and corrective action.
4.3.9.1 TRR-NRA-Specific Population

• Include only Equity Options trades

2. Apply NRA filters.
3. Generate an alert for scenarios where the account is not approved for options trading.

4.3.9.4 Flexibility
Scoring Scales
No ROP Approval Score assigned when an account is not approved for 20

options trading

Detection Models
4.3.10 Not RR of Record (TRR-NRR)

The Not RR of Record model detects trades that are executed by a Registered Representative
who is not the RR assigned to the account, allowing for supervisory review of trades being
executed under a different RR ID.
4.3.10.1 TRR-NRR-Specific Population


2. Apply NRR model-specific population filters.
3. Generate an alert for trades where the RR assigned to the account is not the RR designated
on the trade.

Scoring Scales
Not RR of Record Score assigned when the RR assigned to the account is not 20
the trade’s RR.

4.3.11 Hybrid Switching (TRR-HSW)

This model detects switching behavior amongst long-term high-load products (LTHLs), such as
mutual funds, annuities, UITs, etc.
Switching is the practice of liquidating customer holdings in one long-term high-load product and
using the proceeds to purchase shares of a different long-term high-load product. The purchases
of these products are intended to be held for extended periods of time and their cost and fees
structure make them unsuitable for short-term investing; therefore, this model surveys these
LTHL purchases and looks back a predetermined period of time to determine if the purchase was
funded by the sale of another LTHL. Switches are identified by observing patterns as they
emerge and flagging such behavior for supervisory review.
4.3.11.1 TRR-HSW-Specific Population Filter

• Include customer commission-based accounts
• Exclude cancelled trades
• Exclude closed-end mutual funds
Detection Models
• Exclude trades of products not listed as long-term high-load products

• Exclude trades marked as Free Exchange
• If threshold “Exclude buy trades with zero commission” = True - Include only trades where
trade commission >0
• Exclude trades with No Load products
• Exclude trades that did not cause a new commission or CDSC filter

2. Apply HSW model-specific population filters.
3. Retrieve trades with sum of fees and commissions  Minimum Trade Charge threshold.
4. Determine the Min Trade Value setting. If this setting is set to Minimum Trade Size, retrieve
trades that have Net Amount  Minimum Trade Size threshold.
5. If the Min Trade Value setting is set to Minimum Trade % Size, retrieve trades that have
Net Amount/Account Net Equity % ratio >= Minimum Trade % Size threshold.
6. Identify all purchases and sales of instruments defined as LTHL products for all customer
accounts.
NOTE:
7. Determine the Sum of LTHL Prior Opposite Transactions based on opposite side
transactions according to user-defined transactions and user-defined Aggregation Level
Setting for Account or Household ID, within the period defined by the Buy Look Back
Period threshold (or Sale Look Back Period threshold).
8. Generate an alert if the difference (%) between the examined Trade Net Amount and Sum
of LTHL Prior Opposite Transactions / Trade Net Amount < Switching Difference
threshold.
NOTE:
This model conducts an analysis based on the data available at the time of the run.

Thresholds
Value
Buy Look Back Period Days in lookback period when trigger transaction is a buy 30
Sale Look Back Period Days in lookback period when trigger transaction is a sale 5
Detection Models

Value
Minimum Trade Charge Minimum trade charge ($) 100
Minimum Trade % Size Minimum size of the trade as percentage of account net equity 20%
Minimum Trade Size Minimum size of trade ($) 2000
Switching Difference Difference (%) between the size of all prior trades and 25
triggering trades
Minimum Trade Value Determines which trades are excluded by the system; if setting Minimum
Calculation Mode is set to Minimum Trade Size, then this value is used to trade size
determine which trades are included in the review.
If setting is set to Minimum Trade % Size, then this value is
used to determine which trades are included in the review.
Aggregation Level Check for trades with the same account (=1) or the same 1
(Account or Household account household ID (=0)
ID)
Exclude buy trades with Exclude buy trades with zero commission (True / False) True
zero commission
NOTE:
Threshold displayed modes are dependent on the calculation basis in use.
User-Defined Lists
Account Types Account types that must be excluded from the Company
Exclusion List analysis Bank
Broker
Individual
Account Subtypes Account types that must be excluded from the Margin
Exclusion List analysis Prop trading
Error
Scoring
Value
Time between Score value assigned based on the length of time Same day 45
trades (in days) between today’s purchase and the prior sale, or on
today’s sale and the prior purchase. The lesser the 1 – 10 35
time, the higher the score.
11 – 30 25
Age Score value assigned based on the customer age of 0 – 20 10

primary account holder of account holding the
triggering trade. Minors and seniors receive a higher 21 – 50 5
score.
51 – 64 10
65 – 75 15
 76 20
Detection Models

Value
Amount of Sales Score value assigned based on the amount of the 100 - 500 5
Charge sales charge incurred by the switch. The higher the
amount, the higher the score 500 – 1000 10
> 1000 15
Switching Difference (%) between the size of all prior trades 0%-20% 15
Difference and triggering trades.
20%-30% 10
30%- 40% 5
>40% 0
4.3.12 Solicited Trades (TRR-ST)

This model detects trades in which the broker indicated that the trade was solicited.
4.3.12.1 TRR-ST-Specific Population Filters

• Include Buy trades
• Include trades that are marked as Solicited
NOTE:

2. Apply ST population filters.
3. Generate an alert if Solicited is indicated on trade.

Scoring
Solicited Trade Score Score value assigned if the trade is marked as solicited 20

Detection Models
4.3.13 Mutual Fund Breakpoint Models (TRR-MFB)

The Mutual Fund Breakpoint (MFB) process identifies potential mutual fund investment activity
that may result in an economic disadvantage for the customer, caused by incorrectly determining
the sales charges that should be charged to the account.
4.3.13.1 Breakpoint Analysis

Customers investing in Front-End Load Mutual Fund shares are entitled to sales charge
discounts based on the volume of shares to be purchased or already accumulated in prior
purchases. To determine if a customer is receiving the discount they are entitled to, the
customer’s breakpoint level discount is calculated and compared to actual sales charges. The
breakpoint discount level is determined by considering the following factors, in this order:
• A signed letter of intent to make future purchases of a specified monetary amount of shares
at a specified sales charge rate
• Accumulation rights of shares within a Fund Family, based on the following activity
information:
▪ Current trades in a single account
▪ Cumulative purchases in the account
▪ Cumulative purchases across grouped/householded accounts
▪ Cumulative purchases in additional accounts belonging to immediate family members
▪ Shares held away through another broker, financial institution, investment plan, or direct
purchase (optional)
▪ Annuities/529 Plans
4.3.13.2 Population of all MFB Models

• Include all purchases (Buys) which are:
▪ Front Loaded Mutual Fund
▪ Mutual Fund Share Class Type A
• Exclude securities on the Security Exclusion list
• Exclude securities of security subtypes that are on the Security Sub-Type Exclusion List
• Exclude securities of fund families that are on the Fund Family Exclusion List
NOTE:
4.3.13.3 Additional Data Sources for all MFB Models

• Mutual Fund Sales Charge Breakpoint Schedules
• Mutual Fund Account LOI Agreement Data
• Mutual Fund Positions Held Away from the Firm (optional)
• Mutual Fund Positions Held in Annuity Accounts
• Mutual Fund Positions Held in 529 Accounts
Detection Models
4.3.13.4 MFB Thresholds and Settings

All MFB models use the same thresholds. The values for these thresholds are set up once for all
models in the RCM.
Threshold/Setting Name Description Default Value
Historical Look back Amount of time (in days) to look for additional 90
purchases
Aggregation Level Account or household Account
Minimum Net Amount Trade net amount $1000

Threshold
Amount or Value Percent of Ratio between amount or value and the next breakpoint 90%
Next Breakpoint
4.3.13.5 Missed Breakpoint (MMB)

then determines if a trade or series of trades qualifies for a breakpoint discount that was not
given to the account.
Improper mutual fund breakpoint sales occur when a front-end mutual fund purchase occurs and
the sales charge percentage applied to the current trade exceeds the new, lower percentage that
the customer should have been charged. The new percentage is based upon discounts available
from prior purchases done in the look back period based on the breakpoint schedule.
Example 1
A client purchased $60,000 of XYZ income fund or a combination of $30,000 of XYZ income fund
and $30,000 of XYZ growth fund.
The XYZ family of funds has a $50,000 breakpoint where the charge is reduced from 5% to 4%.
The firm charged this customer $3,000 in a sales load. An alert is issued because the sales load
should have been $2,400 - 4%, not 5%.
Example 2
Sixty days ago, a client purchased $30,000 of a front load mutual fund and paid a sales charge of
5% ($1500), the rate for purchases up to $50,000 according to the breakpoint schedule.
Today, the client purchased another $30,000 for a total of $60,000 in the same fund family.
After checking, it is determined that the client does not have an executed LOI on file, which would
entitle the customer to the new lower sales charge on all prior purchases done within the
lookback period. The client purchased $60,000 within the lookback period and has achieved the
lower breakpoint of 4% for purchases between $50,000 and $100,000. The client paid $1,200 for
today’s trade but this lower rate applies to ALL purchases in the lookback period.
Therefore, the client is entitled to a 4% rate on the initial purchase. For the trade of 60 days ago,
the client received a refund of $30,000 * (5% - 4%) or $300; this $300 is deducted from the fees
charged for the current trade so the client would pay $900 for the second purchase ($1,200 fee
for the current trade – $300 refund from the earlier trade). If more than $900 is charged, an alert
is issued.
TRR-MMB-Specific Population Filter

Detection Models
Detection Logic
2. Apply all Mutual Fund breakpoint filters.
3. Apply MMB models-specific filters.
4. Determine the sum of the Total Net Amount and the Total MF Sales Charge Amount for all
MF Historical trades of the same Mutual Fund Family, over the MFB Historical Look Back
Threshold based on a user-defined Aggregation Level Setting (Account or Household ID).
5. If a valid signed LOI is on record, it will be checked by the LOI model and, therefore, end
analysis and proceed to the next trade.
6. If no LOI is on record or it has expired, determine the Breakpoint Sales Load Percent
based on the (Total Net Amount + Trade Net Amount) and the Trade Product ID, using
the Mutual Fund Sales Charge Breakpoint Schedules.
7. Calculate Entitled Sale Charge Amount = Breakpoint Sales Load Percent multiplied by (Total
Net Amount + Trade Net Amount).
(Total MF Sales Charge Amount + Trade MF Sales Charge) > Entitled Sales Charge Amount
and (Total MF Sales Charge Amount + Trade MF Sales Charge) >Minimum Trade MF Sales
Charge Difference Threshold
OR
Near Breakpoint scenario has occurred according to the Near Breakpoint model Logic (see
Section 4.3.13.8: Near Breakpoint (NMB), page 163).
9. In the Alert Details, display the entitled refund for each historical trade = MF Sales Charge
Amount – (Breakpoint Sales Load Percent multiplied by Trade Net Amount).
Additional Data Sources

This model uses only Trade Review and Mutual Fund Breakpoint general data sources.
Flexibility
Scoring
Score Factor Description Aggregation Default
Level Value
Missed Breakpoint Score assigned when purchases by single accounts Single 20

did not receive entitled breakpoint discounts account
Score assigned when purchases across households Across 15

did not receive entitled breakpoint discounts household
Thresholds & Settings

Value
Minimum Trade MF The difference between what the customer was charged on the $100
Sales Charge Difference mutual fund trade and what the customer should have been
charged according to the breakpoint schedule
Detection Models
4.3.13.6 Letter of Intent (LOI)

A front-end mutual fund purchase occurs in a customer account, which is then checked to see if
an LOI dated within the last 13 months is on file. If the LOI is on file, the sales charge percentage
is compared to the breakpoint schedule to verify that the client received the proper discount.
Brokerage customer accounts that invest in Class A (front-end load) mutual fund shares receive
sales charge discounts if they agree to a contract called a LOI. The LOI entitles the investor to a
discounted front-end sales charge percentage if they agree to purchase a set dollar amount of
shares in a fixed time period, usually 13 months.
Example
A client buys $10,000 of a mutual fund, which would subject him to a high sales charge. But he
has signed an LOI pledging to buy a total of $100,000 over the next 13 months. He is charged
the lower sales charge rate immediately as if he had already purchased the full $100,000 today.
TRR-LOI-Specific Population Filter

Detection Logic
2. Apply all Mutual Fund breakpoint filters.
3. Determine if a valid signed LOI is on record based on Account and Mutual Fund Family.
4. If there is an LOI on record, then determine Breakpoint Sales Load Percent based on the
LOI commitment Amount and Trade Product ID, using the mutual fund Sales Charge
Breakpoint Schedules.
5. Calculate Entitled Sale Charge Amount = Breakpoint Sales Load Percent multiplied by Trade
Net Amount.
6. Generate an alert if Trade MF Sales Charge > Entitled Sale Charge Amount.

Flexibility
Scoring Scales
Value
$100-$999.99 10
Detection Models

Value
Letter of Score values assigned when incorrect discount is  $1,000 20
Intent (LOI) received with a signed LOI.
Scoring scale is according to the monetary amount of
discount lost.

Value
Minimum Trade MF Sales The difference between what the customer was charged on $100
Charge Difference the mutual fund trade and what the customer should have
been charged according to the breakpoint schedule
4.3.13.7 Rights of Accumulation (ROA)

This model analyzes mutual fund, Annuity and 529 Plan positions and trades over time to
determine if a client (account or household, based on a user-defined setting) is entitled to an
ROA sales charge discount under the terms and conditions of the fund’s ROA parameters. If a
client makes its mutual fund holdings available at other custodial sites, this data can also be
included in the analysis. The model determines if the current day’s trade, when combined with
other purchases in any qualifying account, enabled the client’s position to reach the next
breakpoint, thereby qualifying for the next lowest sales charge rate.
Example
A front-end mutual fund purchase occurs in a customer account that has other prior purchases
for that fund family, and a check is done to ensure that the client received the lowest possible
sales charge, which is earned under the fund’s ROA parameters.
TRR-ROA-Specific Population Filter

Detection Logic
2. Apply all mutual fund breakpoint filters.
3. Determine the sum of the previous Total Position Value (the opening position for the date of
analysis which is the closing position of the previous day) according to a user-defined
Aggregation Level Setting (Account or Household ID).
4. Determine Breakpoint Sales Load Percent based on the (Total Position Value + Trade
Net Amount) and the Trade Product ID, using the Mutual Fund Sales Charge breakpoint
schedules. Include positions for classes A, B and C of shares for all mutual funds that belong
to this family.
5. Calculate Entitled Sale Charge Amount = Breakpoint Sales Load Percent multiplied by Trade
Net Amount.
▪ Trade MF Sales Charge > Entitled Sale Charge Amount
OR
Detection Models
▪ A near breakpoint scenario has occurred according to the near breakpoint model logic
(see Section 4.3.13.8: Near Breakpoint (NMB), page 163)

This model uses only Trade Review and mutual fund breakpoint general data sources.
Flexibility
Scoring Scales
Value
Rights of Customer paid higher fees than available $100-$999.99 10
Accumulation (ROA) under the fund’s ROA.
The greater the monetary amount, the higher  $1,000 20
the score.

Value
Minimum Trade MF Sales The difference between what the customer was charged on $100
Charge Difference the mutual fund trade and what the customer should have
been charged according to the breakpoint schedule
4.3.13.8 Near Breakpoint (NMB)

an account or a household (based on a user-defined setting) over time. It then determines if a
trade or series of trades falls short of qualifying for a better breakpoint discount by a
predetermined configurable amount, initially set at 10% or less.
A front-end mutual fund purchase occurs for a dollar amount that falls short of the amount
needed to earn the next, higher breakpoint discount, by a relatively small amount. This amount is
expressed on a percentage basis that is user-configurable and is initially set at 90%.
The NMB model does not generate alerts on its own. It only generates alerts when used in
conjunction with the MMB or ROA models. This add-on is enabled by activating the NMMB rule
for the MMB model or the NROA rule for the ROA model.
Example
A client purchased $35,000 in a mutual fund family over the previous 90 days and today
purchased an additional $12,000, reaching $47,000 in purchases during the breakpoint eligible
period. The next breakpoint is $50,000 and the client just missed this breakpoint. As $47,000 /
$50,000 represents 94% of the next breakpoint, an alert is raised.
TRR-NMB-Specific Population Filter

Detection Logic
NOTE:
The NMB Logic is added to the MMB and the ROA models.
Detection Models
1. Identify the Next Breakpoint Sales Load Schedule based on the Total Net Amount or
Value using the mutual fund sales charge breakpoint schedules.
2. Calculate the Breakpoint Sales Schedule Ratio = the Total Net Amount or Value divided by
the lowest amount in the Next Breakpoint Sales Load Schedule (the From amount).
3. Generate an alert if Breakpoint Sales Schedule Ratio > Current Amount Percent Of Next
Breakpoint Threshold.
4. In the alert, display the Next Breakpoint Sales Load Schedule.

Flexibility
Scoring Scales
Value
Near Score value assigned when customer purchases fall short 90-94.99% 5
Breakpoint of the amount required to take advantage of breakpoint
discounts. 95-99.99% 10
The near breakpoint ratio is the amount or value purchased
over the nearest breakpoint value.

4.3.13.9 Multiple Fund Family Purchases (MFF)

This model detects patterns of mutual fund family breakpoint sales by analyzing client trades of
either an account or a household (based on a user-defined setting) and order entry points over
time. It then determines if a trade or series of trades spreading among multiple fund families with
the same investment objective would qualify for a better breakpoint discount if they were limited
to a single fund family instead.
A front-end mutual fund purchase is done for a customer that has a position in one or more
different fund families with the same investment objective of the current buy. This analysis
compares the amount of sales charges actually incurred by the customer for this trade and
compares that to the sales charge that would have been charged had the customer invested the
same amount in a fund family in which they already held a position. The calculation takes into
consideration any and all foregone discounts that would have been available via the ROA for a
fund family that the customer has invested in.
Example
A client purchased $25,000 of a mutual fund with an investment objective of ‘capital
preservation’. The client also holds $25,000 of a second company’s capital preservation fund and
$75,000 from a third company’s capital preservation fund. If the total amount of different mutual
fund family purchases with the same investment objective exceeds X ($25,000 or $50,000) and
the fees paid individually exceed the fee that would have been charged by purchasing the full
amount in the current fund, then an alert is issued.
TRR-MFF-Specific Population Filter

Detection Models
Detection Logic
1. Apply all Trade Review filters.
2. Apply all mutual fund breakpoint filters.
3. Retrieve all previous positions (the opening position for the date of analysis which is the
closing position of the previous day) according to a user-defined Aggregation Level Setting
(Account or Household ID) grouped by Fund Family.
4. Take Fund Family Positions Group = all Fund Family Positions that have a different fund
family than the trade product fund family and the group has at least one product in it with the
same Investment Objective as the Trade Product Investment Objective.
5. Determine the sum of the selected Fund Family Positions Group Value.
6. For each Mutual Fund Family Group, determine Breakpoint Sales Load Percent based on the
(Fund Family Positions Group Value + Trade Net Amount).
7. Choose the product with the Lowest Load Percent in the Mutual Fund Family Group that has
the same investment objective as the Trade Product using the Mutual Fund Sales Charge
Breakpoint Schedules.
8. Calculate Entitled Sale Charge Amount = Lowest Fund Family Breakpoint Sales Load
Percent multiplied by Trade Net Amount.
9. Generate an alert if Trade MF Sales Charge > Entitled Sale Charge Amount.

This model uses only Trade Review and mutual fund breakpoint general data sources.
Flexibility
Scoring
Score Factor Description Score Scales Default
Value
Multi-Fund Family Score assigned based on amount of discount lost by $1-$100 5
Purchases buying in a different fund family.
The greater the dollar amount, the higher the score. $100-$999.99 10
 $1,000 20
Thresholds
Detection Models
4.3.13.10 B & C Share Analysis (TRR-BAC)

This model identifies potential mutual fund investment activity that may result in an economic
disadvantage for the customer when they purchased B or C class shares. Long-term cost of the
ownership for B and C shares is higher when compared to the cost of owning A shares.
The model looks at daily purchases of B or C class shares, and compares the end-of-the-day
positions (inclusive of current purchase) in the same family or different families of mutual funds to
specific thresholds. If positions in class B, C, and/or other shares exceed the specified threshold,
the system issues an alert.
TRR-BAC-Specific Population Filter

• Exclude mutual fund trades in class A shares
Detection Logic
3. Generate an alert if based on a user-defined Aggregation Level Setting (Account or
Household ID):
There is a trade in mutual fund shares other than class “A”
AND
Trade net amount equals or is greater than the Minimum Net Amount threshold
AND
IF the B Class Holding share total, aggregated across all mutual fund families, is above
threshold
OR
IF the C Class Holding share total, aggregated across all mutual fund families, is above
threshold
OR
IF the Other Class Holding shares total (with the exception of A), aggregated across all
mutual fund families, is above threshold,
OR
IF the Combined Holding for all classes shares total (A, B, C and other), aggregated
across all mutual fund families, is above threshold,

This model uses only Trade Review and mutual fund models general data sources.
Flexibility
Scoring Scales
Value
B, C shares analysis Score assigned when holding in B, C or other class of 20
shares is above threshold
Detection Models

B class Holding Total holding in this class of shares aggregated across $95,000
multiple fund families
C class Holding Total holding in this class of shares aggregated across $95,000
Other class Holding Total holding in this class of shares aggregated across $95,000
Combined Holdings for all Total holding all classes of shares aggregated across $245,000
classes multiple fund families
Minimum Net Amount Trade net amount $1000

Threshold
Aggregation Level
This model is based on account-level or household level aggregation.
4.3.14 State Blue Sky of Security (Product Registration) (TRR-BSS)

This model detects transactions in securities that were sold in states where security is not
registered for sale in accordance with state law. Each purchase transaction model compares the
state of primary residence for all beneficiary owners on the account, to a list of securities
ineligible for sale in that state. If the security is on the list for at least one state, then an alert is
issued.
4.3.14.1 TRR-BSS-Specific Population Filters

• Exclude securities listed on national exchanges, for example, NYSE, ASE, NMS
• Include only Buy trades

3. Based on the account that placed the trade, compare the state of residence for the primary
owner on the account to states where the security is eligible for sale.
4. Generate an alert if the security is not eligible for sale in this state (the state on the account
address is not found in the list of the states where the security is eligible for sale).

This model requires state registration data for security offerings.
Detection Models
Scoring Scales
Value
Blue Sky of Score assigned when security is not registered in a particular state. 20
Security
4.3.15 Financial Consultant Qualifications (State & Product Qualification)

(TRR-BSB)
This model detects if the RR trade’s financial consultant is registered to do business in the state
that is associated with the primary address on the account. The model also checks for a valid
license.
4.3.15.1 TRR-BSB-Specific Population Filters

N/A.

3. Retrieve license information.
4. Based on the account that placed the trade, compare the state of the residence for the
primary owner on the account to states where the financial consultant is registered.
5. Generate an alert:
▪ When the RR on the trade represents a single consultant:
If the financial consultant is not registered in account’s primary owner residence state
OR
If the threshold Use Account’s State Flag for the processing region is Yes, then
(If the consultant does not have a valid General License in the account's state and
security type is not part of Limited License Products List setting)
ELSE
If the consultant has a Limited license and does not have a valid General license and
security type is not part of Limited License Products List setting.
▪ When the consultant on the trade represents a split:
If at least one consultant in the split complies with the conditions checked for a single
consultant.

This model requires broker registration data.
Detection Models
Settings
Threshold Name Description Default Values For Product Sub Type
Limited License Product sub types that Limited Code Description

Product Sub Types license is eligible to trade
MUF Mutual Fund
OMF Other Mutual Fund
VA Variable Annuities
VLI Variable Life Insurance
UN Unit Investment Trusts
MFS Municipal Fund Securities
Thresholds
Threshold Name Description Value
Use Account’s State Define whether to check the account’s state as a part of the Yes
Flag General License
Scoring Scales
Financial Consultant Score assigned when either security or broker did not pass the 20
Qualifications state and security qualifications
4.3.16 Principal Trade Issues (TRR-PTI)

This model identifies principal trades (Buy and Sell) in a managed or discretionary account
(where discretion is assigned to an employee of the firm), or when there is a principal trade that
is marked as Discretion Exercised. The model excludes certain programs as well as individual
accounts (based on the assumption that they signed a one-time written consent). If the program
allows for principal trades but the individual account has not consented, then the account settings
overwrite the program code. An alert will be generated for all ERISA accounts.
4.3.16.1 TRR-PTI-Specific Population Filters

• Exclude accounts in the exclude list

3. Generate an alert:
If a principal trade is marked as Discretion Exercised.
OR
Detection Models
If a principal trade’s account is discretionary (managed account).
Scoring
Value
Principal Trade in Score assigned when there is principal trade in a managed 20
managed account account
4.3.17 Transactions in High-Risk Securities (TRR-HRS)

In managed accounts, this model detects opening transactions in high-risk securities, short sales
in any securities, and transactions in securities on the client lists.
4.3.17.1 TRR-HRS-Specific Population Filters

• Include trades executed in managed accounts
• Include only opening trades (Buy, Short Sell, Buy to Open, Buy to Cover)

Trade is Short Sale,
OR
If trade is not Short Sell and Security type is Equity and beta is above Maximum Allowed
Principal Beta for Stocks,
OR
If trade is not Short Sell and Security type is Fixed Income and the rating is below Maximum
Allowed Moody’s rating for bonds
OR
If trade is not Short Sell and Security type is Fixed Income and the rating is below Maximum
Allowed S&P rating for bonds
OR
Security subtype is on the security subtype include list,
OR
Equity Security price is below < Low Priced Security Threshold.
Detection Models
Scoring
Value
High risk trade in managed or Score assigned when there is a high-risk trade in a 20
discretionary account. managed account
Thresholds
Threshold Name Description Initial Value
Maximum Allowed Principal Beta for Stocks Risk rating for equity 3.5
Maximum Allowed Moody’s rating for bonds Risk rating for bonds Baa1
Maximum Allowed S&P rating for bonds Risk rating for bonds BBB
Low Priced Security Security price 5
User-Defined Filter Lists

Users can add the appropriate items to the user-defined list using options in the Lists tab of the
Actimize RCM.
Values
Product Subtype Include List Securities that should be included in the logic User defined
4.3.18 Cost to Trade Ratio (TRR-CTR)

This model allows client firms to identify instances where excessive costs or commissions were
charged to a customer for execution of the customer’s order. The model detects instances where
the costs associated to the trade are inappropriate based on factors such as product type.
4.3.18.1 TRR-CTR-Specific Population Filters

• Apply General Trade Account Review Filters.
• Apply Model List specific population filters:
▪ Exclude all trades with Principal amount < “Minimum Principal Amount” threshold
▪ Exclude Account category according to “Account Category Exclude List”
▪ Exclude all product sub-type according to “Product Sub-Type Exclude List”

Alert will be generated for trades that fulfill all of the following conditions:
• If “Measurement Options” threshold = “Commission”:
▪ If Principal Amount < ”Large Trade Size” threshold according to product sub-type:
(100*Trade Commission / Principal amount) > “Maximum Standard Trade Cost” threshold
according to product sub-type
Detection Models
▪ If Principal Amount >= ”Large Trade Size” threshold according to product sub-type:
(100*Trade Commission / Principal amount) > “Maximum Large Trade Cost” threshold
• If “Measurement Options” threshold = “Fees”:
(100*Trade Fees / Principal amount) > “Maximum Standard Trade Cost” threshold
▪ If Principal Amount >= ”Large Trade Size” threshold according to product sub-type:
(100*Trade Fees / Principal amount) > “Maximum Large Trade Cost” threshold according
to product sub-type
• If “Measurement Options” threshold = “Total Cost”:
100*(Trade Commission + Trade Fees) / Principal amount > “Maximum Standard Trade
Cost” threshold according to product sub-type
▪ If Principal Amount >=” Large Trade Size” threshold according to product sub-type:
100*(Trade Commission + Trade Fees) / Principal amount > “Maximum Large Trade
Cost” threshold according to product sub-type
Percentage in Excess of Expected Cost – Score

• Calculation:
ABS((Nominator – Denominator)*100/ Denominator)
• Sub calculations:
▪ Numerator:
 If “Measurement Options” threshold = “Commission”:
(Trade Commission / Principal amount)
 If “Measurement Options” threshold = “Fees”:
(Trade Fees/ Principal amount)
 If “Measurement Options” threshold = “Total”:
((Total Commission + Trade Fees) / Principal amount)
▪ Denominator:
 If Principal Amount <” Large Trade Size” threshold according to product sub-type:
(“Maximum Standard Trade Cost” threshold according to product sub-type)
 If Principal Amount >=” Large Trade Size” threshold according to product sub-type:
(“Maximum Large Trade Cost” threshold according to product sub-type)
Scoring
Percentage in excess of The percentage of the addition that was added to the Lower Score
expected expected cost value
Detection Models
Cost/Commission/Total 0 5
Cost
5 10
10 15
20 20
Calculation : Percentage in excess of expected cost - Score
Thresholds
Location: Thresholds  SP Trade Review  CTR – Cost to Trade Ratio
Minimum Principal The minimum principal amount of the account in order 500
Amount to add into the detection
Maximum Standard Trade according to product sub type according to the list This 5 (Defaults may
Cost list is defined in Reference  SP General  Mapping be established
 Security sub type Code for each sub-
type)
Maximum Large Trade according to product sub type according to the list This 5 (Defaults may
Cost list is defined in Reference  SP General  Mapping be established
 Security sub type Code for each sub-
type)
Large Trade Size Definition of principal amount according to product sub $500,000
type according to the list This list is defined in (Defaults may
Reference  SP General  Mapping  Security sub be established
type Code for each sub-
type)
Measurement options Ability to select whether model measures Commission, Commission

Cost, or Total of all commissions and costs (in relation
to the principal value of the transaction) Fees
Total Cost –
Default
User-Defined Filter Lists

Users can add the appropriate items to the user-defined lists using options in the Lists  SP
Trade Review tab of the Actimize RCM.
Name Description
Account Category Exclude List All the account categories that should be excluded
from the analysis
Product Sub-Type Exclude List All the Product sub types that should be excluded
from the analysis
Detection Models
4.3.19 Security List Model (TRR-SLM)

This model allows client firms to specify a list of specific securities (by CUSIP) which will alert
upon detection of trading activity.
4.3.19.1 TRR-SLM Specific Population Filters

• Apply general Trade Review filters.
• Apply SLM model-specific population filters:
▪ Exclude Account category according to “Account Category Exclude List”
▪ Include Transaction type according to “Included Transaction Types”
▪ Account:
 Exclude account key according to “Account Exclude List”
 Include account key according to “Account Include List”
If there is conflict between “Account Exclude List” and “Account Include List,” use
“Include/Exclude Account priority” with a higher priority.
The exclude/include must be in this order, meaning that if an account was excluded in the
Account category condition, it will be added back if it is in the “Account Include List.”

An Alert will be generated for a trade and list that fulfill all of the following conditions:
• Product CUSIP is in one of the security lists
• Trade principal amount > “Minimum Principal Amount” threshold
• The row in the list is validated:
▪ Monitoring Start Date <= current process date or Monitoring Start Date is unavailable
▪ Monitoring End date >= current process date or Monitoring End date is unavailable
Examples
For sample security list XYZ:
CUSIP Monitoring Start Date Monitoring End Date
511999888 01/01/2014 05/01/2014
ABC999888 01/01/2014 03/01/2014
XYZ999888 01/01/2014 07/01/2014
QYZ999888 01/01/2014 04/01/2014
The following trades should generate Security List alerts:

Trade Date CUSIP Principal Amount
01/31/2014 511999888 600
04/31/2014 XYZ999888 1500
03/31/2014 QYZ999888 600
Detection Models
The following trades should not generate Security List alerts:
Trade Date CUSIP Principal Amount Reason

01/31/2014 511999888 100 Not passed the “Minimum
Principal Amount”
threshold
07/31/2014 XYZ999888 1500 The trade date is greater

than Monitoring End date
04/30/2014 QYZ999888 500 The trade date is greater

than Monitoring End date

Minimum Principal The minimum principal amount of the account in 500

Amount order to be added to the detection
This definition is per list and drop-down of the list
names from the List of lists
Include/Exclude Account Determines which list is used if a specific account • Include (Default)
Priority conflict exists
• Exclude
This definition is per list and drop-down of the list
names from the List of lists
User-Defined Lists
Defining Lists of Possible Values

The user can define custom lists of securities, accounts and account categories under
References  SP Trade Review  Custom Lists. These lists describe the transaction types
that must be included in the analysis, for example, Buy, Short sell, Buy to open, and Sell to open.
Name Description
The user can define custom lists of transaction types under References  SP Trade Review 
Custom Transaction Lists.
Name Description
Detection Models
Configuring the User-Defined Lists

Users can add the appropriate items to the user-defined lists using options in the Actimize RCM
Settings  Lists  SP Trade Review  SLM – Security List Model.
List Name Description Values
Account Exclude List - Accounts that must be excluded from the Custom list that holds
<list name> analysis account keys
Account Include List - Accounts that must be included in the analysis Custom list that holds
<list name> account keys
Account Category All the account categories that should be Customer list that holds
Exclude List - excluded from the analysis Account Categories (For
<list name> example, P(-Proprietary),
E(-Employee))
Trade Review Alert Detail Screens
Scoring
Security List The score is added if this scenario is detected. The 20

score is at List level (for example, List A issues have a
score of 20; List B issues have a score of 50; and so on)
4.4 Trade Review Alert Detail Screens

The Trade Review Details pages for the Trade Review group of models include several panes
and sections.
4.4.1.1 Transaction Details

The Transaction Details section at the top of the Trade Review Details page displays information
about the trade, for example, date and time of the transaction and transaction type. The
information that appears on the header depends on the organization’s requirements.
4.4.1.2 Account Details

The Account Details collapsible section displays details about the account, like branch
information, broker information and other general account information.
4.4.1.3 Mutual Fund Information

This section only appears when there is an issue associated with the mutual fund breakpoint
category, and provides extended account and product information about mutual funds.
4.4.1.4 Account Suitability Information

This section provides information that enables the analyst to evaluate the suitability of the current
trade.
4.4.2 Alert Details Tabs

The tabs that appear at the bottom of the Trade Review Details screen depend on the issues that
are associated with the alert. The following sections provide information about the tabs that may
appear.
• Focus Issues – enables users to view the issues that contributed to this alert, and the score
associated for each (see Section 4.4.2.1: Focus Issues, page 179).
• Additional Information – enables users to view information about the history of the current
broker (see Section 4.4.2.2: Additional Information, page 180).
• Risks Tolerance Calculation – Account Tolerance to Risk calculations based on predefined
and custom risk factors (see Section 4.4.2.3: Risk-Tolerance Calculation, page 180 and also
consult the Actimize FMC SP Installation and Implementer’s Guides.
• Drill Outs – enables users to access a window with additional information about issues
associated with the broker, such as issue type, issue date, etc. (see Section 4.4.2.5: Drill
Outs, page 181).
• Prior Alerts – enables users to access Trade Review alerts that were generated for the
same broker in the past (see Section 4.4.2.6: Prior Alerts, page 181).
• Issue Related – these tabs appear only when specific issues are generated. They display
additional information about associated issues. The following tabs may appear:
▪ LTHL Historic Activity (see LTHL Historic Activity Tab, page 181)
▪ MF Trade Breakpoint (see MF Trade Breakpoint Tab, page 182)
▪ Alternate Fund Purchase (see Alternate Fund Purchase Tab, page 182)
▪ Rights of Accumulation (see Rights of Accumulation Tab, page 183)

The Focus Issues tab shows the different issues detected for the current trade, the total score
associated with each issue, and a breakdown of the scoring.
It lists Trade Review models that generated issues that contributed to the currently selected alert.
Some issues can be expanded to display scenarios that were used by the model during
detection.
For each scenario, you can view in the expanded area the Current Value (the value being
analyzed), and the Check Value (which can be a threshold, a calculation, or a setting). When
applicable, an issue is generated based on the comparison of values. For some of the scenarios,
a score is assigned based on the Current Value.
The Additional Scoring issue assigns additional scores to alerts based on the number of prior
alerts of account or broker. The score is applied by the ASF rule.
4.4.2.2 Additional Information

The Additional Information tab displays static data that summarizes information about the
customer and product.
4.4.2.3 Risk-Tolerance Calculation

The Risk Tolerance Calculation tab displays a table with the Account Tolerance to Risk
calculation based on predefined and custom risk factors.
For more details about Risk Tolerance calculation, see Chapter 7: Risk-Related Calculations,
page 202.
4.4.2.4 Long-Term High Load (LTHL)

This tab shows the activities in Long-Term High-Load (LTHL) products. It is displayed only for
specific alert types, for example, hybrid switching.
4.4.2.5 Drill Outs

The Drill Out tab contains the Drill to Account Positions link.
The link opens a window that provides additional information about the account portfolio
associated with the trade under evaluation, as shown in the following example.

This tab includes two links:
• Prior Alerts by Account – shows all prior Trade Review alerts within a user-defined
lookback period, associated with the trade’s account
• Prior Alerts by Broker – shows all prior Trade Review alerts within a user-defined lookback
period, associated with the trade’s broker (RR)
4.4.2.7 Issue Related

These tabs only appear when specific issues are generated. They present extended information
about associated issues.
LTHL Historic Activity Tab

This tab enables users to view details about the history of Long Term High Load product trading,
with extended details for a Hybrid Switching issue (see Section 4.3.11: Hybrid Switching (TRR-
HSW), page 154).
MF Trade Breakpoint Tab

This tab provides extended details for a Missed Breakpoint issue. The tab has two subsections,
Trades for Fund Family and Breakpoint Schedule.
The Trades for Fund Family subsection provides mutual fund historical information, refund
calculation and near breakpoint information. The current trade appears in bold. It has the
following calculated fields.
Field Description of Calculation
BP Eligible Position Accumulation of trade amount (for each trade), starting from the beginning of
the lookback period and ending with the current trade amount.
Sales Charge % The original sales charge % for each trade, depending on the original sales
charge and trade amount.
Sales Charge After BP The new Breakpoint Schedule Sales Charge Percentage based on the
current trade BP Eligible Position and the current trade product.
New Sales Charge The recommended alternative sales charge based on Sales Charge After
BP.
At the bottom of this field’s column (in bold), the final Sales Charge that
should be paid by the account is presented. (This calculation is based on the
New Sales Charge of the current trade minus the Total Refund of all other
trades.)
Refund The recommended refund based on the Original Sales Charge and the New
Sales Charge for each trade.
At the bottom of this field’s column (in bold), the final Refund is presented.
(This is the Total Refund of trades other than the current trade.)
The Breakpoint Schedule subsection provides trade product Breakpoint Schedule percentages.
For information about the Missed Breakpoint model, see Section 4.3.13.5: Missed Breakpoint
(MMB), page 159.
Alternate Fund Purchase Tab

This tab provides extended details for a Multiple Fund Family issue.
The tab has the following subsections:

• Original and Alternative Trade – the current trade and the alternative recommended trade;
the current trade appears in bold
• Alternative Fund Family Positions – the position associated with the Fund Family of the
recommended alternative trade
• Other Positions – all positions that are not associated with the Fund Family of the
recommended alternative trade
• Breakpoint Schedule – recommended alternative trade product breakpoint schedule
percentages.
For information about the Multiple Fund Family model, see Section 4.3.13.8: Multiple Fund
Family Purchases (MFF), page 164.
Rights of Accumulation Tab

This tab provides extended details for an ROA issue. It has the following subsections:
• Current Trade – current trade, including New Sales Charge and Near Breakpoint Information
• Positions for Fund Family – all positions for this account that are associated with the same
Fund Family
• Breakpoint Schedule – trade product Breakpoint Schedule percentages
For information about the ROA model, see Section 4.3.13.7: Rights of Accumulation (ROA), page
162.
Chapter 5: Trade Blotter
5.1 Overview
The purpose of the Trade Blotter is to enable the review of the trading activity processed
overnight and to evidence the supervisory review in a timely manner. Many aspects of the data
information and presentation format can be customized based on the needs of the organization.
The blotters are created and populated on a daily basis.
NOTES:
• The SP solution supports Trade Blotter as the default blotter type. A custom blotter type may
be created during implementation. For further details see the Actimize FMC Implementer’s
Guide.
• Only one blotter type is supported at a time.
5.2 Trade Blotter Methodology

The Trade Blotter is designed to provide both transactional data and account profile data for
supervisory review. It creates the blotters on a daily basis. Each blotter has a unique ID. Links to
alerts that were generated by solution models are displayed in the blotter and attached to the
relevant transactions.
5.2.1 Trade Blotter Data Integration Filters

There are two filters that are used in the data integration layer to select which transactions are
entered into the blotters.
The first filter is used to exclude certain trade types; i.e., rebalancing transactions, money market
sweeps, mutual fund trailers, etc., from being entered into the blotters.
The second filter is based on the Exclude List; i.e., account type, branch code, etc.
These filters are configured according to your organization’s needs.
5.2.1.1 As of Trades
Some of the trades in a transaction blotter may be marked As of Trades. These are trades that
may require manual review by the user.
Each blotter displays all trades received by the process engine. There is an expected delay
between the date that the trades are processed by the engine and the trade date, configured
according the organization’s needs. If the period between the Process Date and the Trade Date
is longer than expected, the trade is flagged as a delayed trade (in other words, As of Trade). For
example, your organization may set the expected delay to 3 days; if the trade date is prior to the
three days, then the trade is flagged as a delayed trade (As of Trade).
Different models handle the As of Trades in different ways.
Certain models are not impacted by the trade date since they check trade characteristics that are
not date related. Therefore, these models process all trades, including delayed trades. Models
that include a lookback period in their detection analysis do not process As of Trades since the
delay may impact the detection results. Users must review As of Trade transactions manually for
these models.
Trade Blotter Methodology
The following Trade Review models do not process As of Trade transactions:

• Missed Breakpoint (MMB)
• Near Breakpoint (NMB)
• Multiple Family (MFF)
• Rights of Accumulation (ROA)
• Letter of Intent (LOI)
• Hybrid Switching (HSW)
5.2.2 Detection Logic

1. Create blotters according to the organization’s needs.
2. Retrieve all relevant new transactions according to the filters set by the client.
3. Determine the number of days trades registration is being delayed.
4. Flag trades where the difference between the ‘trade date’ and the Trade Review Process
Date is more than this threshold As Of Trades (Trade Date <Process Date - Number of days
trades registration is being delayed threshold.)
5. Place the transactions in the appropriate blotters.
6. Assign alerts to the transactions.
7. Calculate the Show Empty Blotters. If the Show Empty Blotters setting is 0, empty the blotters
are deleted.
8. Activate blotters that have transactions.
5.2.3 Flexibility
Users can adjust the following settings using the options available in the Actimize RCM.
5.2.3.1 Thresholds
Value
Number of days trades Set the number of days before the process date (current date) 0
registration is being that transactions are entered into the blotter
delayed
Show Empty Blotters Display or delete empty blotters. 0 (No)
5.2.3.2 User-Defined Exclude Lists

Users can add the appropriate items to the user-defined lists using options in the Lists tab of the
RCM.
Account Exclude List Account IDs that the firm may choose to exclude from A33FFS
generating a transaction record DVP, Prop, etc.
RCM Blotter Display
Branch Exclude List Type Branch ID that the firm may choose to exclude from USANY04
generating a transaction record Inst, Reorg. Etc.
Broker Exclude List Type Broker ID that the firm may choose to exclude from JONES34
generating a transaction record House
5.3 RCM Blotter Display

The RCM Blotters tab opens a module that provides authorized users with transaction blotters
that are relevant for their specific authorization and responsibility. Transaction blotters can be
automatically generated according to the organization’s business requirements.
Each trade blotter presents transactions that are organized according to the needs of your
organization. Depending on the firm’s supervisory structure, the blotters can be configured to be
more or less granular to accommodate satellite branches, free standing, OSJ, regions, divisions,
etc.
The Blotters module enables users to:
• Review the list of all trade blotters that are relevant for their role
• Add notes to blotters as required
• Electronically sign off blotters to evidence appropriate supervision
• When appropriate, assign blotters to different users
RCM Blotter Display
The options and features that are available for this tab are described in the following sections.
5.3.1 Trade Blotter Views

The following are examples of views and options that may be available.
View/Option Description
All Trade Blotters Shows all trade blotters that the logged-on user has permission to view
Signed Trade Shows only trade blotters that have been signed
Blotters
Signed and Shows only those trade blotters that have been signed and materialized;
Materialized (materialization is when the report becomes a static file managed by the RCM).
Trade Blotters
[Reset View] Clears any filters that may be in effect, restores this current trade blotter view’s
default sorting order, and updates the data.
[Set as Default Enables you to select any view that is available in the drop-down list and set it as
View] your personal default view; this is the view that is automatically displayed each
time you access the Trade Blotter List after login.
5.3.1.1 Show as Empty

If a blotter does not have any transactions on any given day, the blotter remains empty.
Empty blotters may be displayed or deleted. This setting is configured according to your
organization’s needs.
5.3.1.2 Unknown Blotter

If a transaction comes in and does not belong to one of the predefined blotters, a special blotter
is created called Unknown Blotter. An Unknown Blotter is created for each tenant. For
information about setting up tenants, refer to the Actimize FMC SP Installation and Implementer’s
Guides.
RCM Blotter Display
5.3.2 Defining Blotters

Blotters can be defined to distribute transactions based on product type (options vs. stocks, for
example), product subtype (municipal bonds), or account types (wrap accounts).
All trade blotters must be assigned a Business Unit (BU). As a result, when a blotter is assigned
a BU, the proper user will have access to the transactions related to that BU. Trade blotters are
presented to users based on their permissions.
NOTE:
Changing the BU of a blotter will have an effect on who can view the blotter based on
permissions.
5.3.3 Trade Blotters List

By default, the Blotter page opens in the Open Trade Blotters view. You can click a column title
in the Trade Blotters List to sort the list by that column (for example, click Blotter Type to view
all trade blotters sorted by their names).
All blotters can be viewed from the Blotter view and searched until they are materialized. For
more information, see Availability.
NOTE:
The columns that appear in the following figure are configured according to the needs of your
organization and the permissions that are currently in effect. As a result, the options that are
viewed may not be the same as the standard list presented in the figure.
The following are the columns in the trade blotters list.

Column Description
Name/Icon
Click one (or more) checkboxes to perform an operation on the selected Trade Blotter
(for example, assign a note to the selected Trade Blotter). Clicking on the checkbox in
the title bar enables you to select all Blotters in the current page.
RCM Blotter Display
Column Description
Name/Icon
This is the state indicator column. It may display icons that provide information about
the requirements or state of the blotter sign-off status, as follows:
indicates that the blotter must be reviewed and signed off
indicates that the blotter was signed off
Trades Displays the number of trades in the selected trade blotter.
Alerted Displays the number of trades in the selected blotter that have Alerts.
Trades
Indicates whether the corresponding trade blotter has associated alerts:

- at least one of the associated alerts is open
- all associated alerts are closed

If an icon does not appear, no alert(s) are associated with the trade blotter.
Indicates that the corresponding blotter is assigned to me. When no icon appears, the
blotter is assigned to a different user or is unassigned.
Blotter ID The ID string of the selected trade blotter. This string is used internally by the system
and can be used when referring to a trade blotter. It appears in the list as a link,
enabling you to click it and view the trades for the corresponding trade blotter.
Blotter Date Indicates the date when the trade blotter was generated.
Blotter Type Each blotter type contains a unique ‘Trade View’ with its unique list of fields and
properties. The list of blotter types is defined according to the needs of your
organization.
No. of Displays the number of trades that have been reviewed for the specific trade blotter.
Trades
Reviewed Displays the percentage of trades that have been reviewed in the specific trade blotter.
Trades
Owner Name of the user responsible for the selected trade blotter.
Business Indicates the full name of the current BU, as it displays in the trade blotter.
Unit
Signoff Date When appropriate, the date that the trade blotter was signed off.
Signoff User The user that signed off the trade blotter.
Availability The availability of trade blotter data in the system:

• Active – all data on Trades is available.
• Materialized – All trade data, including notes and history, has been saved as an
HTML file to the RCM database. Once the trade data is materialized, you can only
access it in the HTML format and you can no longer perform any actions on the
trades. After materialization, you can still add notes to the blotter.
NOTE:
Users cannot search materialized blotters.
Trade Blotter Tasks
5.4 Trade Blotter Tasks

Opening a blotter displays the transactions assigned to that blotter. The following are the tasks
that are performed inside each transaction:
• Trade Blotter Search Options
• Review Trades
• New Item
• Sign-Off
• Add Note
• View Notes
• View History
• Assign
• Un-Review
NOTE:
For additional detailed information about how to use these tasks, refer to the Actimize Risk Case
Manager (RCM) Reference Guide.
5.4.1 Trade Blotter Search Options

Users can use the Filter by drop-down list box to view certain groups of transactions in the
blotter. The drop-down list box consists of default filters as well as implementer-defined filters.
Click to search through the blotter using the fields and define a filter criteria for a search not
defined in the drop-down list box.
Trade Blotter Tasks
The default user-defined filters are:

• As Of Trades
• Trades Reviewed
• Trades Un-reviewed
• Trades by DAA Issues
• Trades by HSW Issues
• Trades by LTR Issues
• Trades by HYB Issues
• Trades by LST Issues
• Trades by NRA Issues
• Trades by NRR Issues
• Trades by OHT Issues
• Trades by OTE Issues
• Trades by ST Issues
• Trades by UOT Issues
• Trades by UTR Issues
• Trades with Alerts
• Trades with Notes
5.4.2 Review Trades

When there are no open alerts associated with a selected trade, clicking Review changes the
status of the trade to Reviewed.
When there is at least one open alert associated with the selected transaction, clicking Review
opens the Review section that enables you to:
• Change the status of the selected transactions to Reviewed
Trade Blotter Tasks
• Add a note to the selected transactions(s); you can choose to add a note to any transaction.
• Change the status of all associated open alerts
• Add a note to alerts when you change their status
Multiple users can review transactions in the same trade blotter.
5.4.3 New Item

You can manually generate a new alert for a specific transaction. In the New Item wizard,
specific information can be added that is required for this Item.
The wizard has the following fields and options.

Field/Option Description
Item Type Select the Item Type that you want to assign to this alert. Only Item Types that
Selection support generation of manual alerts appear in the drop-down list box.
Item Date
Click to select the date that you want to appear as the Item Date.
Item Description Enter a description for the new item.
Step By default, all new items are automatically assigned the status Ready. After
generating the alert, use the Change Status action link to change it, if required.
Score Assign a score to the new item.
Owner The name of the user who created the alert.
Business Unit Assign a Business Unit to the selected item. Only users with permission to view
alerts assigned to this Business Unit will see this alert in their Alerts List.
Click beside the Business Unit field to open the Business Unit Explorer,
which enables you to select the Business Unit that you require for the alert.
The wizard also enables you to add a note to the alert.
When the item is saved, it is added to the Alerts List.
5.4.4 Sign-Off
Selecting one trade blotter (selecting the checkbox beside the required trade blotter) and clicking
the Sign-Off action link in the actions bar opens the Sign-Off Blotter window.
It includes the following information and options:
• Total trades – total number of trades for this transaction blotter
• Reviewed Trades – number of transactions that have been reviewed
Trade Blotter Tasks
• Alert on trades – number of alerts that are attached to transactions in this trade blotter
• Add Note – enables you to add a predefined or free text note that is attached to the trade
blotter
Once a blotter has been signed off, you may go back to search it. Trade blotters must be signed
off by a single user.
5.4.5 Add Note

Selecting one or more trade blotters or individual transactions and clicking the Add Note action
link opens the Add Note window, where you can select a note from a list of predefined notes, or
to type in a note that describes the progress of the trade blotters(s).
A record of all notes created is stored and can be viewed in the View History window. Notes can
also be read from this window.
5.4.6 View Notes

Selecting a trade blotter and clicking the View Notes action link in the actions bar opens the
View Notes window, where you can view the history of all notes associated with the blotter.
The window has the following information and options.
Element Description
Enables you to add a note to the current list of notes.
Related The action that the user was performing when the note was added.
Action Notes can be added to a trade blotter while performing any of the following actions. You
can add notes from the general trade blotter list by selecting any blotter and then
performing one of the following:
• Add Note – add a note directly from the trade blotter list or when viewing the history
of notes
• Sign off – add a note when signing off a selected trade blotter
• Assign to User – add a relevant note about this action from the Assign to User
window
Trade Blotter Tasks
Element Description
You can add a note to a specific transaction in the trade blotter when you select a
specific transaction in the Blotter Detail window and change the status of the transaction
to Review/Unreview.
You can also add notes from the Blotter Details window for any trade blotter by selecting
Add Note or Sign off at the top of the details window.
5.4.7 View History

Selecting the View History action link switches the view to the Trade Blotter History view for
any selected blotter.
This feature allows you to view all actions and updates that were performed for the selected
blotter. For example, if a user changes the status of a blotter or reviews it, the type of action
appears in the Action column and the details about the action appear in the History Line
column.
The View History window has the following columns.
Column Description
Date Shows the date when the action occurred.
Action Shows all actions that were performed on the selected trade blotter; for example, if you
use the Sign off action, this information appears here.
Performed by Shows which user performed the action.
History Line Shows more detailed information about the action. For example, if someone assigns
the selected trade blotter to a different user, the details (previous user and new user
names) appear here.
Trade Blotter Tasks
5.4.8 Assign
Selecting a blotter and clicking the Assign action link in the actions bar opens the Change
Blotter User/BU window, where you can assign the selected blotter to:
• A different Business Unit
• A different user than the one who is currently the owner of the blotter
When you assign a new user, make sure that this user has permissions to deal with the trade
blotter you’re assigning.
Changes made in this window are stored and can be viewed in the View History window.
The Change Blotter User/BU window has the following information and options.
Assign to me Allows you to assign the selected blotter to yourself, indicating that you are the user
who is responsible for dealing with it.
Unassigned When Unassigned is selected, no user is assigned to the blotter.
5.4.9 Un-Review
Selecting one reviewed transaction or more (by selecting the checkbox next to the reviewed
transactions) and clicking the Un-Review action link in the actions bar opens the Un-Review
Export/Print
window, where you can add a note to change the status of the selected transactions to
Un-Reviewed.
This window has the following option:
• Add Note – add a predefined or free text note that is attached to the transaction(s)
5.5 Export/Print
The Export/Print links enables you to print transactions and export information about them to
external files.
5.5.1 Export
The Export links export trade blotter information as a comma delimited file (CSV) that can be
opened by popular spreadsheet programs like as Microsoft® Excel.
Select a blotter in the Trade Blotter List and click the Export link to open a standard Windows
download dialog that enables you to save the selected blotter to a CSV file format.
5.5.2 Print All Trades

Select one blotter in the Trade Blotter List and click the Print All Trades link to print the
transactions for the selected blotter. This link opens a dialog that lets you select additional
information that you may want to include in the printed version of the details.
The Print All Trades dialog has the following options:

• Include Trade Notes – transaction notes are included in the printed details
• Include Trade History – transaction History is included in the printed details.
The printed details appear in a separate browser. Click the Print link to print a hard copy of the
details.
Hosted Platforms
5.6 Hosted Platforms

When working on a hosted platform:
• Trade blotters contain separate IDs for each region/tenant.
• Each region/tenant can have its own configuration settings. The following are the types of
settings:
▪ Thresholds/scoring:
 Domain values: The tenant adds values if they do not already exist, and overrides
existing values. For example, if the tenant defines user values for domain values that
have default values, the default values are not in used in the logic.
Example:
In the following scenario, the host defines user values for the "Growth" threshold. In
this case, the tenant default value (highlighted in yellow) overrides the host default
and user values.
Host
Threshold Default User
Factor Name Value Factor Name Value
Growth 12 Growth 10
Tenant
Factor Name Value Factor Name Value
Growth 10
 Ranges: The user values (tenant or host) override all the default values associated
with that score or threshold. For example, if the tenant defines any user values, the
default values are not in used in the logic.
Example:
In the following scenario, the host defines a specific score that contains default
values. The tenant defines the same score with default values and user values. In this
case, the tenant user values for the scoring scale and values (highlighted in yellow)
will override the host values.
Host
Score Default User
Lower Limit Score Lower Limit Score
10 12
20 15
Hosted Platforms
Tenant
Score Default User
Lower Score Lower Limit Score

Limit
10 12 10 30
20 15 15 40
▪ Reference/mapping: This kind of definition does not override all the values. The code
uses a merge of the default values and user values. Note that if the user defines a value
that contains a code that exists in the default values, it overrides the default value. For
example:
 Tenant – the user values logic uses a merge of:
 The tenant user values overriding the default values with the same code
 All the other user values
 All the other default values
Example:
In the following scenario, the host defines a specific list that contains default and user
values. The tenant defines the same list with a default value and a new user value. In
this case, the application merges the host user value with the tenant default value
and adds the new tenant user value (highlighted in yellow below).
Host
Reference Default User
Code Description Code Description
2 Moderate 2 Moderate_Host_Custom
Host
Expected Default User

Mapping
Code Description Drop down
2 Moderate 2 Moderate_Host_Custom
Tenant
Reference Default User
Code Description Code Description
2 Moderate_Host_Custom 3 Moderate_Tenant_Custom
Tenant
Mapping Default User
Hosted Platforms
Tenant
Code Description Drop down
2 Moderate_Host_Custom 3 Moderate_Tenant_Custom
2 Moderate_Host_Custom
▪ Lists: List definitions are different than regular thresholds, as follows:

 If the tenant adds a list value and the list value already exists in the host, it overrides
the host list value parameters.
 If a new value is added to an existing list, it does not override the default value in the
list, it is included in addition to the default values.
Example:
In the following scenario, the host defines user values for a specific list. In this case,
the tenant default values override the host user values and the new tenant user
values are added to the list (highlighted in yellow).
Host
List Default User
Account Key Effective Date Account Key Effective Date
ABC 1/1
Tenant
List Default User
Account Key Effective Date Account Key Effective Date
ABC 1/1 DEF 1/3
▪ Threshold by risk: The definition of threshold by risk is according to a list of factors.

 If a tenant defines a different factor for a threshold, it overrides all the definitions of
the host.
Example:
In the following scenario, the new tenant factor (highlighted in yellow) overrides the
host factor definitions.
Host

by Risk
Scenario Factor Scenario Factor
1 month Investment Objective
Tenant
Default User
Hosted Platforms
Tenant
Threshold Scenario Factor Scenario Factor

by Risk
1 month Investment Objective 1 month Account
Tolerance to
Risk
 If the tenant selects a definition that is a domain value type, it works according to the
reference/mapping definition.
Example:
In the following scenario, the new tenant user values (Stated Risk Tolerance Risk
Category, which are domain values) override any default values and it works as it is in
the mapping dropdown.
Host

by Risk
1 month Investment Objective
Tenant

by Risk
1 month Investment Objective 1 month Stated Risk

Tolerance Risk
Category
 If the new risk factor is a new type defined as a custom risk factor (such as Dynamic
Custom Risk Factor), the values used should be the ones defined in the reference. It
should work the same as any factor (this can be range or domain value).
 If for the client the values are domain values and are defined on the same factor, it
works according to the threshold/scoring definition for domain values and overrides
existing values.
 If for the client the values are range values and are defined on the same factor, it
works according to the threshold/scoring definition for ranges and overrides all the
values when there is one user value.
• Tenants can only see the segmented data for which they are assigned permissions.
• Hosted platforms must be configured.
Chapter 6: Account Search
6.1 Overview
As part of compliance tasks, users may need to view account details even when an alert is not
generated on an account. Also, they can use this feature to view more detailed account
information if an alert type provides only partial account information in the Alert Details window.
The Account Search subtab in the Research module of the RCM requires users to enter a
unique account identifier (for example, branch code or account number) to view, on demand, the
latest account details.
The results of the Account Details search include all the default alert details tabs except for
Focus Issues.
Chapter 7: Risk-Related Calculations
This chapter describes the logic used by the SPO, SPC and UTR models for calculating the risk
of a security.
7.1 Detailed Calculations for Security Risk

Security risk is based on the volatility (beta) risk value of the stocks, rating of the bond
(S&P/Moody’s), and the security type (ETF, MF etc.).
The security risk calculation can be based on either the organization’s calculation or on the
predefined security risk calculation described below.
7.1.1 Security Risk Calculation Hierarchy

When determining the risk of a product, the Actimize SP solution carries out the following actions,
in the order indicated:
1. Custom Risk (if provided).
2. Security ID Risk – as defined in the Security Default Risk Value threshold.
3. Risk Method – according to product subtype, as defined in the Security Subtype Default Risk
threshold.
4. Product Subtype Risk – as defined in the Security Subtype Risk threshold.
5. Default Risk – as defined in the Default Risk Value threshold.
The following sections provide a more detailed description of each of these categories in the
hierarchy.
7.1.1.1 Custom Risk

The custom risk enables users to define their security risk. If a security risk is provided, then it is
used and the logic bypasses the calculations below for that security.
Each model group has exit points for defining custom risks. For detailed information about these
exit points, refer to the Actimize FMC SP Implementer’s Guide.
7.1.1.2 Security ID Risk

If a custom risk is not provided, the risk is taken from the Security Default Risk Value threshold.
7.1.1.3 Risk Method

If a custom risk is not defined, and the security ID does not appear in the Security Default Risk
Value threshold, the solution continues and calculates the security risk using the defined risk
methods.
Each security is mapped to its risk method in the Security Subtype Default Risk threshold. In
addition, an exit point is used for defining the mapping of a product to its relevant method. The
exit point overrides the configuration in the RCM. If it returns NULL, the RCM configuration is
used. The method is defined in the Risk Method threshold.
For more information about this exit point, refer to the Actimize FMC SP Implementer’s Guide.
There are several risk methods that correspond to the different types of securities. They are
outlined in the sections that follow.
Detailed Calculations for Security Risk
Risk Method 1 - Equity

The security risk is calculated using Beta, according to the following calculation:
Security Risk Value = abs (Product Subtype Risk of Security × [Beta] of Security)
The product subtype risk of the security is taken from the Security Subtype Default Risk
threshold.
It is possible to add a sign to the calculated security according to Enable Security Risk Sign
threshold.
abs([Beta] of Security) abs([Market Value])
Security Risk Sign = min ( , )
[Beta] of Security [Market Value]
Example 1
CUSIP Product Product Market Beta Product Security Security Risk
Type Subtype Value Subtype Risk Value Sign for
Risk Portfolio
1111AAAAA EQ Common $100,000 -0.8 3 2.4 -1
stock
1111CCCCC EQ Preferred - 1.0 2 2 -1

stock $200,000
1111BBBBB EQ Common $300,000 2 3 6 1

stock
The risk for low priced securities is calculated according to the following calculation
A security is defined as low priced if:
[Security Price] ≤ Low Price Equity Security Threshold
Risk calculation:
If the security has Beta defined:
Security Risk Value =
Max (Low Priced Equity Security Risk Value Threshold, Security Risk Value calculated from Beta)
If the security does not have Beta defined:
Security Risk Value
= Max (Low Priced Equity Security Risk Value Threshold, Security subtype risk Threshold)
If a security is considered low priced, then it cannot be used to reduce the risk of the portfolio.
Therefore, the risk sign will be positive for the portfolio risk calculations.
Example 2
If in example 1 CUSIP 1111AAAAA has a market value of $100,000 from a quantity of 25,000
shares priced at $4,
Then:
Security Price of $4 is less than the Low Priced Equity Threshold of $5.00, and so
Security Risk Value for 1111AAAAA = Max (3.51, 2.4) = 3.51
Security Risk Sign = +1
If the security does not have a Beta and does not qualify as Low Priced equity, return NULL.
Country Risk Corrections

It is possible to correct the risk according to [Country]. This option is configurable using the
Enable Country Risk Correction threshold. The risk of security subtypes in this list will undergo a
risk correction. The Security Risk Value calculated until this point is multiplied with the Country
Risk threshold for the new Security Risk Value.
Security Risk Value = Security Risk Value × (Country Risk)
(The country risk is scaled from 0.75 to 2, with US being ranked at 1. This is considered the
Country Risk Multiplier. 0.75 is for a country with the lowest risk and 2 for the county with the
highest risk.)
If a security is considered a ‘different’ country (not the default country configured in the Default
Countries threshold), then it cannot be used to reduce the risk of the portfolio, As a result, the risk
sign will be positive for the portfolio risk calculations.
If [Country] is not available, Country Risk = 1 (no country correction).
Risk Method 2 – Fixed Income

When calculating the risk of Fixed Income securities, the agency ratings that appear in the RCM
Settings  Thresholds  SP General  Rating are used according to a predefined weight for
each agency rating.
You can configure the ratings and then use them for risk calculation. The thresholds Rating is
used for mapping the rating to the appropriate name and description.
Ratings are loaded both automatically (from the client’s tables) and manually (using the RCM).
Risk Calculation according to Weighted Ratings

The risk value of the security is the weighted average of the risk value defined for each agency
according to the Rating threshold.
∑n1 (Weight of rating x × Risk Value of rating)
𝑆ecurity Risk Value =
∑n1 Weight of rating
Where:
• Weight of Rating is according to the Weights for Fixed Income Rating threshold
• Risk Value of Rating is according to the Risk Rating tables available from the RCM in
Settings  SP General  Rating.
A weight of 0 means that the agency’s ratings are not used in the risk calculation.
If the agency does not have a rating for the security, then the weight for that agency for that
security is 0.
If the security does not have any rating available, return NULL.
Example
Rating (Agency) Weight %
S&P 50
Moody’s 30
Custom 20
S&P and Moody’s ratings are AAA and Aa1 for the security. There is no custom rating.
The setup of the Risk Value of the rating is 0.5 for S&P rating of AAA, and 0.9 for Moody’s rating
of Aa1.
Security Risk Value = (50 * 0.5 + 30 * 0.9) / 80 = 0.65.
Calculation for Country Risk Corrections

See Country Risk Corrections.
Calculation for Time to Maturity (TTM) Corrections

Fixed Income securities enable to add additional risk to a product based on its [Time to Maturity]
according to the Time to Maturity Risk Correction threshold. The Security Risk Value calculated
until now is multiplied by the TTM Risk Multiplier for the new Security Risk Value.
Security Risk Value = Security Risk Value × (TTM Risk)
The following are the security risk values for fixed income.
S&P Long-Term Risk Ratings
Rating Previous Risk Value New Risk Value
AAA 1 1
AA+ 1 1.4
AA 1 1.5
AA- 1 1.6
A+ 2 1.9
A 2 2
A- 2 2.1
BBB+ 2 2.4
BBB 2 2.5
BBB- 3 2.6
BB+ 3 3.4
BB 3 3.5
BB- 4 3.6
B+ 4 4.9
B 4 5
B- 4 5.1
CCC+ 5 5.9
CCC 5 6
CCC- 5 6.1
CC+ 5 6.4
CC 5 6.5
CC- 6 6.6
C+ 6 6.9
C 6 7
C- 6 7.1
D 7 7.5
Moody’s Risk Ratings
Aaa 1 1
Aa1 1 1.4
Aa2 1 1.5
Aa3 1 1.6
A1 2 1.9
A2 2 2
A3 2 2.1
Baa1 2 2.4
Baa2 3 2.5
Baa3 3 2.6
Ba1 4 3.4
Ba2 4 3.5
Ba3 5 3.6
B1 5 4
B2 5 4.5
B3 5 5
Caa1 6 5.9
Caa2 6 6
Caa3 6 6.1
Ca 7 6.5
C 7 7
P1 1
P2 1.5
P3 2
MIG1 1
VMIG1 1
MIG2 1.5
VMIG2 1.5
MIG3 2
VMIG3 2
SG 3.5
Risk Method 3 – Mutual Funds

The risk value for mutual funds is calculated using the Morningstar Category Risk Rating and the
Morningstar Risk Rating.
The Category Risk Rating ranges from 1 to 10. Ten (10) is considered the lowest risk and one (1)
the highest. The Morningstar Risk Rating goes from Low to High.
The Risk Value spans from the lowest risk of 0.5 to the highest risk of 2.95. The Risk Value is
identified based on the following table.
If the Morningstar Risk Rating is not available, the solution defaults to Average and the
corresponding risk value in the risk table is used.
Example
Category Rating 1 2 3 4 5 6 7 8 9 10
(Columns) Morningstar
Risk Rating (Rows)
Low 2.75 2.5 2.25 2 1.75 1.5 1.25 1 0.75 0.5
Below average 2.8 2.55 2.3 2.05 1.8 1.55 1.3 1.05 0.8 0.55
Average 2.85 2.6 2.35 2.1 1.85 1.6 1.35 1.1 0.85 0.6
Above Average 2.9 2.65 2.4 2.15 1.9 1.65 1.4 1.15 0.9 0.65
High 2.95 2.7 2.45 2.2 1.95 1.7 1.45 1.2 0.95 0.7
Based on the following example, a mutual fund in a category rated 3 with a Morningstar Risk
Rating below average will have a risk value of 2.3.
If there is no Morningstar Category for the security, the solution returns NULL.
Risk Method 4 - Exchange Traded Funds/Notes (ETF1)

The risk value for exchange traded funds is calculated using the Morningstar Category Risk
Rating and the Morningstar Risk Rating.
The Category Risk Rating ranges from 1 to 10. Ten (10) is the lowest risk and one (1) the
highest. The Morningstar Risk Rating goes from Low to High.
The Risk Value spans from the lowest risk of 1 to the highest risk of 5.9. The Risk Value is
identified based on the following table.
Category Rating 1 2 3 4 5 6 7 8 9 10
(Columns) / Morningstar
Risk Rating (Rows)
Low 5.5 5 4.5 4 3.5 3 2.5 2 1.5 1
Below average 5.6 5.1 4.6 4.1 3.6 3.1 2.6 2.1 1.6 1.1
Average 5.7 5.2 4.7 4.2 3.7 3.2 2.7 2.2 1.7 1.2
Above Average 5.8 5.3 4.8 4.3 3.8 3.3 2.8 2.3 1.8 1.3
High 5.9 5.4 4.9 4.4 3.9 3.4 2.9 2.4 1.9 1.4
Based on the following table, an ETF in a category rated 3 with a Morningstar Risk Rating below
average will have a risk value of 4.6.
If there is no Morningstar category available for the security, the solution returns NULL.
Risk Method 5 – Exchange Traded Funds/Notes (ETF2)

The following table is used to calculate the risk.
Category Rating 1 2 3 4 5 6 7 8 9 10
(Columns) / Morningstar
Risk Rating (Rows)
Low 2.75 2.5 2.25 2 1.75 1.5 1.25 1 0.75 0.5
Below average 2.8 2.55 2.3 2.05 1.8 1.55 1.3 1.05 0.8 0.55
Average 2.85 2.6 2.35 2.1 1.85 1.6 1.35 1.1 0.85 0.6
Above Average 2.9 2.65 2.4 2.15 1.9 1.65 1.4 1.15 0.9 0.65
High 2.95 2.7 2.45 2.2 1.95 1.7 1.45 1.2 0.95 0.7
If there is no Morningstar category available for the security, the solution returns NULL.
Risk Method 6 – Options
Short, Regular and Long-Term Options

The period of time that elapses until an option expires determines whether it is a short, regular or
long-term option. This is configurable using the Short Term Option and Long Term Option
thresholds.
The option’s expiration is determined by its [Expiration Date].
Example:
Description Time Period
(Days)
Short term option threshold 30
Long term option threshold 270
Options that are less than or equal to 30 days from expiration are considered short-term options.
Options with more than 30 days but less than or equal to 270 days from expiration are
considered regular term options. Above 270 days they are considered long-term options.
Accordingly, if the option’s position is long, based on the above definitions of the option, the Risk
Value will be used, which is configured in the Long Option Risk Value threshold.
If the option’s position is short, then based on the above definitions of the option, the Risk Value
will be used, which is configured in the Short Option Risk Value threshold.
In the Money / Out of the Money Options

A [call option] is In the Money when the option's [strike price] is below the [market price of the
underlying product].
A [put option] is In the Money when the [strike price] is above the [market price of the underlying
product].
Any option that is not In the Money is considered Out of the Money.
7.1.1.4 Product Subtype Risk

If the solution returns NULL for the risk calculation according to the risk methods, it then uses the
Security Subtype Risk threshold values to determine the risk.
7.1.1.5 Default Risk

If the security subtype does not appear in the Security Subtype Risk threshold, the system uses
its default risk as defined in the Default Risk Value threshold.
7.1.2 Thresholds for Security Risk

The following are the thresholds use for security-risk calculation.
Select all thresholds from the RCM  Settings  Thresholds  SP General.
Enable Security Risk Defines whether to enable a negative • Yes

Sign (corrective) risk to the securities.
• No
Threshold group: Product Risk
Security Subtype Defines the default risk for each product User defined
Default Risk subtype
Mutual Fund Risk Defines the risk of mutual funds based on the See Risk Method 3
Value category and Morningstar ratings
ETF1 Risk Value Defines the risk of ETFs based on the See Risk Method 4 - Exchange
category and Morningstar ratings Traded Funds/Notes (ETF1)
ETF2 Risk Value Defines the risk of ETFs based on the See Risk Method 5 –
category and Morningstar ratings Exchange Traded Funds/Notes
Threshold group: Product Risk (ETF2)
Short Term Option Defines whether an option is short term 30 days (default)
based on the expiration date.
Long Term Option Defines whether an option is long term based 270 days (default)
on the expiration date.
Long Option Risk Defines the risk values of long term options Option Risk Value
Value Threshold group: Product Risk Characteristic
NOTE: Short term In 1.5
The configuration of these values has the Money
changed in the recent version. You have to
configure the values again in your solution. Short term Out 3
of the Money
Regular term In 2
the Money
Regular term 2.5

Out of the
Money
Long term In 3
the Money
Long term Out 3.5

of the Money
Short Option Risk Defines the risk values of short term options Option Risk Value
Value Threshold group: Product Risk Characteristics
Long term Call 4
Regular term In 4
the Money Call
Regular term 3
Out of the
Money Call
Short term In 5
the Money Call
Short term Out 2

of the Money
Call
Long term Put 5
Regular term In 5
the Money Put
Regular term 3
Out of the
money Put
Short term In 6
the Money Put
Short term Out 2

of the money
Put
Weights for Fixed Defines the weight of each rating factor that 0%-100%
Income Rating is included determines the risk of fixed
income securities.
Threshold group: Rating
Enable Country Risk Defines whether to include the country risk in User defined (at the product
Correction the total risk calculation for a security. subtype level)
Country Risk Defines the risk of each country. User defined

Time to Maturity Risk Defines an additional risk that can be added User defined (months)
Correction to a security according to the time of maturity
of the security. Used for fixed income
securities.
Enable Margin Risk Defines whether to include in the calculation • Yes (default)
Multiplier of the portfolio risk, an additional risk based
on the margin risk. • No
Threshold group: Portfolio Risk
Margin Multiplier Defines the risk that should be multiplied by Margin Ratio Margin
the portfolio risk according to margin ratio. Risk
Location: Multiplier
Settings  Thresholds  SP Account 0-10% 1.05
Review/SP Daily Account Review  SPO
10-20% 1.10
20-30% 1.15
30-40% 1.2
40-50% 1.25
More than 50% 1.5
Portfolio Risk
7.1.3 References for Security Risk

The following are the reference settings use for security-risk calculation.
Select all thresholds from the RCM  Settings  Reference  SP General.
Risk Method Defines the name of each of the risk methods used to 1-6
determine the risk of a security. Each risk method is
based on the product subtype.
Rating Defines the name of the rating indexes used to define the • InHouse
risk of fixed income securities.
• MF Rating
NOTE:
• Back Rating 3
Users can add custom ratings. Moodys
• Back Rating 4
S and P
7.1.4 User-Defined Lists for Security Risk

The following are the lists for security risk. Select them from the RCM  Settings  Lists  SP
General.
List Name Description Value
Default Countries Lists the countries that are referred to as base List of country codes
countries. The rest of the countries are considered
foreign.
7.2 Portfolio Risk

For each security in the portfolio, the security risk is determined based on the logic above.
The solution then calculates the portfolio risk, and applies a correction factor for Short positions
exposure/Margin exposure.
Portfolio risk is calculated as follows.
𝑃ortfolio Risk
∑ (abs ([Market Value of Security]) × Security Risk Value × Security Risk Sign)
= abs ( )
∑ abs ([Market Value of Security])
7.2.1 Margin Risk Multiplier

By configuring the Enable Margin Risk Multiplier threshold, it is possible to multiply the portfolio
risk by a margin risk multiplier.
For accounts with [Margin Debt] > 0, calculate Margin Risk Ratio as:
[Margin Debt]
Margin Risk Ratio =
[sum market value of portfolio( including VA)] − [Margin Debt]
The margin risk multiplier is determined according to the Margin Risk Ratio in the Margin
Multiplier threshold.
𝑃𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜 𝑅𝑖𝑠𝑘 = 𝑃𝑜𝑟𝑡𝑓𝑜𝑙𝑖𝑜 𝑅𝑖𝑠𝑘 × 𝑀𝑎𝑟𝑔𝑖𝑛 𝑅𝑖𝑠𝑘 𝑀𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑒𝑟
Detailed Calculations for Account Calculated Tolerance to Risk
7.2.2 Short Risk Multiplier

This multiplier can be applied if the short positions in the account constitute a significant portion
of the account value. This calculation is skipped if there are no short positions (Including negative
cash balance) in the portfolio. This is defined based on the short ratio. Short ratio is defined as 1
(or 100%) if the account has no long positions.
Short ratio is defined as follows.
∑ Abs ([Short Position Market Value])
𝐴ccount Short Ratio = Max { , 1}
∑[Long Position Market Value]
𝐼f Account Short Ratio ≥ Short Ratio Threshold then
Potfolio Risk = Portfolio Risk × Short Risk Multiplier Threshold
7.3 Detailed Calculations for Account Calculated Tolerance to

Risk
The computed maximum risk (volatility) value assigned to a given account as a result of several
factors used to determine a client’s ability to withstand, and willingness to accept, risk with
respect to his/her account. The calculation uses the following characteristics:
• Investment Objectives
• Customer’s Stated Risk Tolerance
• Customer’s Age
• Annual Income
• Liquid Net Worth
• Total Net Worth
• Tax Status
• Investment Experience
• Investment Time Horizon
• Liquidity Needs
• Custom Risk factors
7.3.1 Calculation
1. Identify Risk Volatility Value for each of the factors based on the Risk Category Tables.
For example, Customer John Doe’s profile and the associated risk values are:
Factor Value Risk Volatility
Value
Investment Objectives Income (60%) – Primary Growth (40%) 1.6
– Investment Objective #2
Customer’s Stated Risk Tolerance Moderate 2
Customer’s Age 73 2
Annual Income $78,000 2
Factor Value Risk Volatility

Value
Liquid Net Worth $300,000 3
Total Net Worth $600,000 3
Occupation (Custom Risk Factor 1) Student 2.5
NOTE:
The higher the risk value, the more aggressive the risk profile.
Investment Objective risk is calculated as the weighted average of the account’s Investment
Objectives. The account can have up to four Investment Objectives - one Primary and three
additional objectives. The weighted average is calculated based on the weights in the
Investment Objective Weights threshold.
2. Calculate the account tolerance to risk using the weighted average based on the Risk Factors
Weights (User Values) and Risk Volatility Values. For example: Risk Factor Weights are
Factor Risk Factors Weights

(User Values)
Investment Objective 25%
Customer’s Stated Risk Tolerance 25%
Customer’s Age 10%
Annual Income 10%
Liquid Net Worth 10%
Total Net Worth 10%
Occupation (Custom Risk Factor 1) 10%
3. Therefore, John Doe’s account tolerance to risk is:

(1.6*25%) + (2*25%) + (2*10%) + (2*10%) + (3*10%) + (3*10%) + (2.5*10%) = 2.15
4. For accounts where the Customer’s Age is more than the user defined Maximum Age
Threshold, return Account Tolerance Risk = min (user defined Account Highest Risk by Age
Threshold or Account Tolerance Risk).
For example, for John Doe’s account, the computed risk was calculated as equal to 2.15.
Since this customer’s age is 73 years old and the Account Highest risk by Age Threshold
is set to 1, the final Account Tolerance Risk will be 1.
7.3.1.1 Flexibility
References (SP General References)
NOTE:
The Reference settings in the following table should only be configured by an implementer.
Reference Name Description Default

Value
Dynamic Custom Risk Define Risk Factors to be included in calculating the account None
Factors tolerance to risk value.
The definition will contain the data type of the risk factor
(Range, Domain Values)
Custom Risk Factor If the Risk Factor is Range, you should define the list of None
Values values for the Constant type custom risk factors. For
example, if Custom Risk is defined as Occupation, a list of
occupations is required in this setting.
Account Risk Score After defining the risk factor, you must define the score scale None
Thresholds that will determine risk factor. If the risk factor type is Range,
define a range of numbers with their score values; if the risk
factor type is Domain Value, define a score for each value
that was defined above.
Thresholds
Maximum Age Age over which account risk tolerance is 70
determined according threshold “Account
Risk Tolerance”
NOTE:
If zero is assigned to this threshold then
the system does not use the Account
Highest Risk by Age threshold for the
Account Tolerance Risk calculation.
Account Highest Risk by The default Account Risk Tolerance Risk Value 1
Age when the account age is over the
Maximum Age Threshold (see above
threshold)
Risk Factor Weights Assign weights for risk factors, including • 16.66% for each of the
custom risk factors pre-defined risk factors
(Investment Objective,
Stated Risk Tolerance,
Age, Annual Income,
Liquid Net Worth, Total
Net Worth)
• Tax Status – 0%
• Investment Experience –
0%
• Investment Time Horizon –
0%
• Liquidity Needs - 0%
Investment Objective Assign weights to each of the four pre- 100% to the Primary
Weights defined investment objectives. Investment Objective
Investment Objectives Assign risk values to each investment See below.

Risk Category objective

Stated Risk Tolerance Assign risk values for each stated risk See below.
tolerance
Age Codes Assign risk values for each age group. See below.
Annual Income Assign risk values for each income See below.
bracket.
Liquid Net Worth Assign risk values for each range of liquid See below.
net worth.
Total Net Worth Assign risk values for each range of total See below.
net worth.
Dynamic Custom Risk Assign risk values for each custom risk User-defined risk factors
Factor factor.
Risk Category Tables (SP General Thresholds)

The following table contains the default values for the predefined risk factors. The values can be
changed to conform to your organization’s needs.
Investment Default values for Investment Objectives Investment Objectives Risk Value
Objectives Risk Risk Category
Category Preservation of Capital 0.5
Income 1
Growth 2.5
Income/Growth 2
Speculation/Profits 3
Undecided 1
N/A 1
Calculation: None
Format: Number
Path: Settings > Threshold > GLB SP > Account Risk
NOTE:
The Investment Objective risk is calculated as a weighted average of the account Primary
Investment objective and Additional Investment Objectives 2-4. The risk in the above table is
assigned to each objective, and a weighted average is calculated based on the weights in the
Investment Objective Weights threshold.
Stated Risk Default values for Stated Risk Stated Risk Tolerance Risk Value
Tolerance Risk Tolerance Risk Category
Category Conservative 1
Moderate 2
Aggressive 3

Calculation: None
Format: No Format
Path: Settings > Thresholds > GLB SP > Account Risk
Age Risk Category Default values for Age Risk Category Age Codes Risk Value
0-20 1
21-50 3
51-59 2.5
60-75 2
>76 1
Calculation: None
Format: No Format
Annual Income Default values for Annual Income Risk Annual Income Risk Value
Risk Category Category
0-25,000 0.5
25,001-50,000 1
50,001-100,000 2
100,001-150,000 2.5
150,001-250,000 2.5
250,001-500,000 2.5
500,001-999,999 3
>1,000,000 3.5
Calculation: None
Format: No Format
Liquid Net Worth Default values for Liquid Net Worth Risk Liquid Net Worth Risk Value
0-30,000 1
30,001-50,000 1
50,001-100,000 2
100,001-500,000 2
500,001-1,000,000 2.5
1,000,001-4,999,999 3
>5,000,000 3.5
Calculation: None
Format: No Format

Total Net Worth Default values for Total Net Worth Risk Total Net Worth Risk Value
0-100,000 0.5
100,001-500,000 1
500,001-1,000,000 2
1,000,001-2,000,000 2
2,000,001-5,000,000 2.5
5,000,001-10,000,000 3
>10,000,000 3.5
Calculation: None
Format: No Format
Tax Status Risk Default risk values for Tax Status Tax Status Risk Value
Category
10%> 0.5
10%-30% 0.75
30%-60% 1
60%-80% 1.5
80%< 2
Calculation: None
Format: Number
Investment Default risk values for Investment Investment Experience Risk Value
Experience Risk Experience
Category 1> 0.5
1-3 1
3-6 2
6 3
Calculation: None
Format: No format
Investment Time Default risk values for Investment Time Investment Time Risk Value
Horizon Risk Horizon Horizon
Category
1> 0.5
1-3 1
3-6 2
High-Risk Position Calculations

6 3
Calculation: None
Format: No Format
Liquidity Needs Default risk values for Liquidity needs Liquidity needs Risk Value
Risk Category
6> 3
6-9 2
9-12 1.5
12-18 1
18< 0.5
Calculation: None
Format: No Format
7.4 High-Risk Position Calculations
7.4.1 High-Risk Position Calculation

High-risk position * Multiplier risk
7.4.2 High-Risk Position

(If the user defined a risk (by exit point)
Then use the user defined a risk (by exit point)
Else if there is “Security Default Risk Value” threshold by position product
Then use “Security Default Risk Value” threshold by position product
Else calculate security risk by product type
7.4.3 Multiplier Risk

If Position normalized quantity < 0
Then if High-risk position < “Short High Risk Security” Threshold
Then “Multiply security risk if it is below threshold” threshold
Else “Multiply security risk if it is above threshold” threshold
Else 1
7.4.4 User Defined a Risk

An exit point with the interface:
• Position product
• Position Product type

• Beta
• Normalize Position Price
• S&P rating
• Moody rating
• Time to Maturity
• Position underlying quantity
• Position normalized quantity
• Position Product sub type
• Conversion factor
• MF rating
• Call/put indicator
• Long/short indicator
• Is option covered
7.4.5 Position Underlying Quantity

Position normalized quantity of a position that fulfills the following:
• The position account key = current account key
• The product key= current position underlying product
7.4.6 Is Option Covered

The option is covered if it fulfills one of the following conditions:
• Fulfills all the following conditions:
▪ The position is call
▪ Position underlying quantity >= abs (Position quantity nullification)
▪ Position underlying quantity >=0
▪ Position underlying quantity <> null
• Fulfills all the following conditions:
▪ abs(Position underlying quantity) >= abs (Position quantity nullification)
▪ Position underlying quantity <=0
▪ Position underlying quantity <> null
7.4.7 Position Quantity Nullification

If Position normalized quantity = Null, then 0 else Position normalized quantity
7.4.8 Security Risk by Product Type

Case product type is:
• product type is equity: calculate security risk by equity
• product type is fixed income: calculate security risk by fixed income
• product type is option: calculate security risk by option
• product type is Mutual Fund: calculate security risk by Mutual Fund
• otherwise: security risk by other product type
7.4.9 Security Risk by Equity

If exist beta
Then abs (beta)
Else if Normalize Position Price<= “Low Price Equity Security” threshold
Then “Low price Equity Security Risk Value” threshold
Else Security Sub-type Default Risk
7.4.10 Security Subtype Default Risk

If “Security Sub-type Default Risk” threshold by Position product sub type is not null then
“Security Sub-type Default Risk” threshold by Position product sub type
Else
If “Set default risk” threshold = yes
Then “Default Risk Value” threshold
Else null
7.4.11 Security Risk by Fixed Income

If S&P Rating is available then: assign “S and P” threshold (Rating)
Else
If Moody rating is available then: assign “Moodys” threshold (Rating)
Else
Security Sub-type Default Risk
7.4.12 Security Risk by Option

If position is long
Then “Long Option Risk Value” threshold
Else
“Short Option Risk Value” threshold
7.4.13 Security Risk by Mutual Fund

If MF rating is available
Then assign “Morning star Risk rating” threshold (Rating)

Else Security Sub-type Default Risk
7.4.14 Security Risk by Other Product Type

Security Sub-type Default Risk
7.4.15 S&P Rating is Available

“S and P” threshold using S&P Rating <> Null
7.4.16 Moody Rating is Available

“Moodys” threshold using Moody rating <>Null
MF rating is available
“Morning star Risk rating” threshold using MF rating
7.4.17 VA Positions Risk by Contract

Sum (abs) Normalize Position price * Position normalized quantity * High-risk position
Calculation))
Of position that fulfill the following:
• High-risk position Calculation is not Null
• Normalize Position price is not Null
• Position normalized quantity is not Null
• Position is VA-accounts positions
7.4.18 VA Positions Quantity Price by Contract

Sum (abs (Normalize Position price * Position normalized quantity))
Of position that fulfill the following:
• High-risk position Calculation is not null
• Normalize Position price is not Null
• Position normalized quantity is not Null
• Position is VA-accounts positions
7.4.19 Sum Market Value

Sum (Position Market Value) of positions that fulfill the following:
• Position is Accounts positions
Account Tolerance to Risk Calculation
7.4.20 Sum Currency Value Risk

Sum (abs (Position Market Value * High-risk position Calculation)) of positions that fulfill all
the following:
• Position in Accounts positions
• Position Market Value <> Null
7.5 Account Tolerance to Risk Calculation

Account tolerance to risk is the degree of variability in investment returns that an individual is
willing to withstand.
7.5.1 Account Tolerance to Risk

Sum (for each risk factors * “risk weights” threshold of its appropriate risk factor)
7.5.2 Risk Factors

The risk factors are:
• Investment Objectives – assign “Investment Objectives Risk Category” threshold using account
investment objective
• Customer’s Stated Risk Tolerance – assign “Stated Risk Tolerance Risk Category” threshold
using Stated Risk Tolerance
• Customer’s Age –
If account age > “Maximum Age” threshold
Then min (“Account Highest Risk by Age” threshold, “Age Risk Category” threshold using
account age)
Else assign “Age Risk Category” threshold using account age
• Annual Income – assign “Annual Income Risk Category” threshold using Annual Income
• Liquid Net Worth – assign “Liquid Net Worth Risk Category” threshold using Liquid Net Worth
• Total Net Worth - assign “Total Net Worth Risk Category” threshold using Total Net Worth
• “Custom Risk Factors” threshold – see Section 3.3.8.10: Thresholds and Settings
(Maintained in RCM), page 89 (in custom thresholds section)
Chapter 8: Scoring Algorithms
The main purpose of alert scoring is to prioritize alerts based on their severity. The system uses
several methods to assign a score to alerts generated by the detection models, thus enabling risk-
driven analysis and handling.
Scores are calculated according to a formula that summarizes the relevant scoring factors.
Authorized users may control the way scores are calculated by modifying thresholds, weights and
other parameters.
The alert score is calculated based on various factors.
8.1 Extent of Excess over Thresholds

Certain models use thresholds as part of the model’s scoring calculation. This score factor
represents the extent of excess over thresholds.
The business user can customize thresholds. When thresholds are modified, they apply in the next
run of the models.
8.2 Account Equity Value

In some of the models, the scoring algorithm takes into consideration the size of the account. The
assumption is that prioritization for reviewing the account relates to the account size.
The business user, as part of the thresholds modification process, can tune the account equity
impact.
8.3 Recurring Alerts

The score factor calculation for recurring alerts uses an interactive process. The system detects
what the business user’s decision was for previous alerts and, based on this, adds or reduces the
score of the current alert.
8.4 Scoring Calculations

The scoring algorithm performs calculations that are relevant for determining the final alert score
(described below) and then compares this aggregated sum with a ceiling score value (Alert Max
Score Threshold). The Alert Max Score Threshold default value is 100. The lower value between
the two is used as the final alert score.
For each solution scenario, a score can be calculated based on:
Scoring Calculations
• An exact score value assignment where no scoring scale is used for score assignment. For
example, in the case of investment objectives, each objective is assigned a different score,
as shown in the example below:
• An exact score value assignment that is based on a scoring scale. In the example below, a
threshold is set for the cost equity ratio and the score is assigned based on the degree to
which the detection result varies from the threshold:
When a score is calculated based on a scoring scale, the solution determines the appropriate
score scale that is used as follows: a detection result falls within a range when it is greater
than or equal to the low limit and less than (but not equal to) the next low limit. In the example
shown above, a detection result of 9.9 will receive the score point of 40, the result of 10 will
receive the score point of 50 and the result of 210 will be assigned a score of 80.
• A proportional score value assignment that is based on a scoring scale. In the example
below, if the ‘Fees charged to Commissions Waived’ ratio falls between 25 and 50 and a
proportional score value is used, then the score value is assigned based on the degree to
which the ratio varies from the limit.
Rounding for proportional scoring

When a proportional score is assigned based on a scoring scale, the solution assigns the scores
using the same method as the one used for an exact score that is based on a scoring scale.
However the solution also performs a ‘rounding’ calculation. In other words, if the scoring scale
assigns a score value of 50 between the scale limits of 25 to 50, the score is assigned
proportionally based on the exact detection result. For example, the system rounds the result of
27.2 to 27, and 27.6 to 28, and assigns a score (between 25 to 50) that is proportional to the
rounded result.
If the result is greater than the highest limit of the scoring scale, the solution multiplies the score
for the highest scoring scale by the ratio of the detection result over the upper limit value.
Chapter 9: Policy Manager
The Policy Manager provides an option to add custom rules to existing rules in the ACR, DAR
and TRR model groups.
Settings
AIS
Client Data
Model Rules
Alert Display
Data Integration
Policy Manager
Rules
App Data
9.1 Defaults
The default behavior is the current rules that are defined in the SP solution. It is possible to add
more rules using the Policy Manager, under the assumption that the out of the box rules do not
depend on the new Policy Manager rules.
9.2 Custom Rule Creation

• Client customization allows you to:
▪ Create custom rules/models using the Policy Manager
▪ Scoring rules using the Policy Manager
▪ The custom issues will be included in the SP alert for the relevant module.
• Allow creating new Lists for a custom rule.
9.3 Custom Lists

You can add custom lists, and use the list members in the policy manager context.
Notice that those lists should support region or tenant as the other lists do, this means that:
• In Tenant Mode (Default Details stores the values of the host): Each tenant sees just the list
members in
▪ Definition of the lists settings
▪ Policy manager
• In Region Mode: The values are taken from the list by region
Custom Lists
9.3.1 Creating a List

You can define a new list using the Settings screen.
Location: Settings  References  <Model Name>  Custom Lists

Title: Custom Lists
Click on the Edit User Value link to open the Custom List window:
Fields:
List ID String
List Name String
9.3.2 List Members Creation

You can define new members in the list.
Location: Settings  Lists  <Model Name>  Custom List
Title: Custom List
In this screen you can see all the lists that were defined using the list names defined in the
previous screen.
Policy Manager Context
After selecting the user values of certain list you can add members to the list.
Location: Settings  Lists  <Model Name>  Custom List  <List Name>
Title: Custom List Members
Fields:
Region String
Value String
Effective date Date time
Expiration date Date time
9.4 Policy Manager Context

Essentially, all input and calculated data, including custom fields, in the Sales Practices solution
should be exposed for the purpose of rule creation
Custom fields should be available (and mapped to the rule authoring context) for each data
entity in SP, including the SP Account profile, i.e. allow clients to add custom calculations for the
account
All transactional and positional data is available in 1 calendar day and 1 calendar month
periods.
For more information, see Appendix A: Policy Manager Context, page 253.
9.5 Alert View

The main alert view (of SP alerts) lists the custom issue types included in the specific alert. This
is the same as supported today for the out of the box issues.
Configuring the Focus Issues Description
• All the Policy Manager rules appear in the description:
• All the Policy Manager rules appear in the description:
9.6 Configuring the Focus Issues Description

In the relevant SP alert, custom issues will be added automatically to the focus issues table,
including the related thresholds, check values and scoring factors. The issues information
displayed reflects both dynamic and static information, that is, specific calculations, check values
and score related values and calculations are displayed for the issue.
This new row in the focus issues is displayed only when triggered custom rules were defined in
the policy manager.
You can configure the information that will be presented in the focus issues. This display contains
one row for every custom rule that can be configured using an Exit Point.
Upper Table:
1. Issue type:
▪ The string of the identifier of the rule that was configured by the user
▪ Default value the code of the rule that was defined in the policy manager.
2. Description:
▪ The string of the rule name that was configured by the user
▪ Default value the name of the rule that was defined in the policy manager.
3. Score: The score that was defined in the policy rule, default value: 0
Actions
Lower Table:
The lower table can contain several rows that will be configured by the implementer/client IT. The
lower table will not be displayed if it was not configured. The lower table will contain the following
attributes:
• Scenario
• Scenario Description
• Current Value
• Check Value
This configuration can be performed using an exit point:
Input: Policy manager Context (UDT)
Rule identifier (char)
Output:
Issue (tuple)
Issue Type (char)
Description (char)
Scenarios (sub set)

Scenario (char)
Scenario Description (char)
Current Value (char)
Check Value (char)
9.7 Actions
The actions that can be performed from the Policy Manager include:
• Score: The drop down contains the values: 10, 20, 30, 40, 50, 60, 70, 80, 90, 100
• Create Separate Alert: Allow creating a separate alert from one or multiple of the custom
issues. The drop down contains the values Yes, No
• Line of Business: Adding the new rule to a certain line of business. The drop down contains
list of the Trade Review lines of business and ‘all’. The action is relevant just if the ‘Generate
Alerts Using Line of Business’ is on. The Policy Manger rule is added to all alerts of the
selected line of business (or all lines of business).
Actions
Score Create Line of Generate Alerts Number of Addition of Score of the

Separate Business Using Line of Alerts Custom Rule
Alert Business Flag
Yes No No No 1 Yes
Yes Yes No No 2 Yes - in the separate

alert
The score of the separate
alert is the score of the
policy rule without
addition
Yes No Yes No 1 Yes
Yes No No Yes Number of Yes – to all the alerts

business
lines
Yes Yes Yes No 2 Yes - in the separate

alert
The score of the separate
policy rule without
addition
Yes Yes No Yes Number of Yes - in the separate

business lines alert
+1 (Policy The score of the separate
rule) alert is the score of the
policy rule without
addition
Yes No Yes Yes Number of Yes – in the line of

business business that was
lines mapped
Yes Yes Yes Yes Number of Yes - in the separate

business alert
lines + 1 The score of the separate
policy rule without
addition
No Yes No No 2 No
No Yes Yes No 2 No
No Yes No Yes 2 No
No Yes Yes Yes Number of No

business
lines + 1
No No Yes No 1
No No Yes Yes Number of

business
lines
Functions
Score Create Line of Generate Alerts Number of Addition of Score of the

Separate Business Using Line of Alerts Custom Rule
Alert Business Flag
No No No Yes Number of
business
lines
9.8 Functions
Functions are complex fields in the context of the expression browser.
9.8.1 SP_PM_Account_AVG_balance – For ACR, DAR and TRR

NOTE:
This is the function that is used in the context.
• Input:
▪ Account key (char)
▪ Process date (date)
• Action:
▪ FDM – Calculate the Avg(Balances.Balance_base_Curr_Value) using
Balances.Account_key and Balances.Balance_Type_Cd = 1001 for the period from
max(Balances.Balance_Value_Date) – 12 to max(Balances.Balance_Value_Date).
▪ UDM – Calculate the AVG(BALANCE.BASE_CURR_VALUE) using
BALANCE.ACCOUNT_KEY and BALANCE.BALANCE_TYPE_CD = 1001 and for the
period from max(BALANCE_LOCAL_DATE_TIME) – 12 to
max(BALANCE_LOCAL_DATE_TIME)
9.9 Operators
9.9.1 Is In Trade/Account Review List/Daily Account Review List

• Input:
▪ String Field
▪ List _id – define a DDQ that retrieve all the solution list of TRR/ACR/DAR.
• Action - Check if the string value appears in the list.
• Output – Boolean(True\False)
9.9.2 Is Not In Trade/Account Review List/Daily Account Review List

• Input:
▪ String Field
▪ List _id – define a DDQ that retrieve all the solution list of TRR/ACR/DAR.
• Action - Check if the string value does not appear in the list.
Operators
• Output – Boolean(True\False)
9.9.3 Account Risk – For Trade Review Only

• Input:
▪ Double
• Operator: Drill down Piker with the following value:
▪ Is equal to
▪ Is not equal to
▪ Is Less than or equal to
▪ Is Less than
▪ Is greater than or equal to
▪ Is greater than
• Action: Calculate the Account Tolerance to Risk and return true or false according to
operator input chosen.
9.9.4 Portfolio Risk – For Trade Review Only

• Input:
▪ Double
• Operator: Drill down Piker with the following value:
▪ Is equal to
▪ Is not equal to
▪ Is Less than or equal to
▪ Is Less than
▪ Is greater than
• Action:
Calculate the Portfolio Risk and return true or false according to operator input chosen.
9.9.5 Daily Positions of the Products – Asset Allocation – For Daily Account
Review Only
This is the ability to compute the daily positions of the products in a specific asset class as a % of
the portfolio market value from a purely asset mix perspective. For example, the sum of the
market value of all products classified as equities in the account portfolio should be available.
The same calculations should be available for Fixed Income, Cash, Options and other asset
classes.
• Input:
▪ String (the asset class code)
Operators
Code Asset Class

ANN Annuity
COM Commodity
EQ Equity
FI Fixed Income
FND Fund
FX Forex
OTH Other
RLE Real Estate
▪ Double
• Operator:
▪ Is equal to
▪ Is not equal to
▪ Is less than or equal to
▪ Is less than
▪ Is greater than
9.9.6 Daily Positions of the Products – Risk – For Daily Account Review Only
This is the ability to compute the daily positions of the products in a specific asset class as a % of
the portfolio market value from a risk classification perspective. For example, the sum of the
market value of all products classified with risk as High, Medium and Low in the account portfolio
should be available.
• RISK_LEVEL table use:
▪ Targets for accounts in order to check if the real positions match to the targets of asset
class or product risks.
▪ Risks for products in order to check if the concentration of a product in the positions.
For example:
RISK_TYPE_CD ENTITY_TYPE_CD RISK_TYPE_DESC
SP_LOW PRODUCT PRODUCT LOW RISK
SP_MEDIUM PRODUCT PRODUCT MED RISK
SP_HIGH PRODUCT PRODUCT HIGH RISK
• Input:
▪ String (the risk classification code)
Backward Compatibility
Code Risk Classification

L Low
M Medium
H High
▪ Double
• Operator – Drill-down Piker with the following values:
▪ Is equal to
▪ Is not equal to
▪ Is less than
▪ Is greater than
9.9.7 Short Option Risk – For Daily Account Review Only

This is the summary of the short positions as a percentage of the total positions.
This calculation enables the client to identify accounts where there is an excess of “X%”
(Constant Value) in short option strategies of total account positions.
• Input:
▪ Double
• Operator – Drill-down Piker with the following values:
▪ Is equal to
▪ Is not equal to
▪ Is less than
▪ Is greater than
9.10 Backward Compatibility

The addition to the focus issues should support the old focus issues table. If the user does not
configure any new policy rule the focus issue table will remain as is.
Chapter 10: Setting Up Policy Manager Rules
NOTE:
The Policy Manager supports the Account Review (ACR), Daily Account Review (DAR) and
Trade Review (TRR) model groups only.
10.1 Overview
Sales Practices custom rules generation is an add-on to the SP solution allowing specially
designated client users and Actimize Professional Services (PS) personnel to create new custom
rules based on the data available, and include the issues generated within the different SP alert
levels.
Settings
AIS
Client Data
Model Rules
Alert Display
Data Integration
Policy Manager
Rules
App Data
Each client has its own unique requirements and policies to monitor customer accounts and
trades. As a result, you often need to create custom rules that generate appropriate alerts for the
Compliance team to investigate. These custom rules often use much of the same data and
calculations already leveraged in the SP system but currently PS and/or the client do not have
full access to this data. This functionality enables easy and effective custom rules creation,
utilizing SP data and allowing the issues raised to be consolidated with out-of-the-box SP alerts.
The Policy Manager allows you to define and adjust RCM Rules that affect the Solution’s
decisions. For example, the user may adjust a Rule in order to enable transactions for VIP
customers or delay transactions from suspicious IP address ranges.
Setting up Policy Rules
10.2 Setting up Policy Rules

The following sections describe how to create and configure policy rules.
10.2.1 Creating a New Rule

1. In the RCM, click the Policy Manager tab to open the Policy Type dropdown menu.
2. Select the policy type AccountReview, DailyAccountReview or TradeReview from the
drop-down list box.
The following tabs appear on screen.

▪ Draft Policy – enables you to create a Draft Policy for this policy type. Once the Draft
Policy is complete, it can be activated to become the Active Policy and appear in the
Active Policy tab.
▪ Policy Activation – enables you to review a draft policy that is about to be activated,
analyze the difference between this policy and the current policy, and confirm it as an
active policy. Note that this tab’s name switches to Pending Policy when a new policy is
activated.
▪ Active Policy – displays the policy that is currently enabled for this policy type. Initially,
the ‘Active Policy’ tab is blank.
▪ Historical Policies – displays a list of policies that were requested to be activated in the
past and enables you to view a specific policy (includes policies that were successfully
activated and policies that failed to be activated).
10.2.2 Setting up the General Page of a Draft Policy Rule

1. From the Draft Policy subtab, define a draft policy for the selected policy type by clicking the
button.
The Policy Type Rule page opens, enabling you to add new rules that are appropriated for
that policy type.
2. For each new rule enter the name and identifier for the rule within the General tab within the
lower section of the screen
10.2.3 Adding Conditions to the New Rule

A new condition line appears when the link is clicked. The new condition is in
editing mode and allows you to set the various properties of the condition.
1. Add one or more condition to the rule by clicking the Add condition link within the upper
section of the window.
For each new condition, a selection box enables you to select either Field or Expression.
The following options let you define a condition.
Option Description
Select one of the following options:
• Field – the default selection that enables you to select a field from the
drop down menu.
• Expression – click the picker to open the expression builder
window, which enables you to enter expressions for the condition.
The default display for the condition includes a drop-down list box for
selecting a field for the condition.
Removes the condition from the criteria.
Applies the changes that have been made to the condition.
Discards the changes that have been made to the condition in editing mode
and displays the link.
The options in the filtering menu change according to the type of data that is in the selected
field (for example, a field that has date related data has different filtering options than a field
that stores data on amounts).
Once a rule has been defined, the following options appear:
Option Description
Prepend Condition Adds the new condition before all the other conditions
Append Condition Adds the new condition after all the other conditions
Clear all Removes all the conditions from the rule.
2. If you select an Expression, an icon appears allowing you to open the expression builder in
order to build a complex custom expression, based on the context available for the rule type.
For more information about using the expression builder within the Policy Manager, refer to
your Risk Case Manager Reference Guide, under the Draft Policy Tab  Expression Builder
section.
3. If you select a field, a new selection box appears with a drop-down list of available fields.
10.2.4 Using the Expression Builder

You can use the Expression Builder to set:
• A field expression (instead of selecting a predefined context field)
• A condition expression (instead of selecting a fixed value or a predefined context field)
• A full rule expression
The Expression Builder includes the following tabs:
• Fields – enables you to enter fields into the expression
• Functions – enables you to enter functions into an expression; this may include AIS
user-defined functions.
The following actions can be executed using the buttons at the bottom right of the page.
The toolbar of the Expression Builder includes the following options.
• Clear – clears the current contents of the expression
• Validate – validates that the expression is valid and does not include errors. To validate an
expression, click Validate. If the expression is valid, then an “Expression is valid” message
appears with a timestamp. If the expression is not valid, an “Expression is invalid” message
appears with a timestamp. A list of errors also appears as shown in the following example.
The expression’s errors are displayed in red fonts.

• OK – adds the expression to the condition and closes the Expression Builder window
• Cancel – closes the Expression Builder window without saving the expression
10.2.4.1 Entering an Expression

1. Select the field/function you want to add to the expression and click Insert field/function that
appears next to the field/function.
2. Select the returned data type from the Return type drop-down list box (for example, string or
Boolean). Note that this option is only available for the first field of the condition. Other fields’
return types are defined according to the element that was selected.
3. Click Validate to verify that the expression does not include errors.
4. Click OK.
10.2.4.2 Using the Auto-Complete Feature

This feature provides you with the option to autocomplete constants, platform lists, fields and
functions. A list of related auto fill results is displayed when you start typing an expression and
then press the Ctrl and Space keys.
Results starting with the search term appear before results that only contain the search term and
are grouped in the following order:
1. Constants.
2. Platform lists.
3. Fields.
4. Functions.
All grouped results are ordered alphabetically.
Select the relevant result and press the Enter or Tab for the result to be displayed in the
expression builder. The keyboard shortcuts for undo (Ctrl + Z) and redo (Ctrl + Y) are supported.
When the AIS server is down, an indication appears.
NOTE:
It is recommended to use this feature when the AIS server is up and running.
When the AIS server is down there are partial autocomplete results that include functions, fields
and any previous cached results that are kept as long as the expression builder window remains
open.
10.2.4.3 Functions Tab

NOTE:
For a full description of the functions tab, refer to the Actimize RCM Policy Manager Functions
and Operators Guide.
10.2.5 Filtering Options

It is possible to filter any of the lists of Policy Rules in order to view only rules of current interest.
10.2.5.1 Filtering Options for Strings

Using the filtering menu, you can use the following options for fields that include strings (for
example, account numbers, city names, account holder name, etc.). These options include the
following.
Option Description
Is equal to Opens an additional field that enables you to enter a value that is equal to the
compared field.
Is not equal to Opens an additional field that enables you to enter a value that is not equal to
the compared field.
In List Opens an additional field that enables you to enter a comma delimited list of
values that are equal to the compared field.
Separate the entered strings with commas (for example, John,Nancy,Ken).
Starts with Opens an additional field that enables you to enter the initial character(s) of the
entities that are to be included.
Ends with Opens an additional field that enables you to enter the final character(s) of the
entities that are to be included.
Not In List Opens an additional field that enables you to enter a comma delimited list of
values that are not equal to the compared field.
Separate the entered strings with commas (for example, John,Nancy,Ken)
Contains Opens an additional field that enables you to enter character(s) in the entities
that are to be included.
Is Null Includes string(s) that have a null value.
Is Not Null Includes string(s) that are not of a null value.
In list Includes strings contained in the list
Not in list Includes strings not contained in the list
Exists in List Opens an additional field that enables you to select a relevant Platform List.
Option Description
Is in Account (monthly Includes strings contained in the Account/Trade Review list
and daily)/Trade
Review List
Is Not in Account Includes strings not in the Account/Trade Review list

(monthly and
daily)/Trade Review
List
10.2.5.2 Filtering Options for Numbers

The filtering menu provides the following options for fields that include numbers that can be
calculated (e.g., account balances, stocks trade value, etc.). Some of these options include:
Option Description
compared field.
the compared field.
Is Less than or Opens an additional field that enables you to enter a value. The criterion is for all
equal to values that are less than or equal to the value that was entered.
Is Less than Opens an additional field that enables you to enter a value. The criterion is for all
values that are less than the value that was entered.
Is greater than or Opens an additional field that enables you to enter a value. The criterion is for all
equal to values that are greater than or equal to the value that was entered.
Is greater than Opens an additional field that enables you to enter a value. The criterion is for all
values that are greater than the value that was entered.
Is Opens an additional field that enables you to enter a value. The criterion is for all
values that are equal to the value that was entered.
Is null Includes unknown or not applicable values.
Is not null Includes all values that are not null. .
Between Opens two additional fields that enable you to enter values. The criterion is for all
the values that are between the numbers that were entered.
Is not between Opens an additional field that enables you to enter a value. The criterion is for all
values that are not equal to the value that was entered.
Exists in List Platforms lists enable the user to create rules based on lists by using this
operator and selecting the relevant platform list
Proportion to Calculates the Account Tolerance to Risk and return true or false according to
Account Risk (for the operator input selected
TRR only)
Proportion to Calculates the Portfolio Risk and return true or false according to ‘operator‘ input
Product Risk (for chosen
TRR only)
10.2.5.3 Boolean
The filtering menu provides the following options for fields that include Booleans that can be
calculated as True or False. Some of these options include:
Option Description
compared field.
the compared field.
Is True The parameter is True
Is False The parameter is False
10.2.5.4 Filtering Options for Trade Date and Time

The filtering menu provides the following options for fields that store Trade Date and Time (e.g.,
date of transaction, date and time of stocks trade value, etc.).
Some of these options include the following.
Option Description
On specific date Opens an additional field that enables you to enter a date. The criterion is for all
records that occurred during the specified date.
After specific date Opens an additional field that enables you to enter a date. The criterion is for all
records that occurred after the specified date.
After or equal to Opens an additional field that enables you to enter a date. The criterion is for all
specific date records that occurred after or on the specified date
Before specific date Opens an additional field that enables you to enter a date. The criterion is for all
records that occurred before the specified date.
Before or equal to Opens an additional field that enables you to enter a date. The criterion is for all
specific date records that occurred before or on the specified date.
Between dates Opens two additional fields that enable you to enter dates. The criterion is for all
records that occurred between the specified dates.
Is Not Between dates Includes all values that are not between specified dates
Is not null Includes all values that are not null.
Is null Includes unknown or not applicable values.
After specific time Includes all values that are after the specified time.
After or Equal to Includes all values that are after or at the same time as the specified time.
specific time
Before specific time Includes all values that are before the specified time.
Before or Equal Includes all values that are before or at the same time as the specified time.
specific time
Between time Includes all values that are between specified times.
Is Not Between time Includes all values that are not between specified times
Option Description
Exists in List Opens an additional field that enables you to select a relevant Platform List.
10.2.5.5 Policy Manager Context

All input and calculated data, including custom fields, in the Sales Practices solution are exposed
for the purpose creating rules.
Custom fields are available (and mapped to the rule authoring context) for each data entity in
SP, including the SP Account profile; in other words, it enables users to add custom calculations
for the account.
For a complete list of these custom fields, see Appendix A: Policy Manager Context, page 253.
10.2.6 Additional Custom Fields

You can define unlimited custom fields for Trade and Account.
1. Define the field in the following UDTs (for more information, refer to the SP Implementer’s
Guide).
▪ SP_account_custom_risk_attributes
▪ SP_trade_custom_field
2. Map the field Data in the SP_TRR_int_trade_details_1 channel.

3. In the RCM Designer, select the Trade Review policy and refresh the field tab.
4. Save the change.

5. The field that was added to the UDTs appears in the Expression Builder of the Trade Review
and Account Review models groups Policy Manager.
6. If you want to use the fields in the dropdown field of the Policy Manager, define the field in the
RCM Designer.
7. The new field appears in the drop-down list box of the Policy Manager under the group you
defined.
8. To add a field to the SP_TRR_TradeReviewPolicy custom policy, define a custom field under
Trade Review 561 – Customization  SP_TRR_TradeReviewPolicy rule.
9. In the RCM Designer, select the Trade Review policy and refresh the field tab.
10. Define the field in the RCM Designer.
11. Save the change.

The new field appears in the drop-down list box and in the Expression Builder of the Policy
Manager under the group you defined. If you did not define it under a group, it is added under
the General group in the Expression Builder and under No Group in the drop-down list box.
NOTE:
Custom fields of type set only appear in the expression.
10.2.7 Operators
Once you have selected a field, a drop-down menu appears allowing you to select an operator.
Descriptions of all built-in filtering operators are available in your Risk Case Manager Reference
Guide.
10.2.7.1 SP Solution Operators

The SP solution provides solution-specific operators for each of the ACR and TRR rules. The
following table lists the operators that are common for both policy rules, as well as operators that
are specific for each.
Policy Rule Operator Input Action Operators
Account Is In • String field Checks whether the N/A
Review, Daily Trade/Account string value appears
Account Review • Lists of all the in the list
Review and List/Daily solution lists and
Trade Review Account Review custom lists of
List TRR/ACR/DAR
Is Not In • String field Checks that the N/A

Trade/Account string values do not
Review List/ • Lists of all the appear in the list
Daily Account solution lists and
Review List customs list of
TRR/ACR/DAR
Trade Review Account Risk Double Calculates the • Is equal to

Only Account Tolerance
to Risk and returns • Is not equal to
true or false • Is Less than or
according to the equal to
operator input
• Is Less than
selected
• Is greater than or
equal to
• Is greater than
Policy Rule Operator Input Action Operators

Portfolio Risk Double Calculates the • Is equal to
Portfolio Risk and
returns true or false • Is not equal to
according to • Is Less than or
operator input equal to
selected
• Is Less than
equal to
• Is greater than
Daily Account Daily Positions • String Calculates the daily • Is equal to
Review Only of the Products positions of the
– Asset • Double products in a • Is not equal to
Allocation specific asset class • Is less than or
as a % of the equal to
portfolio market
• Is less than
value from a purely
asset mix • Is greater than or
perspective equal to
• Is greater than
Daily Positions • String Calculates the daily • Is equal to
of the Products positions of the
– Risk • Double products in a • Is not equal to
specific asset class • Is less than or
as a % of the equal to
portfolio market
value from a risk • Is less than
classification
perspective
• Is greater than
or equal to
• Is greater than
Short Option Double Summarizes the • Is equal to

Risk short positions as a
percentage of the • Is not equal to
total positions • Is less than or
equal to
• Is less than
equal to
• Is greater than
10.2.8 Assigning Actions and Completing Rule Setup

Once you are satisfied with all conditions for a rule, you must define the actions for each.
10.2.8.1 Score
Define the score of the created rule (it can be between 10 and 100.
If you do not define a score, the score of the rule is 0.
10.2.8.2 Create Separate Alert

Define whether the creation rule creates a separate alert. Possible values: Yes and No.
Default action: No.
10.2.8.3 Line of Business

NOTE:
The action is relevant just if the Generate Alerts Using Line of Business threshold is on.
In cases when there is a setting defined for each rule and you want to see which Line of
Business is referenced, you can check the Line of Business in Setting  Reference  <ACR,
DAR or TRR Model Group>  Line of Business Definitions.
The dropdown contains a list of the ACR/DAR/TRR Lines of Business and All, where the default
action is All.
10.2.9 Reviewing and Activating Rules

Rule conditions can be viewed and edited at any time by clicking the Rule Name link within the
Draft Policy page.
To activate rules:
1. Select (click the checkboxes for) each of the rules that you want to activate for the current
policy.
2. Click the More Actions drop-down menu and then click Activate.
This creates the policy.
To activate the trade review policy

1. Click the Activate button at the bottom of the draft Policy tab .
2. In the Policy Activation tab, click the Activate button to activate the Policy. The Policy takes
effect the next time the Daily Run is executed.
For additional information about using the Policy Manager, refer to your Risk Case Manager
Reference Guide.
Appendix A: Policy Manager Context
The following is the list of custom fields that are available for and mapped to the rule-authoring
context when using Policy Manager (for more information about Policy Manager and how to set
up rules, see Chapter 10: Setting Up Policy Manager Rules, page 236).
NOTES:
• The entire set is available in the Expression Builder only.
• These fields apply to the ACR, DAR and TRR model groups only.
Fields Common to All Policy Types

The following sections list Policy Manager context fields that are common to the ACR, DAR and
TRR model groups.
Account Data
Group name: Account.
Account Basic Data

The basic data of the current account.
Attribute Name FDM Attribute Data Type UDM Table UDM attribute
Account Key Account_Key Char(50) ACCOUNT ACCOUNT_KEY
Account Short Account_Short_Name Char(50) ACCOUNT ACCOUNT_NAME

Name
Acct Category Cd Acct_Category_Cd Char(20) ACCOUNT ACCOUNT_CATEGORY_

CD
Acct Acct_Classification_C Char(20) ACCOUNT ACCOUNT_CLASSIFICAT

Classification Cd d ION_CD
Acct Close Date Acct_Close_Date Date ACCOUNT EXPIRATION_DATE
Acct Curr Credit Acct_Curr_Credit_Li Double ACCOUNT ACCT_CURR_CREDIT_LI

Limit mit MIT
Acct Curr St Acct_Curr_St_Accou Double ACCOUNT ACCT_CURR_ST_ACCO

Account Activity nt_Activity UNT_ACTIVITY
Acct Curr St Acct_Curr_St_Accou Double ACCOUNT ACCT_CURR_ST_ACCO

Account Value nt_Value UNT_VALUE
Acct Curr St Acct_Curr_St_Liquid_ Double ACCOUNT ACCT_CURR_ST_LIQUID

Liquid Net Worth Net_Worth _NET_WORTH
Acct Curr St Total Acct_Curr_St_Total_ Double ACCOUNT ACCT_CURR_ST_TOTAL

Net Worth Net_Worth _NET_WORTH
Acct Currency Cd Acct_Currency_Cd Char(20) ACCOUNT ACCT_CURR_CD
Acct First Name Acct_First_Name Char(50) ACCOUNT ACCOUNT_FIRST_NAME
Acct Last Name Acct_Last_Name Char(50) ACCOUNT ACCOUNT_LAST_NAME
Acct Maiden Acct_Maiden_Name Char(50) ACCOUNT ACCOUNT_MAIDEN_NA
Name ME
Acct Main Acct_Main_address Char(50) ADDRESS ADDRESS_LINE_1

address
Acct Middle Acct_Middle_Name Char(50) ACCOUNT ACCOUNT_MIDDLE_NAM

Name E
Acct Num Acct_Num Char(50) ACCOUNT ACCOUNT_NUMBER
Acct Open Date Acct_Open_Date Date ACCOUNT EFFECTIVE_DATE
Acct Other Name Acct_Other_Name Char(50) ACCOUNT ACCOUNT_OTHER_NAM

E
Acct Status Cd Acct_Status_Cd Char(20) ACCOUNT ACCOUNT_STATUS_CD
Acct Type Cd Acct_Type_Cd Char(20) ACCOUNT ACCOUNT_TYPE_CD
Additional Invest Additional_Invest_Obj Char(20) ACCOUNT INVESTMENT_OBJECTIV

Objective 1 ective_1 E_1_CD


Agg Unit Agg_Unit_Category Char(50) ACCOUNT AGG_UNIT_CATEGORY_I

Category D
Account Agg Unit Agg_Unit_Cd Char(20) ACCOUNT AGG_UNIT_CD

Cd
Approve Date Approve_Date Date ACCOUNT APPROVE_DATE
Base Curr Credit Base_Curr_Credit_Li Double ACCOUNT BASE_CURR_CREDIT_LI

Limit mit MIT
Base Curr St Base_Curr_St_Accou Double ACCOUNT BASE_CURR_ST_ACCOU

Account Activity nt_Activity NT_ACTIVITY
Base Curr St Base_Curr_St_Accou Double ACCOUNT BASE_CURR_ST_ACCOU

Account Value nt_Value NT_VALUE
Base Curr St Base_Curr_St_Liquid Double ACCOUNT BASE_CURR_ST_LIQUID

Liquid Net Worth _Net_Worth _NET_WORTH
Base Curr St Base_Curr_St_Total_ Double ACCOUNT BASE_CURR_ST_TOTAL

Total Net Worth Net_Worth _NET_WORTH
Account Base Base_Currency_Cd Char(20) ACCOUNT ACCT_CURR_CD

Currency Cd
Account Branch Branch_Key Char(50) ACCOUNT HOLDING_BRANCH_KEY

Key
Business Owner Business_Owner_Na Char(50) PARTY If
Name me party_type.IS_INDIVIDUAL
= 1, FIRST_NAME|| ' '||
LAST_NAME
Else
PARTY_NAME
Business Unit Business_Unit Char(50) ACCOUNT BUSINESS_UNIT_CD
Channel Of Channel_Of_Account Char(20) ACCOUNT ACCOUNT_OPENING_CH

Account Opening _Opening_Cd ANNEL_CD
Cd
Clearing Firm ID Clearing_Firm_ID Char(20) ACCOUNT CLEARING_FIRM_ID
Client Client_Sophistication Char(20) ACCOUNT CLIENT_SOPHISTICATIO

Sophistication Cd _Cd N_CD
Commission Commission_Group_ Char(20) ACCOUNT COMMISSION_GROUP_C

Group Cd Cd D
Custom Field 1 Custom_Field_1 Char(50) Not exists in

UDM

UDM

UDM

UDM

UDM
Custom Risk Custom_Risk_Factor Char(50) RISK_LEVEL RISK_FACTOR_1

Factor1 1

Factor2 2

Factor3 3

Factor4 4
Disbursment Disbursment_Amount Double ACCOUNT DISBURSMENT_AMOUN

Amount T
Dividend Dividend_Indicator Boolean ACCOUNT If IS_DIVIDEND = 1, 1,0

Indicator
Employee Key Employee_Key Char(50) ACCOUNT EMPLOYEE_KEY
Face Amount Face_Amount Double ACCOUNT FACE_AMOUNT
Fee Based Enroll Fee_Based_Enroll_D Date ACCOUNT FEE_BASED_ENROLL_D

Date ate ATE
Fee Based Term Fee_Based_Term_D Date ACCOUNT FEE_BASED_TERM_DAT
Date ate E
Household Id Household_Id Char(50) ACCOUNT HOUSEHOLD_ID
Initial Source Of Initial_Source_Of_Fu Char(20) ACCOUNT INITIAL_SOURCE_OF_FU

Funds Cd nds_Cd ND_CD
Investment Investment_Advise_I Char(20) ACCOUNT CAST(IS_SEEKING_INVE

Advise Ind nd STMENT_ADVICE AS
VARCHAR2 (50))
Investment Investment_Experien Double ACCOUNT INVESTMENT_EXPERIEN

Experience COM ce_COM CE_COM

Experience ce_Default CE_DEFAULT
Default

Experience EQ ce_EQ CE_EQ

Experience FI ce_FI CE_FI

Experience Forex ce_Forex CE_FOREX

Experience MUF ce_MUF CE_MUF

Experience OPT ce_OPT CE_OPT
Investment Investment_Objective Char(20) ACCOUNT INVESTMENT_OBJECTIV

Objective Cd _Cd E_CD
Investment Time Investment_Time_Ho Double ACCOUNT INVESTMENT_TIME_HO

Horizon rizon RIZON
Is Active Is_Active Boolean ACCOUNT IS_ACTIVE
Is Anonymous Is_Anonymous_Acct Boolean ACCOUNT IS_ANONYMOUS_ACCO

Acct UNT
Is Discretionary Is_Discretionary Boolean ACCOUNT IS_DISCRETIONARY
Is DVP RVP Is_DVP_RVP Boolean ACCOUNT IS_DVP_RVP
Is Employee Is_Employee_Accoun Boolean ACCOUNT IS_EMPLOYEE_ACCOUN

Account t T
Is Error Account Is_Error_Account Boolean ACCOUNT IS_ERROR_ACCOUNT
Is Foreign Is_Foreign_Financial Boolean ACCOUNT IS_FOREIGN_FINANCIAL

Financial Org _Org _ORG
Is Institutional Is_Institutional Boolean ACCOUNT IS_INSTITUTIONAL
Is Managed Is_Managed_Account Boolean ACCOUNT IS_MANAGED_ACCOUNT

Account
Is Margin Acct Is_Margin_Acct Boolean ACCOUNT IS_MARGIN_ACCOUNT
Is Non Physical Is_Non_Physical_Add Boolean ACCOUNT IS_NON_PHYSICAL_ADD

Address ress RESS
Is Non Resident Is_Non_Resident Boolean ACCOUNT IS_NON_RESIDENT
Is Online Account Is_Online_Account Boolean ACCOUNT IS_ONLINE_ACCOUNT
Is Option Is_Option_Approved Boolean ACCOUNT IS_OPTION_APPROVED

Approved
Is Passively Is_Passively_Manage Boolean ACCOUNT IS_PASSIVELY_MANAGE

Managed d D
Is PEP Is_PEP Boolean ACCOUNT IS_PEP
Is QIB Is_QIB Boolean ACCOUNT IS_QIB
Is Single Joint Is_Single_Joint Boolean ACCOUNT IS_SINGLE_JOINT
Is Soft Dollar Is_Soft_Dollar Boolean ACCOUNT IS_SOFT_DOLLAR
Is Street Side Is_Street_Side Boolean ACCOUNT IS_STREET_SIDE
Is Suspect Is_Suspect Boolean ACCOUNT IS_SUSPECT
Is Trading Is_Trading_Experienc Boolean ACCOUNT IS_TRADING_EXPERIEN

Experience e CE
Is VA Account Is_VA_Account_Flag Boolean ACCOUNT IS_VA_ACCOUNT_FLAG

Flag
Issue State Issue_State Char(50) ACCOUNT ISSUE_STATE_PROVINC

E_CD
Issuer Id Issuer_Id Char(20) ACCOUNT ISSUER_KEY
Last Review Date Last_Review_Date Date ACCOUNT LAST_REVIEW_DATE
Liquidity Needs Liquidity_needs Double ACCOUNT LIQUIDITY_NEEDS
Mail Code Mail_Code Char(20) ACCOUNT MAIL_CODE_CD
Master Account Master_Account_Key Char(50) ACCOUNT MASTER_ACCOUNT_KE

Key Y
Maturity Date Maturity_Date Date ACCOUNT MATURITY_DATE
Number Of Loans Number_Of_Loans Integer ACCOUNT NUMBER_OF_LOANS
Ongoing Source Ongoing_Source_Of_ Char(20) ACCOUNT ONGOING_SOURCE_OF

Of Funds Cd Funds_Cd _FUND_CD
Option Approval Option_Approval_Lev Char(20) ACCOUNT OPTION_APPROVAL_LE

Level Cd el_Cd VEL_CD
Payment Due Payment_Due_Date Date ACCOUNT PAYMENT_DUE_DATE

Date
Payment Payment_Schedule Char(50) ACCOUNT PAYMENT_SCHEDULE_I

Schedule D
Premium Amount Premium_Amount Double ACCOUNT PREMIUM_AMOUNT
Primary Party Primary_Party_Key Char(50) ACCOUNT PRIMARY_PARTY_KEY

Key
Primary Primary_Representati Char(50) ACCOUNT PRIMARY_REPRESENTA

Representative ve_Key TIVE_KEY
Key
Account Region Region_Cd Char(20) ACCOUNT REGION_CD

Cd
Reinstatement Reinstatement_Date Date ACCOUNT REINSTATEMENT_DATE

Date
Risk Level Risk_Level Char(50) RISK_LEVEL CAST(RISK_LEVEL_VAL

UE AS VARCHAR2 (50))
Risk Tolerance Risk_Tolerance_Cd Char(20) ACCOUNT RISK_LEVEL_CODE_CD

Cd
Row Update Date Row_Update_Date Date ACCOUNT BATCH_DATE_TIME
Sector Cd Sector_Cd Char(50) ACCOUNT SECTOR_CD
Account Split RR Split_RR_Ind Char(20) ACCOUNT

Ind
State 529 Cd State_529_Cd Char(20) ACCOUNT STATE_529_CD
Surrender Surrender_Amount Double ACCOUNT SURRENDER_AMOUNT

Amount
Surrender Surrender_Penalty_A Double ACCOUNT SURRENDER_PENALTY_

Penalty Amount mount AMOUNT
Tax Bracket Cd Tax_Bracket_Cd Char(20) ACCOUNT TAX_BRACKET_CD
Tenant Cd Tenant_Cd Char(20) ACCOUNT If TENANT_CD = N/A,

NOTE: Default, TENANT_CD
When in UDM
mode, this must
be N/A.
Verification Date Verification_Date Date ACCOUNT VERIFICATION_DATE
Verification Verification_Status Char(50) ACCOUNT VERIFICATION_STATUS_

Status ID
Account Related Tables
Net Equity balance_base_curr_v Double BALANCES ACCT_CURR_VALUE

alue
Tax Percent Tax_bracket.tax_perc double TAX_BRACKE TAX_PERCENT

ent T
Custom Fields UDT Only in UDM
Party
Group name: Party
Attribute Name FDM Attribute Data Type UDM Table UDM Attribute
Annual Income Party.base_curr_ double PARTY BASE_CURR_ANNUA

annual_income L_INCOME
Birth Date Party.birth_incor date PARTY BIRTH_INCORP_DAT

p_date E
Address Type party_address. Char(20) ENTITY_ADD ADDRESS_RELATION

address_type_cd RESS_RELAT _TYPE_CD
ION
Account Profile Data – Set

Group name: Account Profile
A set of calculations from the sp_account_profile table; contains data for the 13 last months for
the current Account Key.
Notice that there is a row per each month – at the end of the month.
Display Name Attribute Data Type
profile date profile_date Date
account key account_key Char(50)
production unit number production_unit_number Char(50)
risk tolerance calc risk_tolerance_calc Double
margin debt margin_debt Double
net equity net_equity Double
branch key branch_key Char(50)
total commission calc total_commission_calc Double
total cost calc total_cost_calc Double
total purchases calc total_purchases_calc Double
equity change calc equity_change_calc Double
total errors calc total_errors_calc Double
adjusted net equity calc adjusted_net_equity_calc Double
account number change account_number_change Double
total trades total_trades Integer
total sales calc total_sales_calc Double
total trans in total_trans_in Double
total trans out total_trans_out Double
total purchases no total_purchases_no Integer
Display Name Attribute Data Type
total sales no total_sales_no Integer
total net worth total_net_worth Double
liquid net worth liquid_net_worth Double
total risk score total_risk_score Double
total commission waived total_commission_waived Double
total fee charged total_fee_charged Double
total cash deposit total_cash_deposit Double
total sec deposit total_sec_deposit Double
total cash withdrawls transfer total_cash_withdrawls_transfer Double
total sec withdrawls transfer total_sec_withdrawls_transfer Double
adj net equity 2nd period adj_net_equity_2nd_period Double
adj net equity 3rd period adj_net_equity_3rd_period Double
total high risk security pos total_high_risk_security_pos Double
investment objective investment_objective Char(50)
age age Integer
annual income annual_income Double
risk tolerance cd risk_tolerance_cd Char(20)
account household id account_household_id Char(50)
account close date account_close_date Date
account open date account_open_date Date
account status account_status Char(255)
count of va purchases count_of_va_purchases Double
count of va sales count_of_va_sales Double
Custom Risk Factor1 Custom_Risk_Factor1 Char(50)
Additional Invest Objective 1 Additional_Invest_Objective_1 Char(50)
Broker Info
Group name: Representative
Representative (Including License and Broker State Registrations)

Basic information about the current representative.
Representative Representative_Key Char(50) REPRESENTATIVE REPRESENTATIVE_KEY

Key
Representative Branch_Key Char(50) REPRESENTATIVE BRANCH_KEY

Branch Key
Employee Id Employee_Id Char(50) REPRESENTATIVE EMPLOYEE_ID
Representative Representative_Na Char(50) REPRESENTATIVE FIRST_NAME

Name me +
LAST_NAME
Branch Info
Group Name: Branch
The basic information of the current branch.
Branch Key Branch_Key Char(50) BRANCH BRANCH_KEY
Branch Cd Branch_Cd Integer BRANCH BRANCH_NUMBER
Branch Name Branch_Name Char(50) BRANCH BRANCH_NAME
Branch Country Cd Country_Cd Char(20) BRANCH COUNTRY_CD
Branch Region Cd Region_Cd Char(20) BRANCH REGION_CD
Alerts Data
Process Arguments
Group name: Process Argument
Display Name Type
Date Date
Region String
Segment String
Focus Issues – Set

Group name: Focus Issues
Rules detected:
Display Name Type
Rule Name String
Description String
Score Double
Scenario Detected See table below

Each rule detected has detected Scenarios:
Display Name Type
Scenario String
Scenario description String
Current value String
Check value String
Score Double
Fields Common to ACR and DAR Only
Prior Alerts
Group name: Prior Alerts
Display Name Type
Number of Prior alert by integer

Account
Number of Prior alert by Broker integer
Account Calculations
Monthly (Account Review Only)

Attribute Name Data Type
Loss in Equity – 1 month Double
Loss in Equity – 3 months Double
Loss in Equity – 12 months Double
Turn Over Rate – 1 month Double
Turn Over Rate – 3 months Double
Turn Over Rate – 12 months Double
Commission Equity Ratio – 1 Double

month

months

months
Cost Equity Ration – 1 month Double
Cost Equity Ration – 3 months Double
Cost Equity Ration – 12 months Double
Sales Purchase Ratio – 1 month Double
Sales Purchase Ratio – 3 months Double
Sales Purchase Ratio – 12 Double

months
Sales – 1 month Double
Sales – 3 months Double
Sales – 12 months Double
Adjusted Net Equity – 1 month Double
Adjusted Net Equity – 3 months Double
Adjusted Net Equity – 12 months Double
Loss in Equity Monetary – 1 Double

month

months

months
Account Tolerance to Risk Double
Portfolio Risk Double
Daily (Daily Account Review Only)

Sum Trades Amount Double
Count Trades Double
Sum Trx Amount Double
Count Transactions Double
Sum Transfers Amount Double
Count Transfers Double
Count VA Trx Double
Account Portfolio Risk Double
Account Tolerance to Risk Double
MFB Trades Fee Double
MFB Trades Amount Double
MFB As of Trades Amount Double
Sum Net equity for Household Double
Concentration Criteria
Concentration calculations for the current month in ACR and daily in DAR.
Attribute Name Data Type Example
Criteria Account Key Char The account key (for example 123)
Criteria Char The criteria (for example Single Security )
Criteria Value Char The product key (for example IBM)
Attribute Name Data Type Example
Denominator Char The Denominator (for example net equity)
Value Decimal The value of the Criteria divided by the Denominator

(for example 13)
Criteria Options:
Code Description
OSCP Overall Securities in Complex Products List
OWL3 Overall Securities in Watch List 3
HYB High-Yield Bonds
LowP Low Priced Securities
OLowP Overall Low Priced Securities
Reg Region
Co Country
Is Issuer
Sec Sector
SS Single Security
SecT Security Type
OLowP Overall Low Priced Securities
Positions Data – Set

Group Name: Positions
A set of current month positions for the current Account Key – ACR
A set of process date, (process date – 1) positions for the current Account Key – DAR
Attribute Name FDM Mapping UDM Table UDM Attribute
Account Key positions.account_key POSITION ACCOUNT_KEY
Product Key positions.product_key POSITION PRODUCT_KEY
Contract Key positions.contract_key POSITION CONTRACT_KEY
Long Short Ind positions.long_short_ind POSITION LONG_SHORT_CD
Quantity positions.quantity POSITION QUANTITY
Price positions.base_currency POSITION BASE_CURR_PRICE

_price
Underlying Security product.underlying_sec_ PRODUCT UNDERLYING_SEC_P

product_key RODUCT_KEY
where
positions.product_key=p
roduct.product_key
Product Beta Product. product_beta PRODUCT PRODUCT_BETA

where
roduct.product_key
SP Rating Product. sp_rating PRODUCT SP_RATING_ID

where
roduct.product_key
Moody Rating Product. moody_rating PRODUCT MOODY_RATING_ID

where
roduct.product_key
Product Type Cd Product. PRODUCT ASSET_CLASS_CD

product_type_cd
where
roduct.product_key
Conversion Factor Product. PRODUCT CONTRACT_SIZE

conversion_factor
where
roduct.product_key
Product Classification Product. PRODUCT PRODUCT_CLASSIFIC

Cd product_classification_c ATION_CD
d
where
roduct.product_key
Account Currency where ACCOUNT ACCT_CURR_CD

positions.account_key=a
ccount.account_key
MF Rating Product. mf_rating PRODUCT FUND_RATING_ID

where
roduct.product_key
Is Active Product. is_active PRODUCT IS_ACTIVE

where
roduct.product_key
Is Derivative Product_Sub_Type. PRODUCT_SUB_TYPE IS_OPTION

Is_Option
where
roduct.product_key and
Product_Sub_Type.
Product_Sub_Type_Cd
= product
.Product_Sub_Type_Cd
Call Put Ind Product. call_put_ind PRODUCT CALL_PUT_CD

where
roduct.product_key
VA Account Flag Account. ACCOUNT IS_VA_ACCOUNT_FLA

is_va_account_flag G
where
ccount.account_key
Master Account Key Account. ACCOUNT MASTER_ACCOUNT_K

master_account_key EY
where
ccount.account_key
Contract Number Contract. CONTRACT CONTRACT_NUMBER

contract_number
When positions.
contract_key =
Contract.contract_key
Composite Product Id Positions. POSITION COMPOSITE_PRODUC

composite_product_id T_ID
Composite Product flag Product.composite_prod Product.INSTRUMENT_

uct_flag TYPE_CD = 'CMP' then
'Y' else 'N' end as
composite_product_flag
Product Name Product. product_name PRODUCT PRODUCT_NAME

where
roduct.product_key
Currency Value Positions. POSITION BASE_CURR_CD

base_currency_value
Product Sector Product.product_sector PRODUCT SECTOR_CD

where
roduct.product_key
Symbol Product. Symbol PRODUCT SYMBOL

where
roduct.product_key
TRR-Specific Fields
Time to Maturity Positions.Time_to_matu POSITION MATURITY_DATE

rity
Additions for DAR:

Position Type Cd Positions.position_type_ POSITION POSITION_TYPE_CD

cd
Region Cd Positions.region_cd POSITION REGION_CD
TRR-Specific Fields
Exchange
Group name: Exchange.
Exchange Exchange. Char(20) EXCHANGE COUNTRY_CD

Country country_cd
Is Session Exchange. Boolean EXCHANGE IS_SESSION_PE

is_session_per_ R_PRODUCT
product
Product Information
Group name: Product
Product
Product Key Product_Key Char(50) PRODUCT PRODUCT_KEY
Asset Type Ind Asset_Type_Ind Char(20) PRODUCT ASSET_CLASS_

CD
Call Put Ind Call_Put_Ind Char(20) PRODUCT CALL_PUT_CD
Commodity Cd Commodity_Cd Char(20) PRODUCT COMMODITY_P

RODUCT_KEY
Composite Composite_Prod Char(20) PRODUCT If

Product Flag uct_Flag INSTRUMENT_T
YPE_CD 'CMP' ,
'Y', 'N'
Conversion Conversion_Fac Double PRODUCT CONTRACT_SIZ

Factor tor E
TRR-Specific Fields
Product Country Country_Cd Char(20) PRODUCT COUNTRY_CD

Cd
Cusip Num Cusip_Num Char(50) PRODUCT CUSIP_ID
Custom Rating Custom_Rating Char(20) PRODUCT CUSTOM_RATIN

G_ID
Custom Rating Custom_Rating_ PRODUCT CUSTOM_RATIN

Type Type G_TYPE
Delivery End Delivery_End_D Date PRODUCT CONTRACT_EN

Day ay D_DATE
Delivery End Delivery_End_Ti Char(20) PRODUCT CONTRACT_EN

Time me D_DATE
Delivery Start Delivery_Start_ Date PRODUCT CONTRACT_ST

Day Day ART_DATE
Delivery Start Delivery_Start_T Char(20) PRODUCT CONTRACT_ST

Time ime ART_DATE
Expiration Date Expiration_Date Date PRODUCT MATURITY_DAT

E
Grade Grade Char(20) COMMODITY_P GRADE_CD

RODUCT
Holding Period Holding_Period_ Integer PRODUCT HOLDING_PERI

Days Days OD_DAYS
Investment End Investment_End Char(20) PRODUCT INVESTMENT_E

Type Ind _Type_Ind ND_TYPE_CD
Is Option Is_Option Boolean PRODUCT_SUB IS_OPTION

_TYPE
Location Cd Location_Cd Char(50) COMMODITY_P LOCATION_CD

RODUCT
Market Major Market_Major_In Char(20) PRODUCT MARKET_MAJO

Index Cd dex_Cd R_INDEX_CD
MF Family Cd MF_Family_Cd Char(20) PRODUCT FUND_FAMILY_

CD
MF Investment MF_Investment_ Char(20) PRODUCT FUND_INVESTM

Obj Cd Obj_Cd ENT_OBJ_CD
MF Load Cd MF_Load_Cd Char(20) PRODUCT FUND_LOAD_C

D
Mf Rating Mf_Rating Char(50) PRODUCT FUND_RATING_

ID
MF Share Class MF_Share_Clas Char(20) PRODUCT FUND_SHARE_

Cd s_Cd CLASS_CD
MF Type MF_Type Char(20) PRODUCT FUND_TYPE_C

D
TRR-Specific Fields
Moody Rating Moody_Rating Char(20) PRODUCT MOODY_RATIN

G_ID
Morning Star Morning_Star_R Char(20) PRODUCT MORNING_STA

Rating ating R_CATEGORY_
CD
Option Class Option_Class Char(50) PRODUCT OPTION_CLASS

_ID
Option Option_Designat Char(50) PRODUCT OPTION_DESIG

Designation ion NATION
Option Series Option_Series Char(50) PRODUCT OPTION_SERIE

S_ID
Outstanding Outstanding_Un Double PRODUCT NOTIONAL_OUT

Underlying derlying_Shares STANDING
Shares
Par Value Par_Value Double PRODUCT PAR_VALUE
Pricing Pricing Char(20) PRODUCT PRICING
Primary Primary_Exchan Char(20) PRODUCT PRIMARY_EXCH

Exchange ge ANGE_CD
Product Beta Product_Beta Double PRODUCT PRODUCT_BET

A
Product Product_Classifi Char(20) PRODUCT PRODUCT_CLA

Classification Cd cation_Cd SSIFICATION_C
D
Product Desc Product_Desc_L Char(255) PRODUCT PRODUCT_DES

Line 1 ine_1 C_LINE_1
Product Desc Product_Desc_L Char(255) PRODUCT PRODUCT_DES

Line 2 ine_2 C_LINE_2
Product Name Product_Name Char(255) PRODUCT PRODUCT_NAM

E
Product Sector Product_Sector Char(50) PRODUCT SECTOR_CD
Product Sub Product_Sub_Ty Char(20) PRODUCT PRODUCT_CLA

Type Cd pe_Cd SS_SUB_TYPE_
CD
Product Sub Product_Sub_Ty Char(50) PRODUCT PRODUCT_SUB

Type Desc pe_Desc _TYPE_CD
Product Type Cd Product_Type_C Char(20) PRODUCT ASSET_CLASS_

d CD
Strike Price Strike_Price Double PRODUCT ORIG_CURR_ST

RIKE_PRICE
SP Rating SP_Rating Char(20) PRODUCT SP_RATING_ID
Symbol Symbol Char(50) PRODUCT SYMBOL
TRR-Specific Fields
Underlying Sec Underlying_Sec Char(50) PRODUCT UNDERLYING_S

Product Key _Product_Key EC_PRODUCT_
KEY
Product Registration – Set

A set of product registrations to states.
Attribute FDM Attribute Data Type UDM Table UDM Attribute
Name
Product Product_Key Char(50) PRODUCT_REGISTRATION PRODUCT_KEY
Registration
Product
Key
Registered Registered_State_Cd Char(20) PRODUCT_REGISTRATION REGISTERED_STATE_PROVINCE_CD

State Cd
Product Risk Score

Security Risk Variance – calculated value uses the calculation’s definition
Trades Data
Group name: Trade
Trades Basic Data

The data of the current trade.
Trade Key Trade_Key Char(50) TRADE TRADE_KEY
Account Key Account_Key Char(50) TRADE ACCOUNT_KEY
Acct Curr Acct_Curr_Comis Double TRADE ACCT_CURR_CO

Comission sion_Waived MMISSION_WAIVE
Waived D
Acct Curr MF Acct_Curr_MF_Sa Double TRADE ACCT_CURR_MF_

Sales Chrg Amt les_Chrg_Amt SALES_CHRG_AM
OUNT
Acct Curr Net Acct_Curr_Net_A Double TRADE ACCT_CURR_NET

Amount mount _AMOUNT
Acct Curr Other Acct_Curr_Other_ Double TRADE ACCT_CURR_OTH

Fees Fees ER_FEES
Acct Curr Trade Acct_Curr_Trade_ Double TRADE ACCT_CURR_TRA

Price Price DE_PRICE
Acct Currency Acct_Currency_A Double TRADE ACCT_CURR_AMO

Amount mount UNT
Acct Currency Acct_Currency_C Double TRADE ACCT_CURR_CO

Commission ommission MMISSION
TRR-Specific Fields
Acct Currency Acct_Currency_M Double TRADE ACCT_CURR_MAR

Markup arkup KUP
Trade Agg Unit Agg_Unit_Cd Char(20) TRADE AGG_UNIT_CD

Cd
Automatic Trade Automatic_Trade_ Char(20) TRADE AUTOMATIC_TRA

Ind Ind DE_CD
Base Curr MF Base_Curr_MF_S Double TRADE BASE_CURR_MF_

Sales Chrg Amt ales_Chrg_Amt SALES_CHRG_AM
OUNT
Base Curr Net Base_Curr_Net_A Double TRADE BASE_CURR_NET

Base Curr Other Base_Curr_Other Double TRADE BASE_CURR_OTH

Fees _Fees ER_FEES
Base Curr Trade Base_Curr_Trade Double TRADE BASE_CURR_TRA

Price _Price DE_PRICE
Base Currency Base_Currency_A Double TRADE BASE_CURR_AMO

Amount mount UNT
Trade Base Base_Currency_C Char(20) TRADE BASE_CURR_CD

Currency Cd d
Base Currency Base_Currency_C Double TRADE BASE_CURR_COM

Commission ommission MISSION
Base Currency Base_Currency_ Double TRADE BASE_CURR_MAR

Markup Markup KUP
Business Date Business_Date Date TRADE BUSINESS_DATE
Commission Commission_Wai Double TRADE BASE_CURR_COM

Waived ved MISSION_WAIVED
Counterparty Counterparty_Cat Char(20) TRADE OPP_ACCOUNT_C

Category Cd egory_Cd ATEGORY_CD
Covered Ind Covered_Ind Char(50) TRADE COVERED_CD
Direction Cd Direction_Cd Char(20) TRADE DIRECTION_CD
Discretionary ind Discretionary_ind Char(20) TRADE DISCRETIONARY_

CD
Exchange Cd Exchange_Cd Char(20) TRADE EXCHANGE_CD
Executer Id Executer_Id Char(50) TRADE EXECUTER_ID
Executer Party Executer_Party_K Char(50) TRADE EXECUTER_PART

Key ey Y_KEY
Executing Executing_Repres Char(50) TRADE EXECUTING_TRA

Representative entative_Key DER_KEY
Key
Execution Execution_Branch Char(50) TRADE EXECUTION_BRA

Branch Key _Key NCH_KEY
TRR-Specific Fields
Execution Execution_Organi Char(50) TRADE EXECUTION_ORG

Organization zation_Key ANIZATION_KEY
Key
Is Cancel Is_Cancel Boolean TRADE TRANSACTION_A

CTION_CD
Is Correct Is_Correct Boolean TRADE TRANSACTION_A

CTION_CD
Is MF Free Is_MF_Free_Exch Boolean TRADE IS_MF_FREE_EXC

Exchange ange HANGE
Leaves Quantity Leaves_Quantity Double TRADE LEAVES_QUANTIT

Y
Option Option_Exercised Boolean TRADE IS_OPTION_EXER

Exercised CISED
Order Entry Order_Entry_Date Date TRADE ORDER_ENTRY_D

Date Time _Time ATE_TIME
Order Id Order_Id Char(50) TRADE ORDER_ID
Order Key Order_Key Char(50) TRADE ORDER_VERSION

_KEY
Order Type Cd Order_Type_Cd Char(20) TRADE ORDER_TYPE_CD
Orig Curr MF Orig_Curr_MF_Sa Double TRADE ORIG_CURR_MF_

Sales Chrg Amt les_Chrg_Amt SALES_CHRG_AM
OUNT
Orig Curr Net Orig_Curr_Net_A Double TRADE ORIG_CURR_NET

Orig Curr Other Orig_Curr_Other_ Double TRADE ORIG_CURR_OTH

Fees Fees ER_FEES
Orig Curr Trade Orig_Curr_Trade_ Double TRADE ORIG_CURR_TRA

Price Price DE_PRICE
Original Original_Currency Double TRADE ORIG_CURR_AMO

Currency _Amount UNT
Amount
Original Original_Currency Char(20) TRADE ORIG_CURR_CD

Currency Cd _Cd
Original Original_Currency Double TRADE ORIG_CURR_COM

Currency _Commission MISSION
Commission
Original Original_Currency Double TRADE ORIG_CURR_MAR

Currency _Markup KUP
Markup
Original Order Id Original_Order_Id Char(50) TRADE ORIG_ORDER_ID
Original Trade Id Original_Trade_Id Char(50) TRADE ORIG_TRADE_ID
TRR-Specific Fields
Trade Product Product_Key Char(50) TRADE ORIG_TRADE_ID

Key
Trade Region Region_Cd Char(20) TRADE REGION_CD

Cd
Settle Date Settle_Date Date TRADE SETTLE_DATE
Trade Split RR Split_RR_Ind Char(20) TRADE SPLIT_RR_CD

Ind
Tenant Cd Tenant_Cd Char(20)

NOTE:
When in UDM
mode, this must
be N/A.
Trade Date Trade_Date_Time Date TRADE EXECUTION_LOC

Time AL_DATE_TIME
Trade Id Trade_Id Char(50) TRADE TRADE_ID
Trade Quantity Trade_Quantity Double TRADE INSTRUMENT_QU

ANTITY
Trans Type Cd Trans_Type_Cd Char(20) TRADE TRANSACTION_C

ODE_CD
Custom Small Custom_Small_str String(50) Not exists in UDM

String 1 ing_1

String 2 ing_2

String 3 ing_3
Custom Long Custom_Long_stri String(255) Not exists in UDM

String 1 ng_1

String 2 ng_2

String 3 ng_3
Custom Double Custom_Double_ double Not exists in UDM

1 1
Custom Double Custom_Double_ double Not exists in UDM

2 2
Custom Integer Custom_Integer_1 Integer Not exists in UDM

1
Custom Integer Custom_Integer_2 Integer Not exists in UDM

2
Custom Boolean Custom_boolean_ Boolean Not exists in UDM

1 1
DAR-Specific Fields
Custom Boolean Custom_boolean_ Boolean Not exists in UDM

2 2
Custom Trade UDT Only on UDM

Details
Representative License – Set (Rep_Licensing)

A set of licenses of the current representative.
License Cd License_Cd Char(50) REP_LICENSING LICENSE_CD
Representative Key Representative_Key Char(50) REP_LICENSING RERESENTATIVE_KEY
State Cd State_Cd Char(20) REP_LICENSING STATE_CD
License Description License_Cd Char(50) REP_LICENSING LICENSE_CD
Broker State Registration Split – Set (Broker State Registration)

A set of the state registration of the current representative (from the logic).
Attribute Name FDM Attribute Data UDM Table UDM Attribute

Type
representative_key representative_key String BROKER_STATE_RE REPRESENTATIVE_K
GISTRATION EY
state_cd state_cd String BROKER_STATE_RE REGISTERED_STATE

GISTRATION _PROVINCE_CD
state_name state_name String STATE_PROVINCE STATE_PROVINCE_N

AME
representative_name representative_name String REPRESENTATIVE FIRST_NAME

+
LAST_NAME
employee_id employee_id String REPRESENTATIVE EMPLOYEE_ID
DAR-Specific Fields
Risk Level
Group: Risk Level
ENTITY_KEY ENTITY_KEY Char(255) RISK_LEVEL ENTITY_KEY
ENTITY_TYPE_ ENTITY_TYPE_C Char(50) RISK_LEVEL ENTITY_TYPE_CD

CD D
DAR-Specific Fields
RISK_LEVEL_V RISK_LEVEL_VA Number(15 RISK_LEVEL RISK_LEVEL_VALUE

ALUE LUE ,3)
RISK_LEVEL_C RISK_TYPE_CD Char(50) RISK_LEVEL RISK_TYPE_CD

D
PREVIOUS_RI PREVIOUS_RISK Number(15 This attribute contains the

SK_LEVEL_VA _LEVEL_VALUE ,3) RISK_LEVEL_VALUE from the previous run.
LUE This is not a physical field in the UDM or FDM.
If this is the first run and there is no previous
value, this attribute will return -1.
The following table lists domain values that are relevant to the fields in the above table.
RISK_TYPE_CD ENTITY-TYPE_CD RISK_TYPE_DESC
SP_CSH_T ACCOUNT Cash target

SP FI_T ACCOUNT Fixed Income target
SP_EQ_T ACCOUNT Equity target
SP_CSH_MAX ACCOUNT Cash Max Value in Range
SP CSH_MIN ACCOUNT Cash Min Value in Range
SP_EQ_MAX ACCOUNT Equity Max Value in Range
SP_EQ_MIN ACCOUNT Equity Min Value in Range
SP_FI_MAX ACCOUNT Fixed Income Max Value in Range
SP_FI_MIN ACCOUNT Fixed Income Min Value in Range
SP_LOW ACCOUNT Low Risk Products Account Target
SP_MEDIUM ACCOUNT Medium Risk Products Account Target
SP_HIGH ACCOUNT High Risk Products Account Target
SP_LOW PRODUCT Product Low Risk
SP_MEDIUM PRODUCT Product Med Risk
SP_HIGH PRODUCT Product High Risk
ABOUT NICE ACTIMIZE
NICE Actimize is the largest and broadest provider of financial crime, risk and compliance solutions for regional and
global financial institutions, as well as government regulators. Consistently ranked as number one in the space, NICE
Actimize experts apply innovative technology to protect institutions and safeguard consumers and investors assets by
identifying financial crime, preventing fraud and providing regulatory compliance. The company provides real-time, cross-
channel fraud prevention, anti-money laundering detection, and trading surveillance solutions that address such
concerns as payment fraud, cybercrime, sanctions monitoring, market abuse, customer due diligence and insider trading.
NICEACTIMIZE.COM INFO@NICEACTIMIZE.COM NICEACTIMIZE.COM/BLOG @NICE_ACTIMIZE LINKEDIN.COM/COMPANY/ACTIMIZE

Actimize FMC SP 4 - 2 - 0 Solution Guide PDF

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Actimize FMC SP 4 - 2 - 0 Solution Guide PDF

Uploaded by

Copyright:

Available Formats

Actimize

Sales Practices (SP) and

August 19, 2018

Document Version 4.2.0.10

Chapter 2: Account Review (ACR) Model Group ....................................................................... 18

Actimize Sales Practices (SP) and Suitability Solution Guide Page i

2.3.1 Account Attributes ........................................................................................................... 23

Chapter 3: Daily Account Review (DAR) Model Group............................................................... 60

Actimize Sales Practices (SP) and Suitability Solution Guide Page ii

3.3.12 Include List (DAR-INC) ................................................................................................. 121

Chapter 4: Trade Review (TRR) Model Groups ....................................................................... 132

Chapter 5: Trade Blotter .......................................................................................................... 184

5.1 Overview .................................................................................................................................... 184

Chapter 6: Account Search ...................................................................................................... 201

Chapter 7: Risk-Related Calculations ...................................................................................... 202

Actimize Sales Practices (SP) and Suitability Solution Guide Page iv

7.4.3 Multiplier Risk ............................................................................................................... 219

Chapter 8: Scoring Algorithms ................................................................................................. 224

Chapter 9: Policy Manager ...................................................................................................... 226

Actimize Sales Practices (SP) and Suitability Solution Guide Page v

9.9.1 Is In Trade/Account Review List/Daily Account Review List ........................................ 232

Chapter 10: Setting Up Policy Manager Rules ........................................................................... 236

Appendix A: Policy Manager Context ......................................................................................... 253

Actimize Sales Practices (SP) and Suitability Solution Guide Page vi

1.2 What New in This Version

1.3 About the Actimize Sales Practices (SP) and Suitability

1.4 SP Solution Models

1.4.1 Account Search (ACS) Module

1.4.2 Trade Blotter (TRB) Module

1.5 Standard Features

1.6 Solution Methodology

1.6.1 Lines of Business

1.6.2 Model Flexibility

1.7 About Scoring Algorithms

1.8 Alert Consolidation

1.9 Issue Suppression

1.9.1 Suppress Threshold

1.9.2 Suppress Previous Issues Logic

1.9.3 Regular Thresholds

Suppress Categories Description Format Value

% Change in Overall Portfolio Minimal % change in portfolio value Number 30%

1.10 Actimize Risk Case Manager (RCM)

1.11 The Broker Risk Dashboard

1.11.1 Overview of the Dashboard

1.11.2.1 Broker Risk

1.11.2.2 Brokers Profile Deviation

1.11.3 Using the Filtering Pane

1.11.4 Dashboard Toolbox

The following table describes the Dashboard Toolbox elements.

Reverts to an empty display

Reloads the display in its current settings

Pause Freezes any selection until you click Resume

Allows sharing the display settings via the following options:

Sets the display to full screen

AIS Actimize Intelligence Server

ASF Additional score factor

BAC B&C Share Analysis

BOM Branch Office Manager

BSB Financial Consultant Qualifications (State & Product Qualification)

BSS State Blue Sky of Security (Product Registration)

CER Cost to Equity Ratio

CFR Commission to Fee Ratio

COR Commission to Equity Ratio