Risk Based Haircuts Documentation
The following is a list of Risk Based Haircuts documentation and their posted dates.
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| RBH Manual - Updated 05/12/2010 An overview of the risk-based haircut methodology along with file layouts and calculation examples. |
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| RBH Offsets Matrix - Updated 01/09/2012 A more detailed listing of risk-based haircut treatment for indexes, containing information on class and product group offsets as well as minimum haircuts and capitalization requirements. |
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| Valid RBH & CPM Basket Codes - Updated 01/13/2012 A Listing of valid basket codes being disseminated by OCC in the control records on the RBH profits & loss files. |
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| Index Futures in RBH - Updated 10/27/2011 A list of index futures allowed in RBH processing, along with their respective contract quantities and exchanges. |
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| Valid Currency Symbols - Updated 09/22/2010 A list of active currency option symbols, which are required to include spot currency positions in a haircut calculation. |
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| Enhanced Returns ETFs - Updated 11/11/2011 A list of exchange traded funds (ETFs) that are designed to achieve daily investment returns that correspond to 1) inverse daily returns of a benchmark index, 2) multiples of the return of the index, or 3) inverse multiples of the daily returns of the benchmark index. |
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| Bond and Treasury Debt ETFs - Updated 01/09/2012 A list of ETFs included in the Theoretical Profit and Loss Files for RBH and CPM that are based on government and corporate bonds as well as Treasury debt issues. |
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