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 01/27/2010 An overview of the risk-based haircut methodology along with file layouts and calculation examples. The record layouts have been updated to reflect the recommendations of the Options Symbology Initiative. In addition to the current versions of the files, OSI compliant versions of the RBH files will be available in July of 2008. Visit the Options Symbology Initiative area for more information on milestones and pertinent dates. |
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| RBH Offsets Matrix - Updated 03/09/2010 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 03/09/2010 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 09/05/2008 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 05/30/2008 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 03/09/2010 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 02/05/2010 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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