RISK BASED MARGIN™ SYSTEM FACT SHEET

LDB Consulting has developed a PC based Risk Based Margin™ (RBM) system that complies with the NYSE/CBOE portfolio margin/cross margin rules as amended in December, 2006.

The system requires positions from the user and P/L records from the OCC. RBM is compatible with the OCC position and profit/loss formats described in the latest OCC documentation.

If the user provides an optional basket composition file, the program will provide basket composition reports; assure that baskets and their hedging securities are properly matched; and ascertain that there is no 'extra stock' in the baskets.

Users may:

• Compute customer portfolio and cross-margin requirements for all securities labeled as eligible by the OCC within the OCC-provided theoretical profit and loss (PL) files
• Compute customer portfolio margin requirements for all margin eligible equity securities covered by the rule, including convertible securities
• Compute customer portfolio margin requirements for OTC derivatives
• Generate separate detail and summary PDF reports by account if the optional Report Splitter is licensed
• Simulate and/or correct positions within the application and recalculate capital requirements.
• Run the program interactively or in an untended mode
• Export tables used to build the primary system reports to comma delimited ASCII files for post-processing.
• Define groups of accounts and compute margin requirements for these defined entities.
• Utilize user-generated theoretical values to generate Intraday charges and/or House requirements.
• Generate house requirements by using a multiplicative factor based on stock symbol to the TIMS-based exchange requirements.
  

RBM also supports the separately priced, add-on module Basket Weaver™ to optimize basket haircut charges.