RISK BASED HAIRCUT SYSTEM FACT SHEET

LDB Consulting has developed a PC based Risk Based Haircut (RBH) system that complies with the SEC amendment to the net capital rule (Release 34-38248) dated February 6, 1997. RBH was written at the request of a New York trading firm and has been licensed at over 110 trading and clearing firm sites.

The system requires positions from the user and P/L records from the OCC in formats described by the OCC in their latest 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.

The system will compute undue stock concentration charges and haircut naked long and short stock according to Paragraph J.

Single security futures are included in baskets as well as unhedged and undue concentration calculations.

Users may:

• Define convertible stocks and have the system analyze the benefits of bona fide arbitrage treatment. Unconverted convertibles may be haircut at user-defined rates.
• Simulate and/or correct positions and recalculate capital requirements.
• Run the program interactively or set it up to run untended in batch mode.
• Export the data files which build the primary system reports to CSV files for use by other applications.
• Identify non-RBH securities via user-defined security type and have haircuts computed for them.
• Define groups of accounts and compute haircuts for these defined entities.
• Utilize user-generated theoretical values to generate Intraday Haircut charges.

RBH also supports separately priced, add-on modules including: Basket Weaver™ to optimize basket haircut charges; OTC to compute charges on naked OTC options and OTC options hedged by common stock and/or listed options; and the Wrapper™ which applies numerous combinations of system settings to separate portfolio elements to determine a lower haircut charge.