The Weaver™ nets positions, analyzes the remaining stocks and derivatives and creates as many baskets as possible from the stocks. The Weaver™ can be run utilizing either of two methods to create baskets: the original method of focusing on the largest stock holding OR Target2 which focuses on the holding that can create the greatest number of baskets.

Both the netting of stocks and the method used for creation of baskets can make it difficult to create sector baskets that require 95% capitalization. At times, lower charges can be achieved by running the Weaver™ with Target2 on; other times the best result can be achieved by running with Target2 off; there are also times when it is best NOT to run the Weaver™ at all.

The Wrapper™ was developed to address these problems. In short, it divides all securities into 2 files: one file contains all potential sector baskets and their hedges (Sector file) and the other file contains all other securities (All Other file).

The Wrapper™ then automatically runs a total of 19 scenarios, including each of three scenarios (Weaver™ Target2 off; Weaver™ Target2 on; and no Weaver™) on the Sector file, the All Other file and the original position file. Each scenario for the Sector File is then combined with each scenario for the All Other File. The scenario that results in the LOWEST haircut is then run through one more time to generate final reports and exchange required position files.

The Wrapper™ also offers the user the ability in the final run to take naked stock and insert it into baskets that can benefit from these additional shares.

The user may disable any of the scenarios via the INI file.