FIXED INCOME HAIRCUT SYSTEM FACT SHEET

LDB Consulting has developed a PC based Fixed Income Haircut program which computes capital charges for debt securities as defined in SEC rule 15c3-1. Since 1998 it has been licensed at over 62 sites.

The system attempts to optimize by pairing:

• Nonconvertible bonds against government bonds.
• Government bonds across categories against government bonds.
• Nonconvertible bonds across categories against nonconvertible bonds.
• At the users option, securities can now ONLY be hedged against other securities of the same currency.
  

The system produces numerous reports. Contact us for sample reports including:

• Summary report by security type
• Bond Pairing/Detail report showing each pairing involving investment grade bonds and/or government bonds.
• Netting report listing all long and short positions in the same security
• Reconciliation report accounting for long and short values from each individual supporting report.
• Reports detailing bona fide convertible arb relief, Paragraph J charges, portfolio and undue concentration charges, failure to deliver securities (including customer fails), TBA relief and non-investment grade securities. 
• Unhedged Currency Risk on foreign securities.
  
• ABS Liquidity Charge report.
  

Users may:

• Take advantage of relief given to FDIC-guaranteed corporate bonds.
  
• Utilize ratings to assist the system in deriving the proper corporate haircut percentages.
• Provide extra information so that the system can determine marketability and Pari Passu relief.
  
• Simulate and/or correct positions and recalculate capital requirements.
• Indicate eligibility for government haircut reduction as a primary government dealer.
• Define groups of accounts and compute haircuts for these defined entities.
• Run the program interactively or set it up to run untended.
• Apply bona fide arbitrage treatment to convertible securities.
• Segregate end of month data for FOCUS while continuing to compute daily charges.
• Export database files to a CSV format.
• Generate reports in Adobe PDF format (Adobe Acrobat is required).