New Features in RBH 11.0

User Defined Baskets (non OCC baskets)

Some ETFs may not have listed options and the OCC may not include a P basket record for them. Any ETFs that fall into this category would not be considered for basket hedging until now. Users may create unique basket IDs beginning with 5 or 7 (5LDB of 7LDB for example), manually add the ID to the Minimum Hedge file, and include the basket composition in the Basket Composition file. RBH will then consider the position for basket relief. A "5" indicates a 5% basket minimum, while a "7" indicates a 7.5% basket minimum. This functionality may be useful for foreign baskets.

Multi Commodity ETFs in DOCOMMOD

Improved handling of multi commodity ETFs - RBH will only hedge the amount of an ETF which can be fully hedged by spot or future positions on ALL of the underlying components. Any excess ETF which cannot be fully hedged will not be considered for the relief and will be charged as an unhedged position.

Weaver Capacity Increased

The maximum number of unique baskets handled by Weaver has been increased from 600 to 1,000 while the maximum number of composition file stock records has been increased from 100,000 to 200,000.

View Report Menu

Previously, the View Report menu appeared on screen as a grid. Vertical lines have been removed resulting in a more user friendly report.

MMAF Factor File Import

Users who may not have the ability to supply the MMAF for leveraged ETF products in the position file have always had the ability to manually enter the MMAF into the Special Data file. Now RBH is capable of importing the MMAF file which the OCC has made available. This file will be parsed and Special Data automatically updated with the MMAF. The file is available via the Internet at http://www.theocc.com/components/docs/risk-management/rbh/rbh_enhanced_return_etfs.xls

DOCOMMOD Uses MMAF

The commodity ETF hedging functionality has been altered to factor in the MMAF for leveraged ETFs when determining hedged or unhedged commodity ETFs and hedgers.

FIXSTRIKE INI Switch

In the past RBH identified instances where the user supplied strike price may have been off by a factor of 10 and automatically corrected the strike price. We believe, with the Option Symbology Initiative, this functionality is no longer relevant. As such, we have made the FIXSTRIKE functionality optional going forward. Users must indicate they want this functionality with the new INI switch. The default setting is N (or off).

Convert File

The factor field has been expanded to handle larger conversion factors. Think Berkshire Hathaway.