Risk Based Haircut

 

Risk Based Haircut has been a corner stone application for over two decades for any firm trading on margin. Last few years had brought in dramatic changes in the way regulators and trading firms perceive risk management especially from compliance perspective. Gone are the days of running overnight numbers or even intraday positions with overnight OCC PL numbers every hour. MiddleLink offers state of the art RBH engine capable of split second calculations with aggregation of intraday positions from various FIX drops and market data sources. RBH engine simulates the 10 PL scenarios for equity, equity/index options, futures and future options, with considerations of intraday underlying price movement, volatility, interest rate and dividend. Our test run for the last 4+ years indicate a margin of error of less than 0.3% in total haircut numbers with simulated real time model vs OCC overnight for same data. RBH engine can create reports every one minute interval. Reports are archived at server and can be used for any regulatory audit. Our interactive Desktop UI provides sophisticated reports with drill down capabilities from summary to position level details. We support the latest FIXML specification from OCC (http://theocc.com/risk-management/rbh/). Reflecting the strength of our system architecture, RBH can be deployed in a multitude of configurations to best suit the client’s requirements:

 

  • White glove service
    • Overnight position files from multiple Primes
    • Real time drops from various OMS through FIX drops
    • Market data from Activ or other source
    • Overnight reference data auto loaded
    • Reports in our servers archived and available through UI over HTTPS
  • Fully hosted turnkey installation with API
    • Aggregated position feed with real time market data through WCF API
    • Real time update of reports for integration with internal system/monitoring/alerts
    • Overnight reference data auto loaded
    • Reports in our servers archived and available through UI over HTTPS
  • Hosted at clients site
  • Any of the above combination

 

RBH is geared towards Proprietary Broker/Dealers, Market Makers to be in compliance with SEC rule 15c3-1 while Hedge Funds can make use of Customer Portfolio Margin calculations. No other product provides a true Moment-to-Moment or intraday like MiddleLink RBH.