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Margin Report Specifications

Margin Report Specifications

SPAN 2 Margin Breakdown Report

Available as of November 16, 2020 (EOD) - EREP only

Available as of March 19, 2021 (EOD) - EREP and secure FTP

Report Business Description: House and Customer based margin decomposition of margin requirements reported at Pod-based margin reporting level.  Pod level reporting is a product grouping level under SPAN and SPAN 2 methodologies.

Report Publishing Details

Environment

Report Name - EREP

Report Name - sFTP

Report Location 

Report Publishing Timeline

Environment

Report Name - EREP

Report Name - sFTP

Report Location 

Report Publishing Timeline

Production

MARGIN001

MARGIN001_SPAN2_PP.YYYYMMDD.[Firm ID].csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP Firm Outgoing directory

Daily by 11 p.m. CT

Test*

MARGIN001_NEXT

MARGIN001_SPAN2_NEXT.YYYYMMDD.[Firm ID].csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP Firm Outgoing directory

During equities transition: same as production timeline

*Available during test periods for new product transitions and otherwise test environment files may not available. CME uses the terminology 'Next' to describe these reports.

Report Specification

Report Field 

Business Description

Sample Value

Data Type

Report Field 

Business Description

Sample Value

Data Type

BusDate

Business Date

10/8/2020

date

Cycle

Clearing Cycle (EOD or ITD)

EOD

string

Run

Cycle Run Number

1

integer

CCY

Currency

USD

string

OmnibusIndicator

Omnibus Indicator (YES or NO)

NO

string

CMF

CMF ID

123

string

ParentAcct

Parent Customer Account (for subaccounts of omnibus accounts)

1234PARENT

string

SA

Settlement Account ID

123

string

PBA

Performance Bond Account ID

123

string

CustAcct

Customer Account ID - CGM accounts only

1234CHILD1

string

AccountName

Account Name - Blank and reserved for future use

 

string

Seg

Segregation Type (CUST or HOUS)

CUST

string

Fseg

Funds Segregation Type (CSEG, NSEG, COTC or CNSEG)

CSEG

string

CO

Clearing Organization

CME

string

Level

O for Overall or B for Breakout Currency

B

string

MarginLevel

Reported level in Risk API data model (Portfolio, POD or ProductGroup)

Margin levels in Risk API data model are also described here. 

Portfolio

string

Pod

Group of associated products under SPAN or SPAN 2 margin framework. Detailed when at Pod or ProductGroup Level.

Crude

string

MarginMethod

Margin Method at reported level (SPAN or SPAN 2)

SPAN 2

string

ProductGroup

Group of associated products under SPAN 2 margin framework

RB

string

CustomerAccountType

Customer Account Type

S

string

RiskMaintenanceRequirement

Risk Requirement at maintenance rate not inclusive of Available Net Option Value

70,248.00

Decimal

RiskInitialRequirement

Risk Requirement at initial rate not inclusive of Available Net Option Value

77,272.80

Decimal

TotalMaintenanceRequirement

Total Requirement at maintenance rate inclusive of Available Net Option Value and Cross-model offset

Reported at MarginLevel= Portfolio except for Omnibus children accounts

2,318,298.00

Decimal

TotalInitialRequirement

Total Requirement at initial rate inclusive of Available Net Option Value and Cross-model offset

Reported at MarginLevel= Portfolio except for Omnibus children accounts

2,325,322.80

Decimal

LOV

Long Option Value

Reported at MarginLevel= Portfolio and POD

10,000.00

Decimal

SOV

Short Option Value

Reported at MarginLevel= Portfolio and POD

2,259,550.00

Decimal

ANOV

Available Net Option Value

Reported at MarginLevel= Portfolio except for Omnibus children accounts

-2,249,550.00

Decimal

FX_Rate

Exchange rate for converting a value to USD currency

1

Decimal

CrossModelOffset

Applied margin offset between SPAN and SPAN 2 margin frameworks

Reported at MarginLevel= Portfolio

-1,500.00

Decimal

LiquidityComponent

Risk component breakdown - SPAN 2 framework

Reported at MarginLevel = POD and PG and Level = B

5,000.00

Decimal

ConcentrationComponent

0 

Decimal

StressComponent

10,000.00

Decimal

HVaRComponent

48,748.00

Decimal

ImpliedOffset

2,000.00

Decimal

NakedLongComponent

Risk component breakdown, SPAN or SPAN 2 frameworks

Reported at MarginLevel = POD and PG and Level = B

0

Decimal

NakedShortComponent

0

Decimal

ShortOptionMinimum

500.00

Decimal

ScanRisk

Risk component breakdown - SPAN model

Reported at MarginLevel = POD and Level = B

11,250.00

Decimal

IntracommoditySpreadCharge

0 

Decimal

IntercommoditySpreadCredit

0

Decimal

InterExchangeSpreadCredit

0  

Decimal

SpotCharge

0  

Decimal

IntercommodityVolatilityCredit

0  

Decimal

Helpful Hints for Using this Report

To extract the firm level requirement, please follow below:

  • Filter MarginLevel → ‘Portfolio’

  • Filter ParentAcct* → select ‘(Blanks)’

  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)

*ParentAcct filtering excludes children accounts because the omnibus parent “Portfolio” record already reflects aggregate child margin requirements.

To extract Customer Requirements that correspond to CGM submission:

  • Filter MarginLevel → ‘Portfolio’

  • Filter CustomerAcct → exclude ‘(Blanks)’

  • Filter ParentAcct → select ‘(Blanks)’

  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)

To extract HOUS Requirements that correspond to Clearing positions:

  • Filter MarginLevel → select ‘Portfolio’

  • Filter Seg → select ‘HOUS’

  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)

To extract CUST Requirements that correspond to Clearing positions (non-CGM submission):

  • Filter MarginLevel → select ‘Portfolio’

  • Filter Seg → select ‘CUST’

  • Filter CustomerAcct → select ‘(Blanks)’

  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)

SPAN 2 Product Report

Available as of November 16, 2020 (EOD) - EREP only

Available as of March 19, 2021 (EOD) - EREP and secure FTP

Report Business Description: Describes SPAN 2 product mapping from Product Group (lowest reported product level) to Pod (group of products).

Report Publishing Details

Environment

Report Name - EREP

Report Name - sFTP

Report Location 

Report Publishing Timeline

Environment

Report Name - EREP

Report Name - sFTP

Report Location 

Report Publishing Timeline

Production

MARGIN002_PP

MARGIN002_PP.YYYYMMDD.csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP /pub/SPAN2 directory

Daily by 

Test*

MARGIN002_NEXT

MARGIN002_NEXT.YYYYMMDD.csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP /pub/SPAN2 directory

 

*Available during test periods for new product transitions and otherwise test environment files may not available. CME uses the terminology 'Next' to describe these reports.

Report Specification

Report Field

Business Description

Sample Value

Data Type

Report Field

Business Description

Sample Value

Data Type

CME Clearing Code

Product Code

1D

string

Exchange Code

CME, CBT, NYMEX, COMEX

NYMEX

string

Product Type

FUT, OOF, OOC, OOP

FUT

string

Product Description

Long description product code

RBOB Gasoline BALMO Futures

string

Risk Pod

Product Pod as defined in SPAN/SPAN 2 frameworks

CRUDE

string

Risk Pod Description

Long description product pod

Crude Pod

string

Risk Product Groups

Product Group as defined in SPAN 2 framework

RB

string

Risk Product Group Description

Long description product group

RBOB Gasoline

string

Margin Method

SPAN versus SPAN 2 framework- only SPAN 2 products day 1

SPAN2

string

SPAN 2 Margin Compare Report

Report Publishing Details

Environment

Report Name - EREP

Report Name - sFTP

Report Location 

Report Publishing Timeline

Environment

Report Name - EREP

Report Name - sFTP

Report Location 

Report Publishing Timeline

Production**

N/A**

 

 

 

Test*

MARGIN003_NEXT

MARGIN003_NEXT.yyyymmdd.[Firm id].csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP Firm Outgoing directory

Daily by 11 pm CT

*Available during test periods for new product transitions and otherwise test environment files may not available. CME uses the terminology 'Next' to describe these reports.

**Not available in Production, this file is used to compare test environment margin to production environment margin and is only produced during test periods.

Report Specification

Report Field 

Business Description

Sample Value

Data Type

Report Field 

Business Description

Sample Value

Data Type

BusDate

Business Date

10/8/2020

date

Cycle

Clearing Cycle (EOD or ITD)

EOD

string

Run

Cycle Run Number

1

integer

CCY



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