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

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

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

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

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

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, this report will only be presented at MarginLevel = Portfolio

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

Portfolio

string

CustomerAccountType

Customer Account Type

H

string

 RiskMaintenanceRequirement SPAN 

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

                     4,853,490.00

Decimal

 RiskInitialRequirement SPAN 

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

                     4,853,490.00

Decimal

 RiskMaintenanceRequirement SPAN 2 

Risk Requirement at maintenance rate not inclusive of Available Net Option Value - SPAN 2 methodology

                     4,742,648.48

Decimal

 RiskInitialRequirement SPAN 2 

Risk Requirement at initial rate not inclusive of Available Net Option Value - SPAN 2 methodology

                     4,742,648.48

Decimal

 Risk Maintenance Difference 

(RiskMaintenanceRequirement SPAN 2) - (RiskMaintenanceRequirement SPAN)

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-110,841.52

Decimal

 Risk Initial Difference 

(RiskInitialRequirement SPAN 2) - (RiskInitialRequirement SPAN)

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-110,841.52

Decimal

Percent Change Maintenance

((RiskMaintenanceRequirement SPAN 2) - (RiskMaintenanceRequirement SPAN)/(RiskMaintenanceRequirement SPAN))*100

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-2.28

Percent

Percent Change Initial

((RiskInitialRequirement SPAN 2) - (RiskInitialRequirement SPAN)/(RiskInitialRequirement SPAN))*100

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-2.28

Percent

Enhancements

• Updated report naming conventions and added new report iteration representing SPAN methodology for comparison

  • New name - SPAN 2 Methodology version: MARGIN001_SPAN2_PP.YYYYMMDD.csv

  • New report - SPAN Methodology version: MARGIN001_SPAN_PP.YYYYMMDD.csv

Fixes

None 

Notes

None

Enhancements

• Report begins displaying MarginLevel = PG (Product Group), in addition to POD and Portfolio

  • Note for portfolios with no products in the SPAN 2 framework, POD is the lowest level of reporting

Fixes

None 

Notes

• Two minor issues to be fixed in an upcoming release (Q2 2021)

  • Cross Model Offset for portfolios without USD risk appearing as standalone records where MarginLevel = Portfolio and Level = B

  • Some component amounts reporting as null/blank when they should report as 0 

• Not in Scope, for future enhancement:
  
  

  • 2-day MPOR for House requirements

Enhancements

• Report addresses all the outstanding enhancements for Portfolio and POD MarginLevel

  • Both levels present and reported in this version

• House and Customer based margin aggregation of portfolio level requirements, see more details here.

• Omnibus margin reporting enhancements for outright positions

  • Fields NakedLongComponent and NakedShortComponent now indicate naked risk for outright positions, and are also populated for SPAN 2 Pods

  • Omnibus parent account Pod-level records display requirements that correspond to parent account only, without any child aggregation

  • Omnibus parent account Portfolio-level records display aggregated requirements i.e. parent plus children requirements

• Fields which were blank in prior versions are now populated unless specified as 'Blank and reserved for future use' in above ‘Report Specification’ section

Fixes

None

Notes

• Not in Scope, for future enhancement:

  • ProductGroup MarginLevel results

  • 2-day MPOR for House requirements

Enhancements

New File

Fixes

None

Notes

• Day 1 release considerations:

  • Report includes data at MarginLevel = Pod and Portfolio only, to be enhanced in future releases to include MarginLevel = ProductGroup results.

  • Day 1 MarginLevel = Portfolio line items represent the CrossModelOffset field only, which is only reported at portfolio level. Total requirements can be derived with a sum of pod level requirements by account plus cross model offset.

  • CrossModelOffset field and all risk component breakdown fields will be zero for omnibus child accounts, even when present.

  • For Omnibus Accounts:

    • Omnibus Parent account line items at MarginLevel = Pod include requirement field  RiskMaintenanceMargin for naked positions (if any) in the parent account only, not child account margin aggregation.

    • Omnibus parent account line items will show aggregated risk components breakdown for child + parent accounts.

    • Omnibus child accounts will show risk component breakdown as 0, even when present.

    • When MarginMethod = SPAN 2 and MarginLevel = Pod, risk component breakdown fields NakedLongComponent and NakedShortComponent will not be present in this release.

  • When Seg = HOUS, risk component breakdown fields (all) will not be present in this release when MarginMethod = SPAN.

  • When MarginLevel = Pod, Level = B (breakout/native currency) will be the only reported level; Level = O will be supported in a future release.

  • Some fields left blank and reserved for future use, see specification above.

Enhancements

None

Fixes

Updated report to include all SPAN and SPAN 2 in scope products (prior version was missing some products

Notes

None

Enhancements

New File

Fixes

None

Notes

Report includes data for SPAN 2 products only, to be enhanced with SPAN product data in future releases

Enhancements

New File

Fixes

None

Notes

None