Expanded Portfolio Data File Layout

1

1

1

AN

X(1)

Record ID - "1"

2

2

3

-

-

Filler

8

4

11

N

9(8)

Business Date as YYYYMMDD

1

12

12

A

X

File identifier - S for final settlement, E for early (preliminary) settlement, G for electronic (GLOBEX) trading hours, or I for intra-day.

4

13

16

N

9(4)

Business Time as HHMM

8

17

24

N

9(8)

File Creation Date as YYYYMMDD

4

25

28

N

9(4)

File Creation Time as HHMM

1

29

29

AN

X(1)

File format - "E" for "expanded".  Blank, null or any value other than "E" implies standard format.

1

1

1

AN

X(1)

Record ID - "2"

3

2

4

AN

X(3)

Clearing Member Firm

20

5

24

AN

X(20)

Account Number / ID

1

25

25

A

X

Account Type. 

For client account types when clearing firms are calculating requirements for individual accounts: M for Member Account, H for Hedger Account, S for Spec Account, O for Omnibus Account, Q for Omnibus Hedge account. 

In addition, in 2020 support will be added for R for Heightened Risk Profile and X for Non-Heightened Risk Profile.  Also account type O will be redefined as meaning an Omnibus Account with a Heightened Risk Profile and account type Q will be redefined as an omnibus account with a Non-Heightened Risk Profile.

Account type F is used to specify a clearing firm account when a CCP is margining a clearing firm.

5

26

30

AN

X(5)

Segregation Type (Origin) - CUST or HOUS

20

31

50

AN

X(20)

Subaccount of: If this record is a Hedge or Spec Subaccount of an Omnibus Account, this field should contain the Omnibus Account number. The 2 record for the omnibus account must precede the 2 record for its subaccounts (or the omnibus account portfolio record must already be defined in the PC-SPAN database.)

1

51

51

A

X

new Portfolio flag: Y or N

12

52

63

N

9(10)V9(2)

Ledger Balance, right justified, with two implied decimal places representing hundredths of a currency unit. For accounts only, not relevant to firms. If negative, with a leading minus sign. If this record is for a firm, enter zero.

12

64

75

N

9(10)V9(2)

Open Trade Equity, right justified, with two implied decimal places. For accounts only, not relevant to firms. If negative, with a leading minus sign. If this record is for a firm, enter zero.

12

76

87

N

9(10)V9(2)

Securities on Deposit, right justified, with two implied decimal places. For accounts only, not relevant to firms. If this record is for a firm, enter zero.

1

88

88

A

X

Apply User Scaleups? Flag - either Y or N. If it has been specified on the Maintain System Parameters screen that User Scaleups apply only to designated accounts, this field specifies whether scaleups apply to this particular account.

5

89

93

AN

X(5)

Business Function:  for SPAN 4 -- specifies the business function for which this position is defined

5

94

98

AN

X(5)

Clearing Member Firm -- for SPAN 4 -- provides the full five bytes for the clearing member firm ID

15

99

113

AN

X(15)

Performance Bond Account ID:  for SPAN 4 -- specifies the PB account

5

114

118

AN

X(5)

Position Segregation Type (Origin):  for SPAN 4 -- further identifies the performance bond account to which this position pertains

3

119

121

AN

X(3)

Portfolio Currency - for example, USD, CAD, ...- Overall currency for PB requirement

1

122

122

AN

X(1)

Customer-Clearing Portfolio Use Long Option Value Flag - N for No, or Y or any other value for Yes.  Applies only to calculations for clearing-level customer-origin portfolios.  Added for the Common Clearing Link to support specification of whether CBOT positions in customer-origin clearing portfolios should be margined net but without use of Long Option Value, or according to submitted spreads and with full use of Long Option Value.  Set to Y if the firm wants CME-style customer-origin margining with full use of LOV, or CBT-style customer-origin margining without use of LOV.

1

1

1

AN

X(1)

Record ID - "3"

3

2

4

AN

X(3)

Clearing Member Firm

20

5

24

AN

X(20)

Account Number / ID

3

25

27

AN

X(3)

Exchange Acronym

2

28

29

-

-

Filler

6

30

35

AN

X(6)

Combined Commodity Code

10

36

45

AN

X(10)

Commodity (Product) Code

3

46

48

AN

X(3)

Contract Type - PHY for Physical, FUT for Future, CMB for Combination, OOP for Option on Physical, OOF for Option on Future, OOC for Option on Combination

1

49

49

A

X

Put / Call Code - P or C

8

50

57

AN

9(6)X(2)

Futures Contract Period as CCYYMMXX where XX is blank for standard monthly futures, a specific day of the month for futures expirations to the day, W1, W2 etc. for weekly futures, or other identifier.

1

58

58

AN

X

Account type override.  Optional.  Used to specify an account type for this position different from the account type for the account as a whole specified on the type "2" record.  Relevant only for non-omnibus accounts.  Allowable values are M for member, H for hedge, or S for spec.

8

59

66

AN

9(6)X(2)

Option Contract Period as CCYYMMXX where XX is blank for standard monthly options, a specific day of the month for option expirations to the day, W1, W2 etc. for weekly options, or other identifier.

1

67

67

AN

X(1)

Strike price sign.  + or -.  Any value besides - means positive.

7

68

74

N

9(7)

Strike Price

8

75

82

N

9(8)

Net Position, with leading minus sign if short. This field applies to account positions for non-omnibus accounts, or to clearing firm positions at clearing organizations (or for cross-margin agreements) which calculate performance bonds on a net position basis. (For omnibus accounts or gross-basis clearing firm positions, enter zero.)

8

83

90

N

9(8)

Total Long Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

91

98

N

9(8)

Total Short Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

99

106

N

9(8)

Intra-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

107

114

N

9(8)

Intra-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

115

122

N

9(8)

Inter-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

123

130

N

9(8)

Inter-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

9

131

139

N

9(9)

Product Family ID Number:  for SPAN 4 -- specifies the unique internal ID number for this product family

9

140

148

N

9(9)

Contract ID Number:  for SPAN 4 -- specifies the unique internal ID number for this contract

5

149

153

AN

X(5)

Business Function:  for SPAN 4 -- specifies the business function for which this position is defined

5

154

158

AN

X(5)

Clearing Member Firm -- for SPAN 4 -- provides the full five bytes for the clearing member firm ID

15

159

173

AN

X(15)

Performance Bond Account ID:  for SPAN 4 -- specifies the PB account

5

174

178

AN

X(5)

Position Segregation Type (Origin):  for SPAN 4 -- further identifies the performance bond account to which this position pertains

1

1

1

AN

X(1)

Record ID - "5"

3

2

4

AN

X(3)

Clearing Member Firm

20

5

24

AN

X(20)

Account Number / ID

3

25

27

AN

X(3)

Exchange Acronym

2

28

29

-

-

Filler

6

30

35

AN

X(6)

Combined Commodity Code

10

36

45

AN

X(10)

Commodity (Product) Code

3

46

48

AN

X(3)

Contract Type - PHY for Physical, FUT for Future, CMB for Combination, OOP for Option on Physical, OOF for Option on Future, OOC for Option on Combination

1

49

49

A

X

Put / Call Code - P or C

8

50

57

AN

9(6)X(2)

Futures (Underlying) Contract Period as CCYYMMXX where XX is blank for standard monthly futures, a specific day of the month for futures expirations to the day, W1, W2 etc. for weekly futures, or other identifier.

12

58

69

-

-

Filler. Reserved for future expansion in case of multiple expirations per day.

8

70

77

AN

9(6)X(2)

Option Contract Period as CCYYMMXX where XX is blank for standard monthly options, a specific day of the month for option expirations to the day, W1, W2 etc. for weekly options, or other identifier.

1

78

78

AN

X(1)

Strike Price Sign.  + or -.  Any value besides - means normal positive.

14

79

92

N

9(7)V9(7)

Strike Price

8

93

100

N

9(8)

Net Position, with leading minus sign if short. This field applies to account positions for non-omnibus accounts, or to clearing firm positions at clearing organizations (or for cross-margin agreements) which calculate performance bonds on a net position basis. (For omnibus accounts or gross-basis clearing firm positions, enter zero.)

8

101

108

N

9(8)

Total Long Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

109

116

N

9(8)

Total Short Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

117

124

N

9(8)

Intra-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

125

132

N

9(8)

Intra-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

133

140

N

9(8)

Inter-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

8

141

148

N

9(8)

Inter-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)

9

149

157

N

9(9)

Product Family ID Number:  for SPAN 4 -- specifies the unique internal ID number for this product family

9

158

166

N

9(9)

Contract ID Number:  for SPAN 4 -- specifies the unique internal ID number for this contract

5

167

171

AN

X(5)

Business Function:  for SPAN 4 -- specifies the business function for which this position is defined

5

172

176

AN

X(5)

Clearing Member Firm -- for SPAN 4 -- provides the full five bytes for the clearing member firm ID

15

177

191

AN

X(15)

Performance Bond Account ID:  for SPAN 4 -- specifies the PB account

5

192

196

AN

X(5)

Position Segregation Type (Origin):  for SPAN 4 -- further identifies the performance bond account to which this position pertains