Standard 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 - "S" for standard.  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.

1

26

26

A

X

new Portfolio flag: Y or N

12

27

38

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

39

50

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.

20

51

70

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.)

12

71

82

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

83

83

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

84

88

AN

X(5)

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

5

89

93

AN

X(5)

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

15

94

108

AN

X(15)

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

5

109

113

AN

X(5)

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

1

114

114

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)

Combined Commodity Code

2

28

29

AN

X(2)

Commodity (Product) Code

1

30

30

AN

X(3)

Contract Type - blank for future or physical, or P for a put option or C for a call option

6

31

36

AN

9(6)

Futures Contract Month as CCYYMM

6

37

42

AN

9(6)

Option Contract Month as CCYYMM

6

43

48

N

9(6)

Strike Price

3

49

51

AN

X(3)

Exchange Acronym

2

52

53

N

9(2)

Option Contract Day. For flex options and other options with expiration specified to the day, contains the two-digit dayof month on which the option expires. Leave blank for futures and regular monthly options.

1

54

54

AN

X(1)

Strike Price Sign:  + or -.  Blank or any other value besides - means positive.

1

55

55

-

-

Filler

8

56

63

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

64

71

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

72

79

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

80

87

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

88

95

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

96

103

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

104

111

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

112

120

N

9(9)

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

9

121

129

N

9(9)

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

5

130

134

AN

X(5)

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

5

135

139

AN

X(5)

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

15

140

154

AN

X(15)

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

5

155

159

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 - "4"

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

3

28

30

AN

X(3)

Country Code

15

31

45

AN

X(15)

Physical Identifier - typically CUSIP or ISIN

15

46

60

N

9(15)

Net Par Value of Unsettled Trades

15

61

75

N

9(15)

Net Reverse Repo (Repo) Par Value for Same-Day Settlement

15

76

90

N

9(15)

Net Reverse Repo (Repo) Par Value for Next-Day Settlement

9

91

99

N

9(9)

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

9

100

108

N

9(9)

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

5

109

113

AN

X(5)

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

5

114

118

AN

X(5)

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

15

119

133

AN

X(15)

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

5

134

138

AN

X(5)

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