Customer Portfolio Margin
OCC has made available FIXML versions of the RBH/CPM Theoretical Profit and Loss Values data files. The FIXML transmission will ultimately replace the existing flat file. OCC will continue to support the flat file distribution until March 5, 2015. After that date the flat file format will no longer be available for transmission.
The ENCORE DDS Guide – Risk Based Haircuts / Customer Portfolio Margining (RBH/CPM) provides the transmission layouts, message structures and FIXML elements for the RBH/CPM DDS. The FIXML Schema Definition (XSD) files contain the FIXML base components and extensions necessary to implement the data service. Questions regarding the FIXML version should be addressed to RiskSystems@theocc.com.
Customer Portfolio Margin System ("CPM") was developed by The Options Clearing Corporation ("The OCC") to support portfolio-based margining of customer accounts. Based on the TIMS margin methodology, CPM takes an OCC generated master file of profit and loss values and a user generated position file as input. The TIMS methodology is then applied to generate a margin computation that can be viewed via hypertext pages from the account down to the position level.
On December 12, 2006 the Securities and Exchange Commission (SEC) approved a rule change which ended the pilot program in which limited accounts had the ability to compute margin amounts for a limited group of products using a risk-based portfolio approach in lieu of the current strategy-based margin requirements ("Reg. T"), and made portfolio margining available to any broker or dealer registered pursuant to Section 15 of the Exchange Act, and any person or entity approved for uncovered options.
Positions eligible for a portfolio margining account include margin equity securities (including foreign equity securities and options on foreign equity securities provided the foreign equity is deemed to have a “ready market” under SEC Rule 15c3-1), listed options on an equity security or index of equity securities, security futures products, unlisted derivatives on an equity security or index of equity securities, warrants on an equity security or index of equity securities, broad-based index futures, and options on broad-based index futures.
If transactions in security futures are to be included in the account, approval for such transactions is also required.* And, an eligible participant may not establish or maintain positions in unlisted derivatives unless minimum equity of at least five million dollars, aggregated across all accounts under identical ownership at the clearing broker, is established and maintained with the member organization.
Member organizations must notify and receive approval from the member organization’s DEA prior to establishing a portfolio margin methodology for eligible participants.
For more information on the program please view the Customer Portfolio Margin Disclosure Document.
OCC-cleared OTC options are eligible for CPM calculations. The product details and P&L arrays for these OTC options are only available in the FIXML version of the RBH/CPM Theoretical Output files and will be provided in a separate OTC Theoretical file. Also, the OTC Theoretical files will be proprietary such that subscribers will only receive an OTC Theoretical file with series information and P&L values of OCC-cleared OTC options in which they hold open positions. Further information about FIXML files can be found on the RBH Documentation page in the ENCORE DDS Guide - Risk Based Haircuts / Customer Portfolio Margining (RBH/CPM).
* Inclusion of futures products in a customer portfolio margin securities account is not yet approved by the CFTC.