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Options and Futures Risk Arrays

OCC generates and distributes Options and Futures Risk Array (OFRA) parameter files that contain the product specifications, calculation parameters, and profit and loss arrays for certain exchange-traded futures and options cleared by OCC. The OFRA parameter files are in a format that is designed to be compatible with portfolio-based margining systems, including CME's PC-SPAN1 system.

The OCC-generated OFRA parameter files are currently published on CME's FTP SPAN Downloads pages and the files are listed under the relevant exchanges' file code. (File codes are noted below.) The calculation parameters in the files include outright scan ranges and spread rates which are used to calculate a portfolio's performance bond/margin.

For additional information regarding the products of each exchange, please click on the exchange links below.

File Code Exchange
CFE CBOE Futures Exchange
ELX ELX Futures
NYL NYSE Liffe U.S.2 (PDF) Updated 04/10/14
OCX OneChicago (XLS) Updated 04/04/14

 

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1SPAN® is a registered trademark of the Chicago Mercantile Exchange. The Chicago Mercantile Exchange assumes no liability in connection with the use of SPAN by any person or entity.
2OCC's clearing of NYSE Liffe U.S. products is limited to precious metals contracts and futures on MSCI Indices.