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.
|CFE||CBOE Futures Exchange|
|NYL||NYSE Liffe U.S.2 (PDF) Updated 04/10/14|
|OCX||OneChicago (XLS) Updated 04/04/14|
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2OCC's clearing of NYSE Liffe U.S. products is limited to precious metals contracts and futures on MSCI Indices.