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SPAN 2 Margin Breakdown Report

Available as of November 16, 2020 (EOD) - EREP only

Available as of March 19, 2021 (EOD) - EREP and secure FTP

Report Business Description: House and Customer based margin decomposition of margin requirements reported at Pod-based margin reporting level.  Pod level reporting is a product grouping level under SPAN and SPAN 2 methodologies.

Report Publishing Details

EnvironmentReport Name - EREPReport Name - sFTPReport Location Report Publishing Timeline
Production Parallel

SPAN 2 Methodology: MARGIN001_SPAN2_PP

SPAN Methodology: MARGIN001_SPAN_PP

SPAN 2 Methodology: MARGIN001_SPAN2_PP.YYYYMMDD.[Firm ID].csv

SPAN Methodology: MARGIN001_SPAN_PP.YYYYMMDD.[Firm ID].csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP Firm Outgoing directory

T+1 (by 4 pm CT)
ProductionTBD


New ReleaseTBD


Report Specification

Report Field Business DescriptionSample ValueData Type
BusDateBusiness Date10/8/2020date
CycleClearing Cycle (EOD or ITD)EODstring
RunCycle Run Number1integer
CCYCurrencyUSDstring
OmnibusIndicatorOmnibus Indicator (YES or NO)NOstring
CMFCMF ID123string
ParentAcctParent Customer Account (for subaccounts of omnibus accounts)1234PARENTstring
SASettlement Account ID123string
PBAPerformance Bond Account ID123string
CustAcctCustomer Account ID - CGM accounts only1234CHILD1string
AccountNameAccount Name - Blank and reserved for future use
string
SegSegregation Type (CUST or HOUS)CUSTstring
FsegFunds Segregation Type (CSEG, NSEG, COTC or CNSEG)CSEGstring
COClearing OrganizationCMEstring
LevelO for Overall or B for Breakout CurrencyBstring
MarginLevel

Reported level in Risk API data model (Portfolio, POD or ProductGroup)

Margin levels in Risk API data model are also described here

Portfoliostring
PodGroup of associated products under SPAN or SPAN 2 margin framework. Detailed when at Pod or ProductGroup Level.Crudestring
MarginMethodMargin Method at reported level (SPAN or SPAN 2)SPAN 2string
ProductGroupGroup of associated products under SPAN 2 margin frameworkRBstring
CustomerAccountTypeCustomer Account TypeSstring
RiskMaintenanceRequirementRisk Requirement at maintenance rate not inclusive of Available Net Option Value                     70,248.00Decimal
RiskInitialRequirementRisk Requirement at initial rate not inclusive of Available Net Option Value                     77,272.80Decimal
TotalMaintenanceRequirement

Total Requirement at maintenance rate inclusive of Available Net Option Value and Cross-model offset

Reported at MarginLevel= Portfolio except for Omnibus children accounts

                 2,318,298.00Decimal
TotalInitialRequirement

Total Requirement at initial rate inclusive of Available Net Option Value and Cross-model offset

Reported at MarginLevel= Portfolio except for Omnibus children accounts

                 2,325,322.80Decimal
LOV

Long Option Value

Reported at MarginLevel= Portfolio and POD

                     10,000.00Decimal
SOV

Short Option Value

Reported at MarginLevel= Portfolio and POD

                2,259,550.00Decimal
ANOV

Available Net Option Value

Reported at MarginLevel= Portfolio except for Omnibus children accounts

               -2,249,550.00Decimal
FX_RateExchange rate for converting a value to USD currency                                 1Decimal
CrossModelOffset

Applied margin offset between SPAN and SPAN 2 margin frameworks

Reported at MarginLevel= Portfolio

                      -1,500.00Decimal
LiquidityComponent

Risk component breakdown - SPAN 2 framework

Reported at MarginLevel = POD and PG and Level = B

                        5,000.00Decimal
ConcentrationComponent                                     0 Decimal
StressComponent                     10,000.00Decimal
HVaRComponent                     48,748.00Decimal
ImpliedOffset                        2,000.00Decimal
NakedLongComponent

Risk component breakdown, SPAN or SPAN 2 frameworks

Reported at MarginLevel = POD and PG and Level = B

0Decimal
NakedShortComponent0Decimal
ShortOptionMinimum                           500.00Decimal
ScanRisk

Risk component breakdown - SPAN model

Reported at MarginLevel = POD and Level = B

                     11,250.00Decimal
IntracommoditySpreadCharge                                     0 Decimal
IntercommoditySpreadCredit                                     0Decimal
InterExchangeSpreadCredit                                     0  Decimal
SpotCharge                                     0  Decimal
IntercommodityVolatilityCredit                                     0  Decimal

Helpful Hints for Using this Report

To extract the firm level requirement, please follow below:

  • Filter MarginLevel → ‘Portfolio’
  • Filter ParentAcct* → select ‘(Blanks)’
  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)

*ParentAcct filtering excludes children accounts because the omnibus parent “Portfolio” record already reflects aggregate child margin requirements.

To extract Customer Requirements that correspond to CGM submission:

  • Filter MarginLevel → ‘Portfolio’
  • Filter CustomerAcct → exclude ‘(Blanks)’
  • Filter ParentAcct → select ‘(Blanks)’
  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)

To extract HOUS Requirements that correspond to Clearing positions:

  • Filter MarginLevel → select ‘Portfolio’
  • Filter Seg → select ‘HOUS’
  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)

To extract CUST Requirements that correspond to Clearing positions (non-CGM submission):

  • Filter MarginLevel → select ‘Portfolio’
  • Filter Seg → select ‘CUST’
  • Filter CustomerAcct → select ‘(Blanks)’
  • Sum Requirement fields to get aggregate requirements across portfolios (e.g. RiskMaintenanceRequirement, TotalMaintenanceRequirement)


SPAN 2 Product Report

Available as of November 16, 2020 (EOD) - EREP only

Available as of March 19, 2021 (EOD) - EREP and secure FTP

Report Business Description: Describes SPAN 2 product mapping from Product Group (lowest reported product level) to Pod (group of products).

Report Publishing Details

EnvironmentReport Name - EREPReport Name - sFTPReport Location Report Publishing Timeline
Production Parallel

MARGIN002_PP

MARGIN002_PP.YYYYMMDD.csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP /pub/SPAN2 directory

T+1 (by 4 pm CT)
ProductionTBD


New ReleaseTBD



Report Specification

Report FieldBusiness DescriptionSample ValueData Type
CME Clearing CodeProduct Code1Dstring
Exchange CodeCME, CBT, NYMEX, COMEXNYMEXstring
Product TypeFUT, OOF, OOC, OOPFUTstring
Product DescriptionLong description product codeRBOB Gasoline BALMO Futuresstring
Risk PodProduct Pod as defined in SPAN/SPAN 2 frameworksCrudestring
Risk Pod DescriptionLong description product podCrude Podstring
Risk Product GroupsProduct Group as defined in SPAN 2 frameworkRBstring
Risk Product Group DescriptionLong description product groupRBOB Gasolinestring
Margin MethodSPAN versus SPAN 2 framework- only SPAN 2 products day 1SPAN 2string

SPAN 2 Margin Compare Report

Report Publishing Details

EnvironmentReport Name - EREPReport Name - sFTPReport Location Report Publishing Timeline
Production Parallel

MARGIN003_PP

MARGIN003_PP.YYYYMMDD.[Firm ID].csv

Clearing Enterprise Reporting Portal (EREP)

Secure FTP Firm Outgoing directory

T+1 (by 4 pm CT)
ProductionTBD


New ReleaseTBD


Report Specification

Report Field Business DescriptionSample ValueData Type
BusDateBusiness Date10/8/2020date
CycleClearing Cycle (EOD or ITD)EODstring
RunCycle Run Number1integer
CCYCurrencyUSDstring
OmnibusIndicatorOmnibus Indicator (YES or NO)NOstring
CMFCMF ID123string
ParentAcctParent Customer Account (for subaccounts of omnibus accounts)1234PARENTstring
SASettlement Account ID123string
PBAPerformance Bond Account ID123string
CustAcctCustomer Account ID - CGM accounts only1234CHILD1string
AccountNameAccount Name - Blank and reserved for future use
string
SegSegregation Type (CUST or HOUS)CUSTstring
FsegFunds Segregation Type (CSEG, NSEG, COTC or CNSEG)CSEGstring
COClearing OrganizationCMEstring
LevelO for Overall or B for Breakout CurrencyBstring
MarginLevel

Reported level in Risk API data model, this report will only be presented at MarginLevel = Portfolio

Margin levels in Risk API data model are also described here

Portfoliostring
CustomerAccountTypeCustomer Account TypeHstring
 RiskMaintenanceRequirement SPAN Risk Requirement at maintenance rate not inclusive of Available Net Option Value - SPAN methodology                     4,853,490.00Decimal
 RiskInitialRequirement SPAN Risk Requirement at initial rate not inclusive of Available Net Option Value - SPAN methodology                     4,853,490.00Decimal
 RiskMaintenanceRequirement SPAN 2 Risk Requirement at maintenance rate not inclusive of Available Net Option Value - SPAN 2 methodology                     4,742,648.48Decimal
 RiskInitialRequirement SPAN 2 Risk Requirement at initial rate not inclusive of Available Net Option Value - SPAN 2 methodology                     4,742,648.48Decimal
 Risk Maintenance Difference 

(RiskMaintenanceRequirement SPAN 2) - (RiskMaintenanceRequirement SPAN)

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-110,841.52Decimal
 Risk Initial Difference 

(RiskInitialRequirement SPAN 2) - (RiskInitialRequirement SPAN)

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-110,841.52Decimal
Percent Change Maintenance

((RiskMaintenanceRequirement SPAN 2) - (RiskMaintenanceRequirement SPAN)/(RiskMaintenanceRequirement SPAN))*100

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-2.28Percent
Percent Change Initial

((RiskInitialRequirement SPAN 2) - (RiskInitialRequirement SPAN)/(RiskInitialRequirement SPAN))*100

Negative number implies portfolio risk is reducing in SPAN 2 methodology

-2.28Percent

Release Notes - Margin Reports

SPAN 2 Margin Breakdown Report

Release Date: 2021-07-12

Updates

Description

Enhancements

  • Updated report naming conventions and added new report iteration representing SPAN methodology for comparison
    • New name - SPAN 2 Methodology version: MARGIN001_SPAN2_PP.YYYYMMDD.csv
    • New report - SPAN Methodology version: MARGIN001_SPAN_PP.YYYYMMDD.csv

Fixes

  • None 

Notes

  • None

Release Date: 2021-03-30

Updates

Description

Enhancements

  • Report begins displaying MarginLevel = PG (Product Group), in addition to POD and Portfolio
    • Note for portfolios with no products in the SPAN 2 framework, POD is the lowest level of reporting

Fixes

  • None 

Notes

  • Two minor issues to be fixed in an upcoming release (Q2 2021)
    • Cross Model Offset for portfolios without USD risk appearing as standalone records where MarginLevel = Portfolio and Level = B
    • Some component amounts reporting as null/blank when they should report as 0 
  • Not in Scope, for future enhancement:
    • 2-day MPOR for House requirements

Release Date: 2020-12-15

Updates

Description

Enhancements

  • Report addresses all the outstanding enhancements for Portfolio and POD MarginLevel
    • Both levels present and reported in this version
  • House and Customer based margin aggregation of portfolio level requirements, see more details here.
  • Omnibus margin reporting enhancements for outright positions
    • Fields NakedLongComponent and NakedShortComponent now indicate naked risk for outright positions, and are also populated for SPAN 2 Pods
    • Omnibus parent account Pod-level records display requirements that correspond to parent account only, without any child aggregation
    • Omnibus parent account Portfolio-level records display aggregated requirements i.e. parent plus children requirements
  • Fields which were blank in prior versions are now populated unless specified as 'Blank and reserved for future use' in above ‘Report Specification’ section

Fixes

  • None

Notes

  • Not in Scope, for future enhancement:
    • ProductGroup MarginLevel results
    • 2-day MPOR for House requirements

Release Date: 2020-11-16

Updates

Description

Enhancements

  • New File

Fixes

  • None

Notes

  • Day 1 release considerations:
    • Report includes data at MarginLevel = Pod and Portfolio only, to be enhanced in future releases to include MarginLevel = ProductGroup results.
    • Day 1 MarginLevel = Portfolio line items represent the CrossModelOffset field only, which is only reported at portfolio level. Total requirements can be derived with a sum of pod level requirements by account plus cross model offset.
    • CrossModelOffset field and all risk component breakdown fields will be zero for omnibus child accounts, even when present.
    • For Omnibus Accounts:
      • Omnibus Parent account line items at MarginLevel = Pod include requirement field  RiskMaintenanceMargin for naked positions (if any) in the parent account only, not child account margin aggregation.
      • Omnibus parent account line items will show aggregated risk components breakdown for child + parent accounts.
      • Omnibus child accounts will show risk component breakdown as 0, even when present.
      • When MarginMethod = SPAN 2 and MarginLevel = Pod, risk component breakdown fields NakedLongComponent and NakedShortComponent will not be present in this release.
    • When Seg = HOUS, risk component breakdown fields (all) will not be present in this release when MarginMethod = SPAN.
    • When MarginLevel = Pod, Level = B (breakout/native currency) will be the only reported level; Level = O will be supported in a future release.
    • Some fields left blank and reserved for future use, see specification above.

SPAN 2 Product Report

Release Date: 2021-07-12

Updates

Description

Enhancements

  • None

Fixes

  • Updated report to include all SPAN and SPAN 2 in scope products (prior version was missing some products

Notes

  • None

Release Date: 2020-11-16

Updates

Description

Enhancements

  • New File

Fixes

  • None

Notes

  • Report includes data for SPAN 2 products only, to be enhanced with SPAN product data in future releases

SPAN 2 Margin Comparison Report

Release Date: 2021-07-14

Updates

Description

Enhancements

  • New File

Fixes

  • None

Notes

  • None
  • No labels