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This page lists Risk API specifications pertaining to inputs relevant to F&O trade/position and portfolio definition and outputs relevant to F&O for SPAN® and CME Group's new F&O Margin Model, SPAN 2TM.   The document also describes the reporting framework and margin results that are present across all outputs from our risk management services including the production parallel margin report, deployable margin software and CME CORE.

Contents

Inputs

Inputs for an F&O portfolio will contain the following data definitions for the Risk Portfolio Message.   The Risk Portfolio Message structure will be organized by categories and further detailed through a subset of attributes within each category.

Portfolio Data Model

Category

Attribute

Description

json field names & examples

Presence

Data Type

Data Rules

Header

RequestID

User generated Request ID for margin request

requestId

“INPUT_abc123456789”

Optional

string


Version

Version of risk API

Version

“1.0”

Optional

decimal

Users should specify the version of the Risk API they are using

Sent Time

User generated system create time for message

sentTime
“2018-03-01T17:43:09.422Z”

Optional

dateTime


Point In Time

Business Date

Business date of margin run

businessDt
“2018-02-28”

Required

date

Date format expressed as:         YYYY-MM-DD

Cycle Code

Defined description to distinguish between different point in time

cycleCode

“EOD”

Optional

string

Acceptable values are: AM, EARLY, ITD, or EOD (Note: Values AM, EARLY, and ITD are not yet supported)


Run Number

Run Number field will increment if used multiple times within a specific CycleCode

runNumber
“1”

Optional

integer


Time

Populated with the current timestamp when the market data file gets created

time

“17:43:09”

Optional

time


Portfolio

id

User-defined ID for the portfolio, margin results at portfolio level will correspond to this id

id
“PORTFOLIO_1”

Conditional

string

Required for omnibus portfolios

A unique key should be used to identify each portfolio in a request payload

Currency

User Defined Portfolio Currency. 

currency
“USD”

Required

string

See Appendix for complete list of acceptable values

Customer Account Type

Account Type considerations impacting the margin ratio

customerAccountType
“HEDGE”

Required

string

Users set the default account type for the portfolio through this attribute.

Acceptable values are MEMBER, HEDGE, SPECULATOR, HEIGHTENED*, NON_HEIGHTENED*.

Omnibus accounts can only be HEDGE, SPEC, HEIGHTENED*, or NON_HEIGHTENED*.

*(Note: Values Heightened and Non_Heightened are not yet supported. The values SPECULATOR and HEDGE are implied as HEIGHTENED and NON_HEIGHTENED , respectively.)

Omnibus Indicator

Omnibus Indicator

omnibusInd
“NO”

Optional

string

Acceptable values are YES or No; Defaults to NO

YES: Customer Account is Omnibus, and would have children only if it’s Partially or Fully Disclosed

NO: Customer Account is not Omnibus, and has no children

Parent Portfolio ID

ID of the parent portfolio

parentPortfolioId
“1.0”

Optional

string

Used for omnibus child portfolios

This field is the linkage between parent and child omnibus relationship

Memo

Free form field which can be used to pass through any information to the response message

Memo

Optional

string

Used to pass additional portfolio referential data between the margin request and margin response

Entities

 

Clearing Firm ID

User defined Clearing firm alphanumeric Id

firmId
“001”

Required

string


Account ID

User defined account alphanumeric ID

accountId

“Account1”

Required

string


Account Name

User defined name for account

accountName
“John Doe”

Optional

string


Origin Type

Used to designate the manner in which transactions, positions, and funds are segregated as required by regulators

originType

“CUST”

Required

string

Acceptable values are: HOUS, CUST, CUSTOMER, HOUSE

Users can only supply one of the listed values; otherwise error message

Fund Segregation Type

Fund segregation type

segregationType
“CSEG”

Optional

string

Acceptable values are CSEG, CNSEG, COTC, NSEG, SECURED

Positions

Customer Account Type

Account Type considerations impacting the margin ratio

customerAccountType
“MEMBER”

Optional

string

Acceptable values are MEMBER, HEDGE, SPECULATOR, HEIGHTENED*, NON_HEIGHTENED*.

Omnibus accounts can only be HEDGE, SPEC, HEIGHTENED*, or NON_HEIGHTENED*.

*(Note: Values Heightened and Non_Heightened are not yet supported. The values SPECULATOR and HEDGE are implied as HEIGHTENED and NON_HEIGHTENED , respectively.)

Users can override the default customer account type that was supplied at the Portfolio level. Account Override is applied at the Pod, not position, level. If multiple over-rides are present within the same Pod, the deployable software will first prioritize MEMBER type for the Pod if any positions are MEMBER, then prioritize HEDGE, and finally SPECULATOR.

Net Position

Net quantity is expressed as either positive (long) and negative (short)

netQty
“1.0”

Conditional

decimal (can be negative)

Required if portfolio AccountType is not Omnibus

Acceptable values can only be integers

Naked Long Quantity

Buy quantity for naked margin treatment (see omnibus/PID notes)

nakedLongQty
“1.0”

Conditional

decimal (cannot be negative)

Only allowable for Omnibus account types, but never required

Acceptable values can only be integers

Naked Short Quantity

Sell Quantity for naked margin treatment (See omnibus/PID notes)

nakedShortQty
“1.0”

Conditional

decimal (cannot be negative)

Only allowable for Omnibus account types, but never required

Acceptable values can only be integers

Instrument

Clearing Organization Id

User defined clearing organization

clearingOrganizationId

“CME”

Required

string


Exchange ID

Name of Exchange in which the contracts are listed

exchangeId
“CBT”

Required

string

For CME Group Exchanges, acceptable values are CME, CBT, NYMEX, COMEX, NYM, CMX

Product Code

CME Clearing House Product Code

productCode
“17”

Required

string


Product Type

Name of the product type

productType
“FUT”

Required

string

Acceptable values are FUT, OOF, OOP, OOC, FWD

Contract Period Code

Maturity Date of Product

periodCode
“201809”

“20180920”

“201809W1”

Required

string

Example values are: YYYYMM, YYYYMMDD, YYYYMMW1, YYYYMMW2, YYYYMMW3, YYYYMMW4,

YYYYMMW5

Put/Call Indicator

Whether the option trade is a PUT or CALL

putCallInd
“C”

Conditional

string

Required if ProductType = OOF, OOC, OOP

Acceptable values are P or C

Strike

Strike Price for options

strike
“80.00”

Conditional

decimal

Required if ProductType = OOF, OOC, OOP

Underlying Period Code


Maturity Date of underlying product

 UnderlyingPeriodCode
“201809”

“20180920”

“201809W1”

Optional

string

Used if ProductType = OOF, OOC, OOP

If an option’s values have multiple similarities (i.e. product code and period code), than this field is required

 

ERD Request Data Model

Portfolio Request Use Cases

A single user generated portfolio ID will correspond to a margin requirement.  The requirement may contain entity information (which the user has provided) and will reflect omnibus and position in delivery as outlined below.

Scenario

Input Comments

Output Comments

Simplest structure

Portfolio contains required fields only

Positions defined as net

User maps requirement to correspond with portfolio ID

Undisclosed Omnibus

Portfolio contains portfolio ID and user has option to populate entity information

Positions defined as Naked Long and Naked Short

Response contains portfolio ID and entity information if populated. 

Disclosed Omnibus

or

Partially Disclosed Omnibus

Parent Portfolio contains Portfolio ID and Omnibus flag. Positions are optional in the parent. If there are positions, they must be expressed as Naked Long and Naked Short

Child Portfolio contains unique portfolio ID and Entity information and references to Parent Portfolio ID.  Positions are required

Parent and Child Portfolios sharing a disclosed omnibus relationship must all be sent in the same margin request

Results for the Parent Portfolio will be reflected through the Portfolio ID of the Parent and will equal the sum of all child portfolio requirements linked to the parent plus the margin requirement of the parent portfolio positions.

The Child Portfolios will contain requirements corresponding to the Child Portfolio ID.  The Child Portfolio result will also contain a reference to the Parent Portfolio ID in the entities block for linking results back a particular margin request. 


Positions in Delivery

Can occur under any of the other portfolio request scenarios and positions in deliver must be specified as naked long and naked short quantities

Margin Results will include Positions in Delivery. 


Outputs

This section contains the initial draft for reporting results for Futures and Options portfolios.

The Margin Results Message for SPAN 2 will be organized at various levels (portfolio, pod, product group) and each level will contain further details for Margin Requirements and valuations further broken down by currency when applicable. This structure will support results for Futures and Options products margined through SPAN and SPAN 2 risk models.     

Currency, Margin, and Valuation requirements may reflect aggregation of the levels below. As the requirements are further decomposed to the Pod level, the results will become model specific. Each Pod has a margin method to describe the type of results.  At the product group level, results are detailed in margin component amounts which will be conditionally populated based on whether the product group result details are derived from the SPAN or SPAN 2 margin model. The Results Data Overview provides further details around how margin requirements map to specific risk models.

Overview of the Margin Result Structure for SPAN 2

Margin Result Structure Explained:

Point in time specifies:

      Business date
      Cycle code
      Run number

      Time

Point in time contains an array of portfolios

Each portfolio may contain

      Entity attributes: -- firm ID, account ID, seg (the things that make the account unique), omnibus or not

     Result Details

     An array of currency breakdowns

     An array of CCP’s (new generic term for exchange complex)


Each CCP contains

     Result Details

     An array of currency breakdowns

     An array of pods


Each pod may contain: (new generic term for combined commodity)

    Result Details

    An array of product Groups

    A Currency


Product Group – is always in a currency  

    Result Details

Result Details are:

    The margin requirement amounts

    The valuation amounts

Report - Terminology for Key Fields:

Level:

  • Pod: With SPAN2 margin methodology, margin requirements are calculated at POD level. It is the atomic level where margin calculation occurs.
    • For SPAN, this is analogues to ‘Combined Commodity’
    • For SPAN2, this represent grouping of products that are going to be margined using new SPAN2 margin methodology. For Day 1 implementation i.e. Energy asset class, we have two PODs – (1) Crude & Refined products and (2) Natural Gas products
  • ProductGroup: Product groups level further breaks down the risk from one POD to different Product Groups.  A POD can have one or more Product groups. Records with Level=ProductGroup are only going to be available for SPAN2 PODs

Note: A separate report will be shared which would provide mapping of Pod/ProductGroups and associated products https://www.cmegroup.com/confluence/display/EPICSANDBOX/Margin+Report+Specifications

  • Portfolio: This represents Portfolio level Risk requirement, and Total requirements including Net Option Value.
    • For CGM based portfolios, this will represent margin requirement for each customer account id, for each of its performance bond account. If it is an Omnibus account, then at this level, we would show aggregated margin requirement which will be inclusive of its children if any.
    • For House based portfolios, this will represent margin requirement for each HOUS performance bond account.

 

Margin Results Data Model

Category

Attribute

Description

json field names & examples

Presence; if optional see Data Rules

Data Type

Data Rules

Header

RequestID

User generated Request Id from the margin request message

requestId

“OUTPUT_123456789”

Pass-Thru

string


Version

Version of risk API

version
“1.0”

Pass-Thru

string


Sent Time

User generated system create time for message

sentTime
“2018-03-01T17:43:10.513Z”

Pass-Thru

dateTime


Point In Time

Business Date

Business date of margin run

businessDt

“2018-02-28”

Pass-Thru

date

Date format expressed as    YYYY-MM-DD

Cycle Code

User defined description to distinguish between different point in time

cycleCode

“EOD”

Pass-Thru

string

Acceptable values are: AM, EARLY, ITD, or EOD (Note: Values AM, EARLY, and ITD are not yet supported)

Run Number

Run Number field will increment if used multiple times within a specific CycleCode

runNumber

“1”

Pass-Thru

integer


Time

Populated with the current timestamp when the market data file gets created

time

“17:43:09”

Pass-Thru

time


Portfolio

Id

User defined Portfolio Id from the margin request message. Margin results at portfolio level will correspond to this ID

id
“PORTFOLIO_1”

Pass-Thru

string

One margin result will be generated per portfolio ID

Currency

Different currencies can be given for overall portfolio requirements and for each product’s performance bond requirements. In this case, portfolio currency

currency
“USD”

Pass-Thru

string

See Appendix for complete list of acceptable currencies

Customer Account Type

Account Type Considerations

customerAccountType
“HEDGE”

Pass-Thru

string

Acceptable values are MEMBER, HEDGE, SPECULATOR, HEIGHTENED*, NON_HEIGHTENED*.

Omnibus accounts can only be HEDGE, SPEC, HEIGHTENED*, or NON_HEIGHTENED*.

*(Note: Values Heightened and Non_Heightened are not yet supported. The values SPECULATOR and HEDGE are implied as HEIGHTENED and NON_HEIGHTENED , respectively.)

Omnibus Indicator

Omnibus Indicator - (YES /NO)

omnibusInd
“NO”

Pass-Thru

string


Parent Portfolio ID

ID of the parent portfolio

parentPortfolioId
“NULL”

Pass-Thru

string


Memo

Free form field used by the user to pass through information

memo

Pass-Thru

string

Used to pass additional portfolio referential data between the margin request and margin response

Transaction Count

Represents the number of position records that were successfully processed

transactionCnt

Required

integer


Entities

Clearing Firm Id

User defined Clearing firm alphanumeric Id

firmId
“001”

Pass-Thru

string

For cross margining, this field represents the exchange complex id

Account ID

User defined account alphanumeric ID

accountId
“Account1”

Pass-Thru

string


Account Name

User defined name for account

accountName
“John Doe”

Pass-Thru

string


Origin Type

Used to designate the manner in which transactions, positions, and funds are segregated as required by regulators

originType
“CUSTOMER”

Pass-Thru

string

Values in the response will be populated as either: HOUSE or CUSTOMER

Fund Segregation Type

Fund Segregation Type

segregationType
“CSEG”

Pass-Thru

string

Result will display the following values: CSEG, CNSEG, COTC, NSEG, SECURED

CCP

Clearing Organization Id

CCP abbreviation (CME)

clearingOrganizationId

“CME”

Required

string


Exchange RateExchange rate from margin request currency to reported currencyexchangeRtOptionalstring

SPAN margin method: This will not be populated


SPAN 2 margin method: This will be present for SPAN and SPAN 2 products when running for SPAN 2 market data

Pod

Pod

Risk based grouping of related products for margin reporting

podId
“Ags”, “Crude”, “Nat Gas”, "ED"

Required

string

For SPAN products, each SPAN BFCC code will be it’s own POD Id.

Product Description

Description of the Pod Id

productDescription
“Eurodollar Futures”

Optional

string

SPAN margin method: This will be populated with the description of the product code in the POD Id.

SPAN 2 margin method: This will be duplicative of the podId field.

Margin Method

Description of which margin method was used for margin calculations

marginMethod

“SPAN2”

Required

string

Acceptable values are SPAN and SPAN2

Customer Account Type

Account Type considerations impacting the margin ratio.

This field indicates how initial margin is calculated for this Pod.

customerAccountType
“HEDGE”

Pass-Thru

string

This field indicates how initial margin is calculated for this POD.

Acceptable values are MEMBER, HEDGE, SPECULATOR, HEIGHTENED*, NON_HEIGHTENED*.

Omnibus accounts can only be HEDGE, SPEC, HEIGHTENED*, or NON_HEIGHTENED*.

*(Note: Values Heightened and Non_Heightened are not yet supported. The values SPECULATOR and HEDGE are implied as HEIGHTENED and NON_HEIGHTENED , respectively.)

See note in Inputs section regarding account over-ride.

Product Group

This level is only applicable if PODs that have SPAN 2 margin method.

Product Group ID

Lowest level details of margin results and is contained under pod level

productGroupId
“NG”

Optional

string

This will only show up for SPAN 2 margin method.

Product Description

Description of the Product Group

productDescription
“Henry Hub Natural Gas”

Optional

string

This will only show up for SPAN 2 margin method.

Currency Amounts

In the absence of currency breakdown, values will be represented in the portfolio currency

Currency

Currency defined

currency

“USD”

Required

string

See Appendix for complete list of acceptable currencies

Requirement Amounts

Provide transparency into the decomposition of the margin requirement

Risk Maintenance Requirement

Risk maintenance requirement (includes Scan Risk + all Spread credits/charges and SOM)

riskMaintenanceRequirement
“1.0”

Required


decimal

At the Product Group level, SOM will not be included in the calculation.

Risk Initial Requirement

Risk requirement initial level margin (includes Scan Risk + all Spread credits/charges and SOM)

riskInitialRequirement
“1.0”

Optional

decimal

This will not show up at the Product Group level.

Total Maintenance Requirement

Risk Maintenance Requirement –  Net Option Value

totalMaintenanceMargin

“1.0”

Optional

decimal

This will not show up at the POD or Product Group level.

Total Initial Requirement

Risk Initial Requirement – Net Option Value

totalInitialMargin

“1.0”

Optional

decimal

This will not show up at the POD or Product Group level.

Net Option Value

Long Option Value – Short Option Value

netOptionValue
“1.0”

Optional

decimal

This will not show up at the Product Group level.

Cross Model Offset

Cross Model Offset

crossModelOffset

“1.0”

Optional

decimal

This value will only show up at the Portfolio and CCP levels.

Valuation Amounts

Valuation amounts refer to price, npv, futures, and options values

Option Value Long Equity Style

Option value for long equity style options positions

optionValueLongEquityStyle
“1.0”

Optional

decimal

This value will not show up at the Product Group level.

Option Value Short Equity Style

Option value for short equity style options positions

optionValueShortEquityStyle
“1.0”

Optional

decimal

 This value will not show up at the Product Group level.

Option Value Long Futures Style

Option value for long futures style options positions

optionValueLongFuturesStyle
“1.0”

Optional

decimal

 This value will not show up at the Product Group level.

Optional Value Short Futures Style

Option value for short futures style options positions

optionValueShortFuturesStyle
“1.0”

Optional

decimal

 This value will not show up at the Product Group level.

Non Option Value Long

Value for long non-options positions

nonOptionValueLong
“1.0”

Optional

decimal

 This value will not show up at the Product Group level.

Non Option Value Short

Value for short non-options positions

nonOptionValueShort
“1.0”

Optional

decimal

 This value will not show up at the Product Group level.

Component Amounts

Component amounts will not be visible for SPAN POD

Liquidity Component

Liquidity risk amount -

liquidityComponent
“1.0”

Optional

decimal

SPAN 2 component, only present when Margin Method=SPAN2

Concentration Component

Concentration risk amount

concentrationComponent
“1.0”

Optional

decimal

SPAN 2 component, only present when Margin Method=SPAN2

Stress Component

Stress risk amount

stressComponent
“1.0”

Optional

decimal

SPAN 2 component, only present when Margin  Method=SPAN2

HVaR Component

HVaR risk amount

“hvarComponent
“1.0”

Optional

decimal

SPAN 2 component, only present when Margin Method=SPAN2

Naked Long Component

Naked long positions risk amount

nakedLongComponent
“1.0”

Optional

decimal

SPAN/SPAN 2 component
This field is populated only if there is a qty in 'nakedLongQty' in the input portfolio

Naked Short Component

Naked short positions risk amount

nakedShortComponent
“1.0”

Optional

decimal

SPAN/SPAN 2 component
This field is populated only if there is a qty in 'nakedShortQty' in the input portfolio

Short Option Minimum

To cover the risks associated with deep-out-of-the-money short options positions. Each margin model assesses a minimum portfolio requirement based on the  corresponding short options contained in the portfolio.  The performance bond requirement cannot fall below this floor level

shortOptionMinimum

“1.0”

Optional

decimal

SPAN/SPAN 2 component
SPAN margin method:
SOM component will show up under the Product Group level for SPAN
SPAN 2 margin method:
SOM component will show up under the POD level for SPAN 2

Implied OffsetComputed benefit of portfolio margining at given reporting level

impliedOffset

"1.0"

Optionaldecimal

SPAN 2 component, only present when Margin Method=SPAN2

This field is populated only in Pod level reporting.

Scan Risk

The requirement derived by Span which reflects the hypothetical single-day exposure given the Exchange or Clearing Organization's

scanRisk
“1.0”

Optional

decimal

SPAN component, only present when Margin Method=SPAN

This field is populated only if there is a qty in ‘netQty’ in the input portfolio

Intracommodity Spread Charge

Intracommodity Charge: Additional charge that covers the calendar basis risk that may exist for portfolios containing futures and options with different expirations

intraCmdtySpreadCharge
“1.0”

Optional

decimal

SPAN component, only present when Margin Method=SPAN

SPAN component, only present when Margin Method=SPAN

Intercommodity Spread Credit

Intercommodity credit: Performance Bond reduction resulting from offsetting positions in related instruments

interCmdtySpreadCredit
“1.0”

Optional

decimal

SPAN component, only present when Margin Method=SPAN

SPAN component, only present when Margin Method=SPAN

InterExchange Spread Credit

Interexchange credits for spread positions at different exchanges

interExchSpreadCredit

“1.0”

Optional

decimal

SPAN component, only present when Margin Method=SPAN

SPAN component, only present when Margin Method=SPAN

Spot Charge

Spot Charge: Additional charge that covers the risk of products nearing expiration

spotCharge
“1.0”

Optional

decimal

SPAN component, only present when Margin Method=SPAN

SPAN component, only present when Margin Method=SPAN

Intercommodity Volatility Credit

Intercommodity Volatility Credit

interCmdtyVolatilityCredit
“1.0”

Optional

decimal

SPAN component, only present when Margin Method=SPAN

SPAN component, only present when Margin Method=SPAN

 Full Value ComponentAdditional delivery margin charge based on the full contract value 

fullValueComponent

"1.0" 

Optionaldecimal SPAN/SPAN 2 component 



ERD/Data Model 

         



                               

Understanding Margin Results

Overview

The purpose of this Section  is to describe the formulas used for calculating margin requirements under the CME’s new F&O Margin model, SPAN 2. The foundation of this document is around the Risk API specification pertaining to the output to SPAN 2 as the Risk API reflects the data structure for integrating with our margin services tools.  This document described calculated values relevant to computing portfolio level requirements for SPAN and SPAN 2 based on the outputs of the Risk API. The Risk API Framework is used across all SPAN 2 Margin Reporting from CME including production parallel margin report, deployable margin software and CME CORE. Each service will consistently apply the use of the risk attributes defined.  Further inquiries into the the underlying SPAN or SPAN 2 calculations should be directed to posttradeservices@cmegroup.com.

SPAN 2 Methodology and Framework

Like SPAN, the SPAN 2 framework will be based on a Value at Risk (HVaR) framework, using historical data to model how a position or portfolio may gain or lose value under various risk scenarios.

The SPAN 2 framework will allow implementation of granular and dynamic adjustments to margins at a pod and portfolio level. In addition, enhanced reporting of margining into different risk factors such as market risk, liquidity, and concentration will be provided.

Framework Components and Risk Methodology

SPAN 2 Portfolio Calculations =  Market Risk +  Liquidity  +  Concentration


Market Risk

Market Risk under SPAN 2 framework is calculated as the total of HVaR and Stress VaR.

HVaR Overview

Assess the potential losses a portfolio can incur due to the daily price movements over a reasonable lookback period. HVaR uses  historical data from an appropriate lookback and scenarios are generated using volatility and correlation scaling. Explicit treatment is made for seasonal risk and for options where the implied volatility surface issued included skew as risk factors. Like SPAN, the SPAN 2 framework will be based on a Value at Risk (HVaR) framework, using historical data to model how a position or portfolio may gain or lose value under various risk scenarios.

Stress VaR Overview

Assess the potential losses a portfolio can incur due to market events. This framework allows risk managers to add expert judgment to manage seen and unforeseen risk and is made of two parts.

Historical SVaR

This is comprised of actual historical events within or outside the HVaR lookback window, including:

  • Historical scenarios from long-term look-back: rebase with market environment conservatively
  • Historical scenarios from short-term look-back: provide counter-cyclicality but not punitively
  • Historical scenarios selected for specific risk profiles

Hypothetical SVaR

This is the framework that allows for the inclusion of scenarios that may not have occurred in history but can be assessed as future risk, including:

  • Structurally typing curve movements as parallel, slope, and curvature shifts
  • Construct curve-shift with historical data inference
  • Any specific scenario the risk managers define

Portfolio Liquidity Charge

The liquidity charge captures close out costs during a default, based on available bid/ask spreads from central limited order book. Close out costs are assessed according to trading practices and costs observed in the market. The costs are calibrated to actual traded information for products when available.


Concentration Charge

The concentration charge accounts for the additional cost of closing out large portfolios due to their size, an add on if the size of the holding is higher than specific threashold calibrated using daily volumes.

Margin Response

Outputs for an F&O portfolio will contain the following data definitions for the Risk Portfolio Response Message.   The Risk Portfolio Message structure will be organized at various levels (portfolio, ccp, pod, product group) and each level will contain further details for Margin Requirements and Valuation amounts further broken down by currency when applicable. This structure will support results for Futures and Options products margined through SPAN and SPAN 2 risk models.    


Margin Results Formula Data Model

Framework Components and Risk Methodology

Risk Initial Requirement =  RiskInitialRequirement(Pod1) +..+ RiskInitialRequirement(Pod𝑛) + CrossModelOffset

Level

Sub-Level

Attribute

Formula

Portfolio

RequirementAmts

RiskMaintenanceRequirement

RiskMaintenanceRequirement(CCP1) +..+ RiskMaintenanceRequirement(CCPn ) + CrossModelOffset

Portfolio

RequirementAmts

RiskInitialRequirement

RiskInitialRequirement(CCP1) +..+ RiskInitialRequirement(CCPn) ) + CrossModelOffset

Portfolio

RequirementAmts

TotalMaintenanceMargin

RiskMaintenanceRequirement - NetOptionValue

Portfolio

RequirementAmts

TotalInitialMargin

RiskInitialRequirement - NetOptionValue

Portfolio

RequirementAmts

NetOptionValue

 NetOptionValue(CCP1) + NetOptionValue(CCP2) + ..

Portfolio

ValuationAmts

OptionValueLongEquityStyle

OptionValueLongEquityStyle(CCP1) + OptionValueLongEquityStyle(CCP2) + ..

Portfolio

ValuationAmts

OptionValueShortEquityStyle

OptionValueShortEquityStyle(CCP1) + OptionValueShortEquityStyle(CCP2) + ..

Portfolio

ValuationAmts

OptionValueLongFutureStyle

OptionValueLongFutureStyle(CCP1) + OptionValueLongFutureStyle(CCP2) + ..

Portfolio

ValuationAmts

OptionValueShortFutureStyle

OptionValueShortFutureStyle(CCP1) + OptionValueShortFutureStyle(CCP2) + ..

Portfolio

ValuationAmts

NonOptionValueLong

NonOptionValueLong(CCP1) + NonOptionValueLong(CCP2) + ..

Portfolio

ValuationAmts

NonOptionValueShort

NonOptionValueShort(CCP1) + NonOptionValueShort(CCP2) + ..

CCP

RequirementAmts

RiskMaintenanceRequirement

RiskMaintenanceRequirement(Pod1) +..+ RiskMaintenanceRequirement(Pod𝑛

CCP

RequirementAmts

RiskInitialRequirement

RiskInitialRequirement(Pod1) +..+ RiskInitialRequirement(Pod𝑛)

CCP

RequirementAmts

TotalMaintenanceMargin

RiskMaintenanceRequirement - NetOptionValue

CCP

RequirementAmts

TotalInitialMargin

RiskInitialRequirement - NetOptionValue

CCP

RequirementAmts

NetOptionValue

NetOptionValue(Pod1) + NetOptionValue(Pod2) + ..

CCP

ValuationAmts

OptionValueLongEquityStyle

OptionValueLongEquityStyle(Pod1) + OptionValueLongEquityStyle(Pod2) + ..

CCP

ValuationAmts

OptionValueShortEquityStyle

OptionValueShortEquityStyle(Pod1) + OptionValueShortEquityStyle(Pod2) + ..

CCP

ValuationAmts

OptionValueLongFutureStyle

OptionValueLongFutureStyle(Pod1) + OptionValueLongFutureStyle(Pod2) + ..

CCP

ValuationAmts

OptionValueShortFutureStyle

OptionValueShortFutureStyle(Pod1) + OptionValueShortFutureStyle(Pod2) + ..

CCP

ValuationAmts

NonOptionValueLong

NonOptionValueLong(Pod1) + NonOptionValueLong(Pod2) + ..

CCP

ValuationAmts

NonOptionValueShort

NonOptionValueShort(Pod1) + NonOptionValueShort(Pod2) + ..

POD

RequirementAmts

RiskMaintenanceRequirement

If POD only has Long Equity style options position in it
     RiskMaintenanceRequirement = Min (Sum of Hvar & Svar Components at POD Level, LOVEquityStyle) + LiquidityComponent + ConcentrationComponent

Else
     RiskMaintenanceRequirement = Max (Sum of Hvar & Svar Components at POD Level, ShortOptionMin) + LiquidityComponent + ConcentrationComponent

Note: LOVEquityStyle in this case will be same as NetOptionValue, so the two can be used interchangebaly in above formula

POD

RequirementAmts

RiskInitialRequirement

If POD only has Long Equity style options position in it
     RiskInitialRequirement = Min (RiskMaintenanceRequirement * IM factor for POD, LOVEquityStyle)

Else
     RiskInitialRequirement = Max (RiskMaintenanceRequirement * IM factor for POD

Note: LOVEquityStyle in this case will be same as NetOptionValue, so the two can be used interchangebaly in above formula

POD

RequirementAmts

NetOptionValue

OptionValueLongEquityStyle - OptionValueShortEquityStyle

 Product GroupRequirementAmts RiskMaintenanceRequirement 

RiskMaintenanceRequirement = Sum of Margin Components at Product Group Level

 

 List of Currencies

AUD, BRL, GBP, CAD, CHF, CHP, CLP, COP, CNH, CNY, CZK, DKK, EUR, HKD, HUF, IDR, ILS, INR, JPY, KRW, MXN, MYR, NZD, NOK, PEN, PHP, PLN, RUB, SEK, SGD, THB, TRY, TWD, USD, ZAR

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