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See also the layout of the original ("standard") portfolio data file layout.

The record types are:

The record type 5 -- the Expanded Position Record -- suppports a 14-byte strike price and has additional filler bytes added so that in future the CUSIP or ISIN number of the underlying of an option on an equity can be added.  The expansion of the strike price field to 14 bytes is needed for the options on equities traded at the Monep market in Paris.


Record type 1 - Header Record

LengthFromToDatatypeFormatDescription and Comments
111ANX(1)Record ID - "1"
223--Filler
8411N9(8)Business Date as YYYYMMDD
11212AXFile identifier - S for final settlement, E for early (preliminary) settlement, G for electronic (GLOBEX) trading hours, or I for intra-day.
41316N9(4)Business Time as HHMM
81724N9(8)File Creation Date as YYYYMMDD
42528N9(4)File Creation Time as HHMM
12929ANX(1)File format - "E" for "expanded".  Blank, null or any value other than "E" implies standard format.

 

Record type 2 - Portfolio Record


LengthFromToDatatypeFormatDescription and Comments
111ANX(1)Record ID - "2"
324ANX(3)Clearing Member Firm
20524ANX(20)Account Number / ID
12525AX

Account Type. 

For client account types when clearing firms are calculating requirements for individual accounts: M for Member Account, H for Hedger Account, S for Spec Account, O for Omnibus Account, Q for Omnibus Hedge account. 

In addition, in 2020 support will be added for R for Heightened Risk Profile and X for Non-Heightened Risk Profile.  Also account type O will be redefined as meaning an Omnibus Account with a Heightened Risk Profile and account type Q will be redefined as an omnibus account with a Non-Heightened Risk Profile.

Account type F is used to specify a clearing firm account when a CCP is margining a clearing firm.

52630ANX(5)Segregation Type (Origin) - CUST or HOUS
203150ANX(20)Subaccount of: If this record is a Hedge or Spec Subaccount of an Omnibus Account, this field should contain the Omnibus Account number. The 2 record for the omnibus account must precede the 2 record for its subaccounts (or the omnibus account portfolio record must already be defined in the PC-SPAN database.)
15151AXnew Portfolio flag: Y or N
125263N9(10)V9(2)Ledger Balance, right justified, with two implied decimal places representing hundredths of a currency unit. For accounts only, not relevant to firms. If negative, with a leading minus sign. If this record is for a firm, enter zero.
126475N9(10)V9(2)Open Trade Equity, right justified, with two implied decimal places. For accounts only, not relevant to firms. If negative, with a leading minus sign. If this record is for a firm, enter zero.
127687N9(10)V9(2)Securities on Deposit, right justified, with two implied decimal places. For accounts only, not relevant to firms. If this record is for a firm, enter zero.
18888AXApply User Scaleups? Flag - either Y or N. If it has been specified on the Maintain System Parameters screen that User Scaleups apply only to designated accounts, this field specifies whether scaleups apply to this particular account.
58993ANX(5)Business Function:  for SPAN 4 -- specifies the business function for which this position is defined
59498ANX(5)Clearing Member Firm -- for SPAN 4 -- provides the full five bytes for the clearing member firm ID
1599113ANX(15)Performance Bond Account ID:  for SPAN 4 -- specifies the PB account
5114118ANX(5)Position Segregation Type (Origin):  for SPAN 4 -- further identifies the performance bond account to which this position pertains
3119121ANX(3)Portfolio Currency - for example, USDCAD, ...- Overall currency for PB requirement
1122122ANX(1)Customer-Clearing Portfolio Use Long Option Value Flag - N for No, or or any other value for Yes.  Applies only to calculations for clearing-level customer-origin portfolios.  Added for the Common Clearing Link to support specification of whether CBOT positions in customer-origin clearing portfolios should be margined net but without use of Long Option Value, or according to submitted spreads and with full use of Long Option Value.  Set to Y if the firm wants CME-style customer-origin margining with full use of LOV, or CBT-style customer-origin margining without use of LOV.

 


Record type 3 - Position Record

LengthFromToDatatypeFormatDescription and Comments
111ANX(1)Record ID - "3"
324ANX(3)Clearing Member Firm
20524ANX(20)Account Number / ID
32527ANX(3)Exchange Acronym
22829--Filler
63035ANX(6)Combined Commodity Code
103645ANX(10)Commodity (Product) Code
34648ANX(3)Contract Type - PHY for Physical, FUT for Future, CMB for Combination, OOP for Option on Physical, OOF for Option on Future, OOC for Option on Combination
14949AXPut / Call Code - P or C
85057AN9(6)X(2)Futures Contract Period as CCYYMMXX where XX is blank for standard monthly futures, a specific day of the month for futures expirations to the day, W1W2 etc. for weekly futures, or other identifier.
15858ANXAccount type override.  Optional.  Used to specify an account type for this position different from the account type for the account as a whole specified on the type "2" record.  Relevant only for non-omnibus accounts.  Allowable values are M for member, H for hedge, or S for spec.
85966AN9(6)X(2)Option Contract Period as CCYYMMXX where XX is blank for standard monthly options, a specific day of the month for option expirations to the day, W1W2 etc. for weekly options, or other identifier.
16767ANX(1)Strike price sign.  + or -.  Any value besides - means positive.
76874N9(7)Strike Price
87582N9(8)Net Position, with leading minus sign if short. This field applies to account positions for non-omnibus accounts, or to clearing firm positions at clearing organizations (or for cross-margin agreements) which calculate performance bonds on a net position basis. (For omnibus accounts or gross-basis clearing firm positions, enter zero.)
88390N9(8)Total Long Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
89198N9(8)Total Short Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
899106N9(8)Intra-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8107114N9(8)Intra-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8115122N9(8)Inter-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8123130N9(8)Inter-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
9131139N9(9)Product Family ID Number:  for SPAN 4 -- specifies the unique internal ID number for this product family
9140148N9(9)Contract ID Number:  for SPAN 4 -- specifies the unique internal ID number for this contract
5149153ANX(5)Business Function:  for SPAN 4 -- specifies the business function for which this position is defined
5154158ANX(5)Clearing Member Firm -- for SPAN 4 -- provides the full five bytes for the clearing member firm ID
15159173ANX(15)Performance Bond Account ID:  for SPAN 4 -- specifies the PB account
5174178ANX(5)Position Segregation Type (Origin):  for SPAN 4 -- further identifies the performance bond account to which this position pertains

 

Record type 5 - Expanded Position Record

LengthFromToDatatypeFormatDescription and Comments
111ANX(1)Record ID - "5"
324ANX(3)Clearing Member Firm
20524ANX(20)Account Number / ID
32527ANX(3)Exchange Acronym
22829--Filler
63035ANX(6)Combined Commodity Code
103645ANX(10)Commodity (Product) Code
34648ANX(3)Contract Type - PHY for Physical, FUT for Future, CMB for Combination, OOP for Option on Physical, OOF for Option on Future, OOC for Option on Combination
14949AXPut / Call Code - P or C
85057AN9(6)X(2)Futures (Underlying) Contract Period as CCYYMMXX where XX is blank for standard monthly futures, a specific day of the month for futures expirations to the day, W1W2 etc. for weekly futures, or other identifier.
125869--Filler. Reserved for future expansion in case of multiple expirations per day.
87077AN9(6)X(2)Option Contract Period as CCYYMMXX where XX is blank for standard monthly options, a specific day of the month for option expirations to the day, W1W2 etc. for weekly options, or other identifier.
17878ANX(1)Strike Price Sign.  + or -.  Any value besides - means normal positive.
147992N9(7)V9(7)Strike Price
893100N9(8)Net Position, with leading minus sign if short. This field applies to account positions for non-omnibus accounts, or to clearing firm positions at clearing organizations (or for cross-margin agreements) which calculate performance bonds on a net position basis. (For omnibus accounts or gross-basis clearing firm positions, enter zero.)
8101108N9(8)Total Long Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8109116N9(8)Total Short Positions. Only for omnibus accounts or for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8117124N9(8)Intra-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8125132N9(8)Intra-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8133140N9(8)Inter-commodity Spreadable Long Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
8141148N9(8)Inter-commodity Spreadable Short Positions. Only for clearing firm portfolios which are margined on a gross basis. (For all others, enter zeros or omit.)
9149157N9(9)Product Family ID Number:  for SPAN 4 -- specifies the unique internal ID number for this product family
9158166N9(9)Contract ID Number:  for SPAN 4 -- specifies the unique internal ID number for this contract
5167171ANX(5)Business Function:  for SPAN 4 -- specifies the business function for which this position is defined
5172176ANX(5)Clearing Member Firm -- for SPAN 4 -- provides the full five bytes for the clearing member firm ID
15177191ANX(15)Performance Bond Account ID:  for SPAN 4 -- specifies the PB account
5192196ANX(5)Position Segregation Type (Origin):  for SPAN 4 -- further identifies the performance bond account to which this position pertains
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