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Risk Based Haircuts (RBH) Theoretical Profit and Loss Data

Using its approved pricing models, OCC provides theoretical profit and loss values for all of its cleared option series, futures contracts, and their related instruments, as well as products included in cross margin agreements. This data is used in third party software to calculate capital charges based on parameters set forth in the Net Capital Rule 15c3-1. The files include the following information:

  • Calculation Parameters
  • Basket IDs
  • Class and Product Group IDs
  • Symbol
  • Record Type
  • Minimum Charge
  • Theoretical Closing Price
  • Theoretical Profit and Loss Values at Ten Price Points
  • Theoretical Closing Price Option Volatility

The data is available nightly at approximately 8:00 pm CT.

Record Layout

Record Layout is available in the ENCORE DDS Guide - Risk Based Haircuts / Customer Portfolio Margining (RBH/CPM) (PDF).

Sample Data

Please note that these samples are for reference purposes only and do not include complete data.

Connectivity

OCC uses SFTP for the transfer of data. SFTP is the SSH File Transfer Protocol. SFTP allows for secure, encrypted, and compressible file transfers over any reliable network.

Fees

The fee to receive the RBH/CPM Theoretical Profit and Loss Data Files is $1,000 per month for non-clearing members.

For further information please see the RBH web page or contact risksystems@theocc.com.