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Risk Based Haircuts Documentation

The following is a list of Risk Based Haircuts documentation and their posted dates.

Document Download Format
RBH Manual - Updated 11/01/2016
An overview of the risk-based haircut methodology along with file layouts and calculation examples.
  Download as PDF
ENCORE DDS Guide – Risk Based Haircuts / Customer Portfolio Margining (RBH/CPM) Updated 02/23/2016
Provides the transmission layouts, message structures and FIXML elements for the RBH/CPM DDS.

NOTE: The FIXML Schema Definition (XSD) files contain the FIXML base components and extensions necessary to implement the data service.

  Download as PDF
RBH Offsets Matrix - Updated 2/07/2017
A more detailed listing of risk-based haircut treatment for indexes, containing information on class and product group offsets as well as minimum haircuts and capitalization requirements.
Download as XLS Download as PDF
Valid RBH & CPM Basket Codes
A Listing of valid basket codes being disseminated by OCC in the control records on the RBH profits & loss files.
Download as CSV Download as PDF
Index Futures in RBH
A list of index futures allowed in RBH processing, along with their respective contract quantities and exchanges.
Download as CSV Download as PDF
Valid Currency Symbols - Updated 11/01/2016
A list of active currency option symbols, which are required to include spot currency positions in a haircut calculation.
Download as XLS Download as PDF
Enhanced Returns ETFs
A list of exchange traded funds (ETFs) that are designed to achieve daily investment returns that correspond to 1) inverse daily returns of a benchmark index, 2) multiples of the return of the index, or 3) inverse multiples of the daily returns of the benchmark index.
Download as CSV Download as PDF
Bond and Treasury Debt ETFs
A list of ETFs included in the Theoretical Profit and Loss Files for RBH and CPM that are based on government and corporate bonds as well as Treasury debt issues.
Download as CSV Download as PDF

FMS Translation Report - PILOT
The FMS Translation Report provides a summary of FMS products and their key identification parameters, such as symbol, exchange, and native currency. The report is also included in RBH/CPM FIXML file transmissions to subscribers. The report includes the OCC generated FMS-ID for each product, however the FMS-ID is not required in position files, nor is it included in RBH/CPM P&L files distributed in FIXML.

NOTE: FMS stock and option theoretical values are currently available in the FIXML formatted RBH/CPM theoretical output files. FMS data is currently provided as part of a pilot program.

Download as CSV Download as PDF

Portfolio Margin Calculator (PMC) User Guide - Updated 01/25/2016

Provides an overview of the Portfolio Margin Calculator tool along with the position file description.

  Download as PDF

PMC Position File Template - Updated 08/03/2015

Provides an example of necessary fields and correct formatting of a position file for the Portfolio Margin Calculator tool.

Download as XLS