RBH/CPM User Guide - PDF
An overview of the risk-based haircut methodology along with file layouts and calculation examples. Updated 06/28/2020
CPM Parameters - XLSX
ENCORE DDS Guide – RBH/CPM
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. Updated 08/18/2018
RBH Parameters - XLSX
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.
RBH/CPM Eligible Products - PDF | CSV
A detailed list of options, futures, warrants, equities, and currencies that are distributed on the RBH/CPM files.
RBH/CPM Class Groups - PDF | CSV
A listing of class groups in RBH/CPM including associated product group and basket ID information.
RBH/CPM Product Groups - PDF | CSV
A listing of all product groups in RBH/CPM including product group offsets and market move parameters for customer, broker and market maker accounts.
RBH/CPM Portfolio Groups - PDF | CSV
A listing of all portfolio groups in RBH/CPM including offsets and the product groups within each portfolio group.
Valid RBH and CPM Basket Codes - PDF | CSV
A listing of valid basket codes being disseminated by OCC in the control records on the RBH profits and loss files.
Index Futures in RBH - PDF | CSV
A list of index futures allowed in RBH processing, along with their respective contract quantities and exchanges.
Valid Currency Symbols - PDF | XLS
A list of active currency option symbols, which are required to include spot currency positions in a haircut calculation. Updated 11/01/2016
Enhanced Returns ETFs - PDF | CSV
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.
Bond and Treasury Debt ETFs - PDF | CSV
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.
Valid Currency Symbols - PDF | XLS
A list of active currency option symbols, which are required to include spot currency positions in a haircut calculation. Updated 11/01/2016
FMS Translation Report - PDF | CSV
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: The FMS program is being decommissioned on November 12, 2021; following that date OCC will no longer distribute the FMS theoretical file or the FMS Translation file to subscribers. The FMS Translation Report also will no longer be available on the website after this date. For additional detail please review Information Memo #48247.