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 - PDF | XLS
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 Offsets Matrix - PDF | XLS
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. Updated 06/23/2020
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.
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: FMS stock and option theoretical values are currently available in the FIXML formatted RBH/CPM theoretical output files.