Customer Portfolio Margin

Customer Portfolio Margin System ("CPM") was developed by The Options Clearing Corporation ("The OCC") to support portfolio-based margining of customer accounts. Based on the TIMS margin methodology, CPM takes an OCC generated master file of profit and loss values and a user generated position file as input. The TIMS methodology is then applied to generate a margin computation that can be viewed via hypertext pages from the account down to the position level.

On December 12, 2006 the Securities and Exchange Commission (SEC) approved a rule change which ended the pilot program in which limited accounts had the ability to compute margin amounts for a limited group of products using a risk-based portfolio approach in lieu of the current strategy-based margin requirements ("Reg. T"), and made portfolio margining available to any broker or dealer registered pursuant to Section 15 of the Exchange Act, and any person or entity approved for uncovered options.

Positions eligible for a portfolio margining account include marginable equity securities, listed options on an equity security or index of equity securities, security futures products, unlisted derivatives on an equity security or index of equity securities, warrants on an equity security or index of equity securities, broad-based index futures, and options on broad-based index futures.

If transactions in security futures are to be included in the account, approval for such transactions is also required.¹ And, an eligible participant may not establish or maintain positions in unlisted derivatives unless minimum equity of at least five million dollars, aggregated across all accounts under identical ownership at the clearing broker, is established and maintained with the member organization.

Member organizations must notify and receive approval from the member organization’s DEA prior to establishing a portfolio margin methodology for eligible participants.

For more information on the program please view the Customer Portfolio Margin Disclosure Document.

¹ Inclusion of futures products in a customer portfolio margin securities account is not yet approved by the CFTC.

Risk Based Haircuts and Customer Portfolio Margin Documentation