Portfolio Margin Calculator

Portfolio Margin Calculator (PMC) is a margin calculation “engine” that generates requirements using OCC’s Theoretical Inter-Market Margin System (TIMS).  TIMS supports the Customer Portfolio Margin (CPM) and Risk Based Haircut (RBH) regulatory programs.

PMC, as available on the OCC’s public website (theocc.com), performs margin calculations using edited closing prices and theoretical profit and loss values (P&Ls) from the most recent trading date. 

The application allows users to upload a position file to the calculator or add positions manually using filtering tools.  Submitted positions may also be exported into flat ASCII or CSV file formats for use at a later time in PMC or other applications that use the standard file format. 

PMC also supports the creation and use of Stock Baskets for offset against index and ETF positions.  The application supports the addition of stock positions for equity products that are not included in the Theoretical Profit and Loss Values files. 

After positions are submitted to PMC, the application displays the margin requirement and supporting details in a set of results screens.  Results can be viewed at the levels of account, portfolio/product group, class group, or position detail.  The results details can be exported into either CSV or PDF formats.

Questions regarding PMC can be sent to [email protected].

Documentation

Portfolio Margin Calculator User Guide - PDF
Provides an overview of the Portfolio Margin Calculator tool along with the position file description. 

PMC Position File Template - XLS
Provides an example of necessary fields and correct formatting of a position file for the Portfolio Margin Calculator tool. 

Launch the Portfolio Margin Calculator