Compression Portfolio Detail File
The compression portfolio detail file is a CSV formatted file that TPHs use to access all quantitative details behind the compression portfolio. All constraint value calculations are presented in a manner that allows TPHs to quickly confirm that constraints are satisfied, which constraints may be up against specified limits, and trade and portfolio cost details. This file is an indispensable tool for TPHs to understand their specific contribution to a multilateral compression portfolio, and how their constraint specification is controlling the regulatory capital benefit they receive from a compression. Careful analysis of this file enables TPHs to quickly determine if they can approve the portfolio based on the portfolio details and their specified constraints.
The detail output file contains nearly the same content as the TPH input file with additional columns and calculations added to enable the TPH to observe and easily reproduce all constraint calculations. The detail output file contains exactly the same number of rows as the input file, presented in the same order as the positions in the original input file, with addition of one new row. A new row - the aggregate value row - inserted immediately after the header row (i.e., row 2). The inserted aggregate value row contains the calculated value of cost, cost_benefit and all custom constraints. Four new columns (fields) - traded_qty, residual_qty, compression_price and total_benefit - are added to the detail file to provide complete transparency on constraint calculations. The fields with "(ADDED)" at the beginning of the description in the table below correspond to the new columns.
| Field | Description |
|---|---|
| class | SPX or SPXW. |
| expiry | Expiration date in YYYY-MM-DD format. |
| strike | Option price as a floating point numeric value. |
| put_call | P or C. |
| qty | Signed integer contract position where positive is a long position and negative is a short position. |
| traded_qty | (ADDED) Signed integer traded quantity in contracts. Zero indicates no trade in the option. |
| residual_qty | (ADDED) Remaining contracts of original position after compression (i.e., qty - traded_qty). |
| theo | TPH specified non-negative floating point value one long contract of the associated option. |
| compression_price | (ADDED) CCS system sourced compression trade prices derived from options markets at 16:00 ET. |
| close_benefit | Non-negative floating point value representing the TPH assessment of the capital requirements benefit resulting from reduction of the position by a single contract (long or short). |
| reserved | Reserved for future use, will be null |
| reserved | Reserved for future use, will be null |
| total_benefit | (ADDED) Position row values contain the absolute traded quantity weighted close_benefit for each option. The aggregate value row contains the sum of the position row values, which is the total benefit delivered to the TPH as a result of the compression portfolio. |
| cost | Column contains the TPH-specified max cost constraint in the maximum value row (3). Option position rows contain the traded quantity weighted compression_price minus theo, which is the mark to market cost of the trade on each option. The aggregate value row contains the sum of the position row values, which is the total mark to market cost of the portfolio accrued by the TPH. Comparison of the total cost value to the TPH-specified max cost value confirms max cost constraint is met. |
| cost_benefit | Column contains the TPH-specified max cost per unit of benefit value in the maximum value row. The aggregate value row contains the total portfolio cost divided by the total benefit, which is the cost per unit of benefit of the portfolio. Comparison of this value to the TPH-specified max value confirms that the max cost per unit of value constraint is met. |
| [custom constraints] | A column will appear in the detail output file for each custom constraint defined by the TPH in the input file. The minimum and maximum values for each custom constraint are written to the minimum (2) and maximum value (3) rows respectively. The option position row values contain the traded quantity weighted value of the TPH-specified constraint value for the option in the input file. The aggregate value row contains the sum of the position row values, which is the value of the TPH-specified constraint resulting from the compression portfolio. Comparison of this value to the TPH-specified minimum and maximum values confirms the custom constraint is satisfied by the portfolio. |
Example compression detail output file below corresponds to a hypothetical compression portfolio resulting from a TPH submitting the input from Example CCS Input with Custom Risk Constraints and CSV Formatted Example CCS Input with Custom Risk Constraints and comprising trades in the example trade level output file in CSV Formatted Example Trade Output File. Note the reserved columns that would be present in an actual file have been removed to save space.
Important - To approve or reject a portfolio, the TPH must enter an "approval token" found in the first token in the second row (aggregate value row) of the detail output file. The reason for this step is to ensure that the TPH approver has accessed, opened and processed the content of the detail file before approving the compression portfolio.
Aside from the shaded aggregate value row and the shaded columns, the structure of the file is exactly the same as the structure of the input file. The added row immediately after the header row contains computed constraint values that can be visually compared to TPH specified constraint minimum and maximum values in the next two rows to confirm constraints are satisfied. The italicized values are computed values that replace the associated values specified in the input file. Specifically, the values in the cost column associated with each option position, which were null in the input file, are replaced with the cost of the option trade computed as the traded quantity in contracts (traded_qty) multiplied by the difference between the compression price (compression_price) and the TPH specified theo value. The sum of each trade cost, which is the total portfolio cost to the TPH, is contained in the aggregate value row (2) of the cost column. The option position values associated with each custom constraint have been replaced with signed traded quantity (traded_qty) multiplied by the TPH specified constraint value, which represented the constraint contribution associated with one long contract executed in the associate option. The sum of the traded quantity weighted constraint values is contained in the aggregate value row for each custom constraint.
This detail file shows the result of the trades presented in CSV Formatted Example Trade Output File is a portfolio cost of $1,502.35, which satisfies the max cost constraint of $10,000. The cost per unit of benefit is 0.000834, which satisfies the max cost per unit benefit value of 0.001. The custom constraint c_1 value of -485.44, c_2 value of -199.11, and c_3 value of -684.56 all satisfy the TPH specified minimum/maximum values of +/-500, +/-500 and +/-750 respectively.