IBKR is required to provide EEA and UK retail customers with Key Information Documents (KID) for certain financial instruments.
Relevant products include ETFs, Futures, Options, Warrants, Structured Products, CFDs and other OTC products. Funds include both UCITS and non-UCITS funds available to retail investors.
Generally KIDs must be provided in an official language of the country in which a client is resident.
However, clients of IBKR have agreed to receive communications in English, and therefore if a KID is available in English all EEA and UK clients can trade the product regardless of their country of residence.
In cases where a KID is not available in English, IBKR additionally supports other languages as follows:
Language | Can be traded by residents or citizens* of |
German | Germany, Austria, Belgium, Luxembourg and Liechtenstein |
French | France, Belgium and Luxembourg |
Dutch | the Netherlands and Belgium |
Italian | Italy |
Spanish | Spain |
*regardless of country of residence
差價合約屬於複雜金融產品,其交易存在高風險,由於槓桿的作用,可能會出現迅速虧損。 在通過IBKR交易差價合約時,零售投資者賬戶中有69.4%出現了虧損。 您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。 |
愛爾蘭中央銀行(CBI)通過適用於零售投資者交易差價合約的新規則,自2019年8月1日起生效。專業客戶不受影響。
新規包括:1) 槓桿限制;2) 以單個賬戶為單位的保證金平倉規則;3) 以單個賬戶為單位的負餘額保護規則;4) 對交易差價合約激勵措施的限制;以及5) 標准的風險警告。
大多數客戶(受監管的實體除外)一開始都會被分類為零售客戶。某些情況下,IBKR可能會同意把零售客戶重新分類為專業客戶,或將專業客戶重新分類為零售客戶。更多詳細信息 ,請參見MiFID分類 。
以下板塊詳細說明了IBKR執行 CBI規定的方式。
1 槓桿限制
1.1 保證金
CBI 已設定不同層級的槓桿限制,視乎底層產品而定:
1.2應用的保證金 - 標準保證金要求
除CBI 保證金要求外,IBKR會根據每隻底層股票的歷史波動率,建立其自有的保證金要求(IB保證金)。 如果IB的保證金高於CBI 規定的比例,我們將應用IB的保證金率。
有關IB和 CBI 的適用保證金詳情,請查看 此處。
1.2.1應用的保證金 - 最低集中保證金要求
如果您的投資組合包含少量差價合約和/或股票倉位,或者如果最大的兩種持倉佔據了絕大多數份額,則您的賬戶將應用集中保證金。我們會通過對最大的兩種持倉假設30%的跌幅、對其餘持倉假設5%的跌幅來對您的投資組合進行壓力測試。如果總虧損額高於股票和差價合約倉位加在一起的標準保證金要求,則將用總虧損額作爲維持保證金要求。注意,差價合約和股票倉位一起計算保證金的情况下,只會應用集中保證金。
1.3初始保證金要求的資金
您只可使用現金作爲初始保證金開立差價合約倉位。
最開始,所有用於注資賬戶的現金都可以用於差價合約交易。隨著其它産品産生初始保證金要求以及現金被用於買入股票,可用現金會逐漸减少。如果您用現金買股票産生了保證金貸款,則即使賬戶有高額資産,您也不會有資金進行差價合約交易。根據CBI 法規,我們不能爲差價合約保證金增加保證金貸款。
已實現的差價合約盈利將包括在現金中且立即可用;現金無需先結算。然而,未實現的盈利不得用於滿足初始保證金要求。
2 保證金平倉規則
2.1維持保證金計算與清算
如果符合條件的資産跌至開倉初始保證金的50%以下,CBI 要求IBKR清算最新的差價合約倉位。如果我們的風險觀更爲保守,IBKR可能會更早平倉倉位。這裏符合條件的資産包括差價合約現金和未實現的差價合約盈虧(正和負)。注意,差價合約現金不包括用於支撐其它産品保證金要求的現金。
計算的基礎爲開立差價合約倉位時存入的初始保證金。 換言之,當差價合約持倉的價值發生變動時,初始保證金的金額不會變化,這與非差價合約持倉適用的保證金計算方式不同。
2.1.1舉例
您賬戶中有2000歐元現金且沒有未平倉的倉位。您想以100歐元的限價買入100份XYZ的差價合約。首先成交了50份合約,然後再成交其餘的50份。隨著您的交易成交,您的可用現金减少如下:
|
現金 |
淨資産* |
持倉 |
價格 |
價值 |
未實現盈虧 |
初始保證金M |
維持保證金 |
可用現金 |
維持保證金不足 |
交易前 |
2000 |
2000 |
|
|
|
|
|
|
2000 |
|
第一次交易後 |
2000 |
2000 |
50 |
100 |
5000 |
0 |
1000 |
500 |
1000 |
否 |
第二次交易後 |
2000 |
2000 |
100 |
100 |
10000 |
0 |
2000 |
1000 |
0 |
否 |
*淨資産等於現金加未實現盈虧
價格上漲至110。您的淨資産現爲3000,但由於您的可用現金仍爲0,且在CBI 規則下初始保證金和維持保證金不變,因此您不得開立新的倉位:
|
現金 |
股票 |
持倉 |
價格 |
價值 |
未實現盈虧 |
初始保證金M |
維持保證金 |
可用現金 |
維持保證金不足 |
變化 |
2000 |
3000 |
100 |
110 |
11000 |
1000 |
2000 |
1000 |
0 |
否 |
然後價格下跌至95。您的淨資産跌至1500,但鑑於淨資産仍大於1000,無需追加保證金:
|
現金 |
股票 |
持倉 |
價格 |
價值 |
未實現盈虧 |
初始保證金M |
維持保證金 |
可用現金 |
維持保證金不足 |
變化 |
2000 |
1500 |
100 |
95 |
9500 |
(500) |
2000 |
1000 |
0 |
否 |
價格進一步跌至85,導致保證金不足並觸發清算:
|
現金 |
股票 |
持倉 |
價格 |
價值 |
未實現盈虧 |
初始保證金M |
維持保證金 |
可用現金 |
維持保證金不足 |
變化 |
2000 |
500 |
100 |
85 |
8500 |
(1500) |
2000 |
1000 |
0 |
是 |
3 負資産保護
CBI 規則規定,您交易差價合約的損失以劃撥的專項資金爲上限。不得清算其它金融産品(如股票或期貨)來填補差價合約的保證金缺口。*
因此,非差價合約資産不算您的差價合約交易風險資本。
如果您的損失超過了差價合約交易的專項資金,則IB必須劃銷損失。
由於負資産保護對IBKR來說意味著要承擔額外風險,對於隔夜持有的差價合約持倉我們會向零售客戶額外收取1%的融資息差。您可在此處查看詳細的差價合約融資利率。
*我們無法清算非差價合約持倉來彌補差價合約不足,但可以清算差價合約持倉來彌補非差價合約不足。
This article describes the information provided in the TWS account window for IBKRs EU based entities.
CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. 61% of retail investor accounts lose money when trading CFDs with IBKR. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money. |
Retail clients who are residents of the EEA and therefore maintain an account with one of IBKR’s European brokers, IBIE or IBCE, are subject to EU regulations which introduce leverage and other restrictions applicable to CFD transactions.
Notably the regulations require the use of free cash to satisfy CFD margin requirements and prohibit retail clients from using securities in the account as collateral to borrow funds to initiate or maintain a CFD position. Please see Overview of ESMA CFD Rules Implementation for Retail Clients at IBIE and IBCE for full details.
The accounts of IBKRs EU entities are universal accounts in which clients can trade all asset classes available on IBKRs platform, but unlike IBKRs US and UK entities, there are no separately funded segments.
Working examples of how this restriction is applied, along with details as to how clients can monitor free cash available for CFD transactions, are outlined below.
Account Window
IBKR enforces the restriction relating to free cash by calculating the funds available for CFD trading on a real-time basis, rejecting new orders and liquidating existing positions when the available free cash is insufficient to cover CFD initial and maintenance margin requirements.
IBKR offers clients the ability to monitor free cash available for CFD transactions via an enhancement to the TWS Account Window which displays the level of free cash in the account. Importantly, the funds shown as available for CFD trading do not imply that cash is held in a separate segment. It simply indicates what proportion of total account balances is available for CFD trading.
For example, assume that an account has EUR 9,705 in cash and no positions. All the cash is available to open CFD positions, or positions in any other asset class:
If the account now purchases 10 shares of AAPL stock for an aggregate value of USD 1,383 the cash in the account is reduced by a corresponding amount in EUR, and the funds available for CFD trading are reduced by the
same amount:
Note that Total available funds are reduced by a smaller amount, corresponding to the stock margin requirement.
If, instead of buying AAPL stock, the account buys 10 AAPL CFDs the impact will be different. As the transaction involves a derivative contract rather than the purchase of the underlying asset itself, there’s no reduction in cash but the funds available for CFDs are reduced by the CFD margin requirement to secure performance on the contract:
In this case Total available funds and CFD available funds are reduced by an equal amount; the CFD margin requirement.
Funding
As noted above, EU-based accounts do not have segments and therefore there is no need for internal transfers. Funds are available for trades in all asset classes in the amounts indicated in the account window, without the need for sweeps or transfers.
Note also that should an account have a margin loan, i.e. negative cash, it will not be possible to open CFD positions since the CFD margin requirement must be satisfied by free, positive cash. Should you have a margin loan and wish to trade CFDs you must first either close margin positions to eliminate the loan, or add cash to the account in an amount that covers the margin loan and creates a cash buffer sufficient for the necessary CFD margin.
The following article is intended to provide a general introduction to London Gold and Silver Contracts for Differences (CFDs) issued by IBKR.
Please follow these links for information on IBKR Share CFDs, Index CFDs and Forex CFDs.
Risk Warning
CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage.
61% of retail investor accounts lose money when trading CFDs with IBKR.
You should consider whether you understand how CFDs work and whether you can afford to take the
high risk of losing your money.
ESMA Rules for CFDs (Retail Clients only)
The European Securities and Markets Authority (ESMA) has enacted new CFD rules effective 1st August
2018.
The rules include: 1) leverage limits on the opening of a CFD position; 2) a margin close out rule on a per
account basis; and 3) negative balance protection on a per account basis.
The ESMA Decision is only applicable to retail clients. Professional clients are unaffected.
Please refer to the following articles for more detail:
ESMA CFD Rules Implementation at IBKR (UK) and IBKR LLC
ESMA CFD Rules Implementation at IBIE and IBCE
Introduction
A London Gold CFD enables you to have exposure to price movements of physical Gold without actually owning it. A London Gold CFD is an agreement between you and IBKR to exchange the difference in price of the underlying over a period of time. The difference to be exchanged is determined by the change in the reference price of the underlying. Thus, if the price of physical Gold traded on the London bullion market rises and you are long the CFD, you receive cash from IBKR and vice versa. A London Gold CFD can be bought long or sold short to suit your view of market direction in the future.
Contract Specifications
Contract | IBKR Symbol | Per Trade Fee | Minimum per Order | Multiplier |
London Gold | XAUUSD | 0.015% | USD 2.00 | 1 |
London Silver | XAGUSD | 0.03% | USD 2.00 | 1 |
Price Determination
The IBKR London Gold and Silver CFDs reference physical Gold and Silver traded on the London bullion market. The London bullion market is a wholesale over-the-counter market for the trading of precious metals. Trading is conducted among members of the London Bullion Market Association (LBMA). Most of the members are major international banks.
IBKR receives quote streams from approximately 10 such major banks, in much the same way it does for cash forex. IBKR Smart routes between the banks, and the best available price at any given time becomes the reference price for the CFDs. IBKR does not add a spread to the banks’ quotes.
Low Commissions and Financing Rates: Unlike other CFD providers IBKR charges a transparent
commission, rather than widening the spread. Commission rates are only 0.015% for London Gold and 0.03% for London Silver. Overnight financing rates are just benchmark +/- 1.5% (an additional 1% surcharge is added for retail accounts).
Transparent Quotes: Because IBKR does not widen the spread, the Metals CFD quotes accurately
represent the spreads and price movements of the related cash metal, as described above.
Margin Efficiency: IBKR establishes house-margin requirements based on historic volatility of the
underlying and other factors. Retail clients are subject to regulatory minimum initial margins of 5% for
London Gold or 10% for London Silver.
Trading Permissions: Same as for Share and Index CFDs.
Market Data Permissions: Metals CFD market data is free, but a permission is required for system
reasons.
Worked Trade Example (Professional Clients):
You purchase 100 XAUUSD CFDs at $1,942.5 for USD 194,250 which you then hold for 5 days.
Closing the Position
CFD Resources
Below are some useful links with more detailed information on IB’s CFD offering:
Frequently asked Questions
Are short Metals CFDs subject to forced buy-in?
No.
Can I take delivery of the underlying metal?
No, IBKR does not support physical delivery for Metals CFDs.
Are there any market data requirements?
The market data for Metal CFDs is free, and is included the market data for Index CFDs. However, you need to subscribe to the permission for system reasons. To do this, log into Account Management, and click through the following tabs: Settings/User Settings/Trading Platform/Market Data Subscriptions. Alternatively you can set up an Index or Metals CFD in your TWS quote monitor and click the “Market Data Subscription Manager” button that appears on the quote line.
How are my CFD trades and positions reflected in my statements?
If you are a client of IBKR (U.K.) or IBKR LLC, your CFD positions are held in a separate account segment identified by your primary account number with the suffix “F”. You can choose to view Activity Statements for the F-segment either separately or consolidated with your main account. You can make the choice in the statement window in Account Management.
If you are a client of other IBKR entities, there is no separate segment. You can view your positions normally alongside your non-CFD positions.
In what type of IB accounts can I trade CFDs e.g., Individual, Friends and Family,
Institutional, etc.?
All margin and cash accounts are eligible for CFD trading.
Can I trade CFDs over the phone?
No. In exceptional cases we may agree to process closing orders over the phone, but never opening
orders.
Can anyone trade IB CFDs?
All clients can trade IB CFDs, except residents of the USA, Canada, Hong Kong, New Zealand and
Israel. There are no exemptions based on investor type to the residency-based exclusions.
Introduction
Bonus certificates are designed to provide a predictable return in sideways markets, and market returns in rising markets.
At the time they’re issued, bonus certificates normally have a term to maturity of two to four years. You will receive a specified cash pay-out (“bonus level” or “Strike”) if at maturity the price of the underlying is below or at the strike, as long as the underlying instrument has not touched or fallen below an established price level (“safety threshold” or “barrier”) during the term of the certificate.
Unless the certificate has a cap, you continue to participate in the price gains if the underlying instrument rises above the bonus level. In this case you either receive the corresponding number of shares or a cash settlement reflecting the value of the underlying instrument on the maturity date.
However, if the barrier is breached, you will no longer be entitled to the bonus payment. The value of the certificate then corresponds to the value of the underlying (times the ratio). In other words, once the barrier has been touched the certificate effectively converts to an index certificate. You will receive either the corresponding number of shares or a cash settlement reflecting the value of the underlying instrument on the maturity date.
Although there is no structured leverage, the presence of the barrier creates effective leverage. When the price of the underlying instrument approaches the barrier the probability of a breach increases, affecting the price of the certificate disproportionately.
Pay-out Profile
Example
Assume a bonus certificate on ABC share. The certificate has a strike of EUR 45.00 and a barrier set at EUR 36.00. The table below shows scenarios depending on the trading range of the underlying, the final price of the underlying and whether the barrier has been touched or not.
Introduction
A warrant confers the right to buy (call-warrant) or sell (put-warrant) a specific quantity of a specific underlying instrument at a specific price over a specific period of time.
Pay-out Profile
With some warrants, the option right can only be exercised on the expiration date. These are referred to as “European-style” warrants. With “American-style” warrants, the option right can be exercised at any time prior to expiration. The vast majority of listed warrants are cash-exercised, meaning that you cannot exercise the warrant to obtain the underlying physical share. The exception to this rule is Switzerland, where physically settled warrants are widely available.
Factors that influence pricing
Not only do changes in the price of the underlying instrument influence the value of a warrant, a number of other factors are also involved. Of particular importance to investors in this regard are changes in volatility, i.e. the degree to which the price of the underlying instrument fluctuates. In addition, changes in interest rates and the anticipated dividend payments on the underlying instrument also play a role.
However, changes in implied volatility - as well as interest rates and dividends - only affect the time value of a warrant. The primary driver - intrinsic value - is solely determined by the difference between the price of the underlying instrument and the specified exercise price.
Historical and implied volatility
In addressing this topic, a differentiation has to be made between historical and implied volatility. Implied volatility reflects the volatility market participants expect to see in the financial instrument in the days and months ahead. If implied volatility for the underlying instrument increases, so does the price of the warrant.
This is because the probability of profiting from a warrant during a particular time-frame increases if the price of the underlying instrument is highly volatile. The warrant is therefore more valuable.
Conversely, if implied volatility decreases, that leads to a decline in the value of warrants and hence occasionally to nasty surprises for warrant investors who aren’t familiar with the concept and influence of volatility.
Interest rates and dividends
Issuers hedge themselves against price changes in the warrant through purchases and sales of the underlying instrument. Due to the leverage afforded by warrants, the issuer needs considerably more capital to hedge its exposure than you require to buy the warrants. The issuer’s interest expense associated with that capital is included in the price of the warrant. The amount of embedded interest reduces over time and at expiration is zero.
In the case of puts, the situation is exactly the opposite. Here, the issuer sells the underlying instrument
short to establish the necessary hedge, and in so doing receives capital that can earn interest. Thus interest reduces the price of the warrant by an amount that decreases over time.
As the issuer owns shares as a part of its hedging operations, it is entitled to receive the related dividend
payments. That additional income reduces the price of call warrants and increases the price for puts. But if the dividend expectations change, that will have an influence on the price of the warrants. Unanticipated special dividends on the underlying instrument can lead to a price decline in the related warrants.
Key valuation factors
Let’s assume the following warrant:
Warrant Type: Call
Term to expiration: 2 years
Underlying : ABC Share
Share price: EUR 30.00
Strike: EUR 30.00
Exercise ratio: 0.1
Warrant’s price: EUR 0.30
Intrinsic value
Intrinsic value represents the amount you could receive if you exercised the warrant immediately and then bought (in the case of a call) or sold (put) the underlying instrument in the open market.
It’s very easy to calculate the intrinsic value of a warrant. In our example the intrinsic value is EUR 00.00
and is calculated as follows:
(price of underlying instrument – strike price) x exercise ratio
= (EUR 30.00 – EUR 30.00) x 0.1
= EUR 00.00
If the price of the ABC share increases by EUR 1, the intrinsic value becomes
= (EUR 31.00 – EUR 30.00) x 0.1
= EUR 00.10
The intrinsic value of a put warrant is calculated with this formula:
(strike price – price of underlying instrument) x exercise ratio
It’s important to note that the intrinsic value of a warrant can never be negative. By way of explanation:
if the price of the underlying instrument is at or below the exercise price, the intrinsic value of a call equals zero. In this instance, the price of the warrant consists only of “time value”. On the flipside, the intrinsic value of a put is equal to zero if the price of the underlying instrument is at or above the exercise price.
Time value
Once you’ve calculated the intrinsic value of a warrant, it’s also easy to figure out what the time value of that warrant is. You simply deduct the intrinsic value from the current market price of the warrant. In our example, the time value is equal to EUR 1.30 as you can see from the following calculation:
(warrant price – intrinsic value)
= (EUR 0.30 EUR – EUR 0.00)
= EUR 0.30
Time value gradually erodes during the term of a warrant and ultimately ends up at zero upon expiration. At that point, warrants with no intrinsic value expire worthless. Otherwise you can expect to receive payment of the intrinsic value. Take note, though: a warrant’s loss of time value accelerates during the final months of its term.
Premium
The premium indicates how much more expensive a purchase/sale of the underlying instrument would be via the purchase of a warrant and the immediate exercise of the option right as opposed to simply buying/selling the underlying instrument in the open market.
Hence the premium is a measure of how expensive a warrant actually is. It follows that, when given a choice between warrants with similar features, you should always buy the one with the lowest premium. By calculating the premium as an annualized percentage, warrants with different terms to expiry can be compared with each other.
The percentage premium for the call warrant in our example can be calculated as follows:
(strike price + warrant price / exercise ratio – share price) / share price * 100
= (EUR 30.00 + EUR 0.30 / 0.1 – EUR 30.00) / EUR 30.00 x 100
= 10 percent
Leverage
The amount of leverage is the price of the share * ratio divided by the price of the warrant. In our example 30.00*0.1/0.3 = 10. So when the price of ABC increases by 1% the value of the warrant increases by 10%.
The amount of leverage is not constant however; it varies as intrinsic and time value changes, and is particularly sensitive to changes in intrinsic value. As a rule of thumb, the higher the intrinsic value of the warrant, the lower the leverage. For example (assuming constant time value):
Introduction
Knock-out warrants (turbos), like vanilla warrants, derive their value from the difference between the price of the underlying and the strike. They differ significantly however from vanilla warrants in many important respects:
Pay-out Profile
Leverage
As discussed above, knock-out warrants exhibit high degrees of leverage, particularly as the price of the underlying nears the strike/barrier. Consider the following example of a long turbo on the Dow Jones Index, compared to a vanilla warrant:
Intrinsic value = (index value – strike) x ratio
Leverage = Index Value x Ratio / Instrument Price
A vanilla warrant retains significant time value even as the underlying price approaches the strike, sharply reducing its leverage compared to a knock-out warrant.
Product types
As discussed above, the barrier may either equal the strike, or be set above (calls) or below (puts). In the latter cases a small residual value remains after knock-out, corresponding to the difference between the barrier (the stop-loss level) and the strike.
Moreover, knock-out products may either have an expiration date or may be open-ended. This makes a difference in the way interest is accounted for. If the contract has an expiration date interest is included in the premium, the amount of which reduces over time and is zero on expiration. This is analogous to a standard vanilla warrant.
in relation to an expiration date. The price of the contract therefore corresponds exactly to its intrinsic value. Interest however must be accounted for. This is done by a daily adjustment of the barrier and strike. The following example shows the daily adjustment for a long open-end turbo on the Dow Jones Index:
The adjustment = Strike T x (1+ FedFunds/360 + Issuer Spread/360).
The intrinsic value of the instrument is correspondingly reduced as follows, assuming no change in the value of the DJ Index):
Intrinsic value = (index value – strike) x ratio
Introduction
Discount certificates are designed to provide an enhanced return in sideways markets, compared to a direct investment in the underlying.
Discount certificates make it possible for you to buy an underlying instrument for less than its current market price. However, the maximum payback on a discount certificate is limited to a predetermined amount (cap).
Discount certificates normally have a term to maturity of one to three years. At maturity, a determination is made of where the price of the underlying instrument stands.
If it is at or above the cap, you’ll earn the maximum return and receive payment of the amount reflected by the cap.
If the price of the underlying instrument is below the cap on the maturity date, you’ll receive either the corresponding number of shares or a cash settlement reflecting the value of the underlying instrument on the maturity date.
Pay-out Profile
Example
Assume a discount certificate on ABC share. The certificate has a cap of EUR 40.00, and a purchase price of EUR 36.00. The table below shows scenarios depending on the final price of the underlying.
Introduction
Factor certificates employ a daily leverage factor that multiplies the daily performance of the underlying instrument. Unlike knock-out warrants and mini-futures, factor certificates do not have a knock-out barrier. To avoid a loss greater than the investment, the calculation resets intraday if the performance of the underlying threatens to render the certificate worthless.
Daily Leverage
The performance of the certificate is calculated daily, without reference to previous days’ values. If the underlying returns 1% on the day, the value of 3x certificate increases by 3%, a 5x by 5%. The next day the process is repeated, referencing the prior day’s underlying close.
As such, factor certificates are particularly suitable for day-traders.
However, for a period of more than one day, the cumulative performance of the underlying cannot be simply multiplied by a factor of 3 as the previous day’s price always forms the new basis of calculating each day’s performance for the certificate. To illustrate with an example:
Cumulatively, the factor certificate has returned less than 3x the performance of the underlying.
Intraday Reset
If an underlying for a factor certificate loses more than a certain percentage of its value intraday, the calculation is reset by simulating a new day. The reset threshold varies depending on the leverage factor.
Let’s assume a long factor certificate with a 10x leverage factor. According to the terms of the certificate, a reset will be triggered if the underlying loses more than 9.5% during the calculation day.
Let’s now assume that the underlying loses 12% of its value during a particular day. The reset
and final performance will be as follows: