Übersicht zur Umsetzung der CFD-Regeln der ESMA bei IBKR (betrifft ausschließlich Privatanleger)

Übersicht: 

Ab dem 1. August 2018 führt die Europäische Wertpapier- und Marktaufsichtsbehörde (ESMA) neue Regeln für Privatanleger, die mit CFDs handeln, ein. Professionelle Kunden sind davon nicht betroffen.

Die Regeln umfassen: 1) Leverage-Limits; 2) Margin-Glattstellungsregel auf einer Pro-Konto-Basis; 3) Negativkapitalschutz auf einer Pro-Konto-Basis; 4) eine Einschränkung zu den angebotenen Anreizen zum Handel mit CFDs sowie 5) einen standardisierten Risikowarnhinweis.

Die meisten Kunden (ausschließlich regulierte Körperschaften) werden zunächst als Retailkunden eingestuft. In manchen Fällen ist es möglich, dass IBKR
einen Retailkunden als professionellen Kunden bzw. einen professionellen Kunden als
Retailkunden erneut einstuft. Siehe den Artikel zur MiFID-Kategorisierung für weitere Details.

Die folgenden Abschnitte erläutern, wie IBKR (UK) die Entscheidung der ESMA umgesetzt hat.

1 Leverage-Limits

1.1 ESMA-Margin-Anforderungen
Die ESMA hat Leverage-Limits auf unterschiedlichen Ebenen in Abhängigkeit des Basiswertes festgelegt:

  • 3.33% für bedeutende Währungspaare; Währungspaare bestehend aus einer beliebigen Kombination aus USD; CAD; EUR; GBP; CHF; JPY
  • 5% für nicht bedeutende Währungspaare sowie bedeutende Indizes;
    • Nicht bedeutende Währungspaare bestehen aus einer Kombination, die eine Währung umfassen, die oben nicht angeführt ist, z. B.: USD.CNH
    • Bedeutende Indizes sind: IBUS500; IBUS30; IBUST100; IBGB100; IBDE30; IBEU50; IBFR40; IBJP225; IBAU200
  • 10% für nicht bedeutende Aktienindizes; IBES35; IBCH20; IBNL25; IBHK50
  • 20% für einzelne Aktien

 1.2 Angewandte Margin-Anforderungen - Standard-Anforderung

Zusätzlich zu diesen ESMA-Margin-Anforderungen hat IBKR (UK) eigene Margin-Anforderungen (IB-Margin-Anforderungen) basierend auf der historischen Volatilität des Basiswertes sowie anderen Faktoren eingeführt. Die IB-Margin-Anforderungen werden angewandt, falls diese höher als jene sind, die von der ESMA vorgeschrieben werden.

Details zu anwendbaren IB- und ESMA-Margin-Anforderungen können hier nachgelesen werden.

1.2.1 Angewandte Margin-Anforderungen - Konzentrationsminimum

Eine Konzentrationsgebühr wird angewandt, falls Ihr Portfolio aus einer geringen Anzahl an CFD-Positionen besteht oder falls die zwei größten Positionen ein dominierendes Gewicht aufweisen. Wir führen einen Stresstest am Portfolio durch, indem wir ein Absinken in Höhe von 30% an den zwei größten Positionen sowie von 5% an den verbleibenden Positionen herbeiführen. Der Gesamtverlust wird als Mindesteinschussanforderung verwendet, falls diese größer als die Standard-Anforderung ist.

Wie vorstehend beschrieben beträgt die Ersteinschussanforderung für Privatkunden grundsätzlich das Zweifache der Minimumkonzentration der Mindesteinschussdeckung. Um jedoch übermäßige Ersteinschussanforderungen für relativ kleine Positionen zu vermeiden, wenden wir einen Rabatt in Höhe von 100k USD auf die anfängliche Konzentrationsmarginanforderung für Privatkunden an (der Betrag darf nicht negativ sein):

AngewandteKonzentration = max.(berechneteKonzentration – 100k USD, 0).

Das Ziel des Rabatts ist die Eliminierung der Konzentrationsgebühr für konzentrierte Positionen, deren Wert unter 250k USD oder einem äquivalenten Betrag in einer anderen Währung liegt. Die Gebühr steigt danach schrittweise, so dass beispielsweise eine konzentrierte Position in Höhe von 500k USD mit einem Ersteinschuss von 40% und eine Position mit einem Wert von 1 Million mit einem Ersteinschuss von 50% einhergehen wird. Dieses Beispiel geht davon aus, dass ein Kunde höchstens 2 Positionen hält; zusätzliche Positionen führen zu einer Verringerung der Gesamtgebühren.

Beispielrechnungen sind hier erhältlich (Portfolios von Privatkunden).

1.3 Verfügbare Einlagen für den Ersteinschuss

Sie können ausschließlich Barmittel für den Ersteinschuss zur Eröffnung einer CFD-Position verwenden. Realisierte CFD-Gewinne werden in die Barmittel einbezogen und sind umgehend verfügbar; die Barmittel müssen nicht zuerst abgewickelt werden. Jedoch unrealisierte Gewinne können nicht zur Deckung der Ersteinschuss-Anforderung genutzt werden.

1.4 Automatische Deckung der Ersteinschuss-Anforderung (F-Segmente)

IBKR (UK) überträgt Einlagen von Ihrem Hauptkonto automatisch auf das F-Segment Ihres Kontos, um die Ersteinschuss-Anforderung für CFDs zu decken.

Bitte beachten Sie jedoch, dass keine Transfers zur Deckung der CFD-Mindesteinschuss-Anforderungen durchgeführt werden. Falls daher das qualifizierende Kapital (nachstehend beschrieben) nicht ausreicht, um die Margin-Anforderungen zu erfüllen, wird es zu Liquidierungen kommen, selbst wenn Sie über ausreichend Einlagen in Ihrem Hauptkonto verfügen. Falls Sie Liquidierungen vermeiden möchten, müssen Sie zusätzliche Einlagen auf das F-Segment in der Kontoverwaltung übertragen.

2 Margin-Glattstellungsregel

2.1 Berechnung der Mindesteinschuss-Anforderung & Liquidierungen

Die ESMA verpflichtet IBKR, CFD-Positionen zu liquidieren, falls das qualifizierende Kapital unter 50% des Ersteinschusses fällt, der zur Eröffnung der Positionen eingezahlt wurde. Qualifizierendes Kapital zu diesem Zweck umfasst Barmittel im F-Segment (ausschließlich Barmittel in jedem anderen Kontosegment) sowie unrealisierten CFD-G&V (positiv sowie negativ).

Die Basis für die Berechnung ist der Ersteinschuss, der zum Zeitpunkt der Eröffnung einer CFD-Position eingezahlt wurde. Im Gegensatz zu Marginberechnungen, die auf Nicht-CFD-Positionen zutreffen, ändert sich der Betrag des Ersteinschusses nicht, wenn sich der Wert der offenen Position ändert.

2.1.1 Beispiel

Sie haben 2000 EUR an Barmitteln in Ihrem CFD-Konto. Sie möchten 100 CFDs von XYZ zu einem Limitkurs von EUR 100 kaufen. Zunächst werden 50 CFDs und danach die verbleibenden 50 ausgeführt. Ihre verfügbaren Barmittel verringern sich, während Ihre Transaktionen ausgeführt werden:

  Barbetrag Kapital* Position Kurs Wert Unrealisierter G&V IM MM Verfügbare Barmittel MM-Verstoß
Vor Ausführung 2000 2000             2000  
Vor Ausführung 1 2000 2000 50 100 5000 0 1000 500 1000 Nein
Vor Ausführung 2 2000 2000 100 100 10000 0 2000 1000 0 Nein

*Das Kapital setzt sich aus den Barmitteln und dem unrealisierten G&V zusammen.

Der Kurs steigt auf 110. Ihr Kapital beträgt nun 3000, jedoch können Sie keine weiteren Positionen eröffnen, da Ihre verfügbaren Barmittel weiterhin 0 betragen und gemäß den Vorschriften der ESMA IM und MM unverändert bleiben:

  Barbetrag Aktien Position Kurs Wert Unrealisierter G&V IM MM Verfügbare Barmittel MM-Verstoß
Änderung 2000 3000 100 110 11000 1000 2000 1000 0 Nein

 Danach fällt der Kurs auf 95. Ihr Kapital verringert sich auf 1500, jedoch besteht kein Margin-Verstoß, da das Kapital weiterhin mehr als die Anforderung von 1000 beträgt:

  Barbetrag Aktien Position Kurs Wert Unrealisierter G&V IM MM Verfügbare Barmittel MM-Verstoß
Änderung 2000 1500 100 95 9500 (500) 2000 1000 0 Nein

Der Kurs sinkt auf 85, wodurch es zu einem Margin-Verstoß kommt und eine Liquidierung ausgelöst wird:

  Barbetrag Aktien Position Kurs Wert Unrealisierter G&V IM MM Verfügbare Barmittel MM-Verstoß
Änderung 2000 500 100 85 8500 (1500) 2000 1000 0 Ja

 

3 Negativkapitalschutz

Die Entscheidung der ESMA schränkt Ihre CFD-bezogene Einlagenverbindlichkeit in Bezug auf den CFD-Handel ein. Andere Finanzinstrumente (z. B.: Anteile von Futures) können nicht zur Deckung eines CFD-Margindefizits liquidiert werden.*

Daher sind Vermögenswerte in den Wertpapier- und Rohstoffsegmenten Ihres Hauptkontos wie im F-Segment gehaltene Nicht-CFD-Vermögenswerte nicht Bestandteil Ihres Risikokapitals für den CFD-Handel. Allerdings können Barmittel im F-Segment zur Deckung von Verlusten, die aus dem Handel mit CFDs stammen, verwendet werden.

Da der Negativkapitalschutz zusätzliches Risiko für IBKR darstellt, werden wir bei Privatanlegern einen zusätzlichen Finanzierungsspread in Höhe von 1% für über Nacht gehaltene CFD-Positionen erheben. Sie können detaillierte CFD-Finanzierungssätze hier nachlesen.

*Obgleich wir keine Nicht-CFD-Positionen zur Deckung eines CFD-Defizits liquidieren können, können wir CFD-Positionen zur Deckung eines Nicht-CFD-Defizits verwenden.

4 Angebotene Anreize zum CFD-Handel

Die Entscheidung der ESMA verbietet monetäre sowie bestimmte Arten an nicht monetären Vorteilen im Hinblick auf den Handel mit CFDs. IBKR bietet keine Prämien oder sonstige Anreize für den Handel mit CFDs an.

5 Risikowarnhinweis

Bei CFDs handelt es sich um komplexe Instrumente, die mit einem hohen Risiko des Geldverlusts aufgrund von Hebeleffekten einhergehen.

67% an Privatanlegern verlieren beim CFD-Handel mit IBKR (UK) Geld.

Bitte überlegen Sie sich, ob Sie wissen, wie CFDs funktionieren und ob Sie das hohe Risikopotenzial, Ihre Anlage zu verlieren, tragen können.

 

 

Overview of ESMA CFD Rules Implementation at IBKR - Retail Investors Only

Übersicht: 


CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage.

67% of retail investor accounts lose money when trading CFDs with IBKR (UK).

You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.

 

The European Securities and Markets Authority (ESMA) enacted new rules applicable to retail clients trading CFDs, effective 1st August 2018. Professional clients are unaffected.

The rules consist of: 1) leverage limits; 2) a margin close out rule on a per account basis; 3) negative balance protection on a per account basis; 4) a restriction on the incentives offered to trade CFDs; and 5) a standardized risk warning.

Most clients (excepting regulated entities) are initially categorised as Retail Clients. IBKR may in certain circumstances agree to reclassify a Retail Client as a Professional Client, or a Professional Client as a Retail Client. Please see MiFID Categorisation for further detail.

The following sections detail how IBKR (UK) has implemented the ESMA Decision.

1 Leverage Limits

1.1 ESMA Margins
Leverage limits were set by ESMA at different levels depending on the underlying:

  • 3.33% for major currency pairs; Major currency pairs are any combination of USD; CAD; EUR; GBP; CHF; JPY
  • 5% for non-major currency pairs and major indices;
    • Non-major currency pairs are any combination that includes a currency not listed above, e.g. USD.CNH
    • Major indices are IBUS500; IBUS30; IBUST100; IBGB100; IBDE30; IBEU50; IBFR40; IBJP225; IBAU200
  • 10% for non-major equity indices; IBES35; IBCH20; IBNL25; IBHK50
  • 20% for individual equities

 1.2 Applied Margins - Standard Requirement

In addition to the ESMA Margins, IBKR (UK) establishes its own margin requirements (IB Margins) based on the historical volatility of the underlying, and other factors. We will apply the IB Margins if they are higher than those prescribed by ESMA.

Details of applicable IB and ESMA margins can be found here.

1.2.1 Applied Margins - Concentration Minimum

A concentration charge is applied if your portfolio consists of a small number of CFD positions, or if the two largest positions have a dominant weight. We stress the portfolio by applying a 30% adverse move on the two largest positions and a 5% adverse move on the remaining positions. The total loss is applied as the maintenance margin requirement if it is greater than the standard requirement.

1.3 Funds Available for Initial Margin

You can only use cash to post initial margin to open a CFD position. Realized CFD profits are included in cash and are available immediately; the cash does not have to settle first. Unrealized profits however cannot be used to meet initial margin requirements.

1.4 Automatic Funding of Initial Margin Requirements (F-segments)

IBKR (UK) automatically transfers funds from your main account to the F-segment of your account to fund initial margin requirements for CFDs.

Note however that no transfers are made to satisfy CFD maintenance margin requirements. Therefore if qualifying equity (defined below) becomes insufficient to meet margin requirements, a liquidation will occur even if you have ample funds in your main account. If you wish to avoid a liquidation you must transfer additional funds to the F-segment in Account Management.

2 Margin Close Out Rule

2.1 Maintenance Margin Calculations & Liquidations

ESMA requires IBKR to liquidate CFD positions latest when qualifying equity falls below 50% of the initial margin posted to open the positions. IBKR may close out positions sooner if our risk view is more conservative. Qualifying equity for this purpose includes cash in the F-segment (excluding cash in any other account segment) and unrealized CFD P&L (positive and negative).

The basis for the calculation is the initial margin posted at the time of opening a CFD position. In other words, and unlike margin calculations applicable to non-CFD positions, the initial margin amount does not change when the value of the open position changes.

2.1.1 Example

You have EUR 2000 cash in your CFD account. You want to buy 100 CFDs of XYZ at a limit price of EUR 100. You are first filled 50 CFDs and then the remaining 50. Your available cash reduces as your trades are filled:

  Cash Equity* Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Pre Trade 2000 2000             2000  
Post Trade 1 2000 2000 50 100 5000 0 1000 500 1000 No
Post Trade 2 2000 2000 100 100 10000 0 2000 1000 0 No

*Equity equals Cash plus Unrealized P&L

The price increases to 110. Your equity is now 3000, but you cannot open additional positions because your available cash is still 0, and under the ESMA rules IM and MM remain unchanged:

  Cash Equity Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Change 2000 3000 100 110 11000 1000 2000 1000 0 No

 The price then drops to 95. Your equity declines to 1500 but there is no margin violation since it is still greater than the 1000 requirement:

  Cash Equity Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Change 2000 1500 100 95 9500 (500) 2000 1000 0 No

The price falls further to 85, causing a margin violation and triggering a liquidation:

  Cash Equity Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Change 2000 500 100 85 8500 (1500) 2000 1000 0 Yes

 

3 Negative Equity Protection

The ESMA Decision limits your CFD-related liability to the funds dedicated to CFD-trading. Other financial instruments (e.g. shares or futures) cannot be liquidated to satisfy a CFD margin-deficit.*

Therefore assets in the security and commodity segments of your main account, and non-CFD assets held in the F-segment, are not part of your capital at risk for CFD trading. However, all cash in the F-segment can be used to cover losses arising from CFD trading.

As Negative Equity Protection represents additional risk to IBKR, we will charge retail investors an additional financing spread of 1% for CFD positions held overnight. You can find detailed CFD financing rates here.

*Although we cannot liquidate non-CFD positions to cover a CFD deficit, we can liquidate CFD positions to cover a non-CFD deficit.

4 Incentives Offered to trade CFDs

The ESMA Decision imposes a ban on monetary and certain types of non-monetary benefits related to CFD trading. IBKR does not offer any bonus or other incentives to trade CFDs.

 

Risk Navigator: Alternative Margin Calculator

Übersicht: 

IB routinely reviews margin levels and will implement changes which serve to increase requirements above statutory minimums as market conditions warrant.  To assist clients with understanding the effects of such changes on their portfolio, a feature referred to as the "Alternative Margin Calculator" is provided within the Risk Navigator application. Outlined below are the steps for creating a “what-if” portfolio for the purpose of determining the impact of such margin changes.

Step 1: Open a new “What-if” portfolio

From the Classic TWS trading platform, select the Analytical Tools, Risk Navigator, and then Open New What-If menu options (Exhibit1).

Exhibit 1
 

From the Mosaic TWS trading platform, select New Window, Risk Navigator, and then Open New What-If menu options.

Step 2: Define starting portfolio

A pop-up window will appear (Exhibit 2) from which you will be prompted to define whether you would like to create a hypothetical portfolio starting from your current portfolio or a newly created portfolio. Clicking on the "yes" button will serve to download existing positions to the new “What-If” portfolio.

Exhibit 2
 

Clicking on the "No" button will open up the “What – If” Portfolio with no positions.


Risk Dashboard

The Risk Dashboard is pinned along the top of the product tab-sets, and is and is available for what-if as well as active portfolios. The values are calculated on demand for what-if portfolios. The dashboard provides at-a-glance account information including:

1) Net Liquidation Value: The total Net Liquidation Value for the account
2) P&L: The total daily P&L for the entire portfolio
3) Maintenance Margin: Total current maintenance margin
4) Initial Margin: Total initial margin requirements
5) VAR: Shows the Value at risk for the entire portfolio
6) Expected Shortfall (ES): Expected Shortfall (average value at risk) is expected return of the portfolio in the worst case
 

 

Alternative Margin Calculator

The Alternative Margin Calculator, accessed from the Setting menu and clicking on the Margin Mode (Exhibit 3), shows how the margin change will affect the overall margin requirement, once fully implemented.

Exhibit 3
 

 

Step 3: Selecting Margin Mode Settings

A pop-up window will appear (Exhibit 4) entitled Margin Mode Setting. You can use the drop-down menu in that window to change the margin calculations from Default (being the current policy) to the new title of the new Margin Setting (being the new margin policy). Once you have made a selection click on the OK button in that window.

Exhibit 4
 

Once the new margin mode setting is specified, the Risk Navigator Dashboard will automatically update to reflect your choice. You can toggle back and forth between the Margin Mode settings. Note that the current Margin Mode will be shown in the lower left hand corner of the Risk Navigator window (Exhibit 5).

Exhibit 5
 

 

Step 4: Add Positions

To add a position to the "What - If" portfolio, click on the green row titled "New" and then enter the underlying symbol (Exhibit 6), define the product type (Exhibit 7) and enter position quantity (Exhibit 8)

Exhibit 6
 

 

Exhibit 7

 

Exhibit 8

 

You can modify the positions to see how that changes the margin. After you altered your positions you will need to click on the recalculate icon () to the right of the margin numbers in order to have them update. Whenever that icon is present the margin numbers are not up-to-date with the content of the What-If Portfolio.

 

Margin Considerations for IB LLC Commodities Accounts

Introduction
As a global broker offering futures trading in 19 countries, IB is subject to various regulations, some of which retain the concept of margin as a single, end of day computation as opposed to the continuous, real-time computations IB performs. To satisfy commodity regulatory requirements and manage economic exposure in a pragmatic fashion, two margin computations are performed at the market close, both which must be met to remain fully margin compliant. An overview of these computations is outlined below.

Overview
All orders are subject to an initial margin check prior to execution and continuous maintenance margin checks thereafter. As certain products may be offered intraday margin at rates less than the exchange minimum and to ensure end of day margin compliance overall, IB will generally liquidate positions prior to the close rather than issue a margin call. If, however, an account remains non-compliant at the close, our practice is to issue a margin call, restrict the account to margin reducing transactions and liquidate positions by the close of the 3rd business day if the initial requirement has not then been satisfied.

In determining whether a margin call is required, IB performs both a real-time and regulatory computation, which in certain circumstances, can generate different results:

Real-Time: under this method, initial margin is computed using positions and prices collected at a common point in time, regardless of a product’s listing exchange and official closing time; an approach we believe appropriate given the near continuous trading offered by most exchanges.

Regulatory: under this method, initial margin is computed using positions and prices collected at the official close of regular trading hours for each individual exchange. So, for example, a client trading futures listed on each of the Hong Kong, EUREX and CME exchanges would have a requirement calculated based upon information collected at the close of each respective exchange.
 

Impact
Clients trading futures listed within a single country and session are not expected to be impacted. Clients trading both the daytime and after hours sessions of a given exchange or on exchanges located in different countries where the closing times don’t align are more likely to be impacted. For example, a client opening a futures contract during the Hong Kong daytime session and closing it during U.S. hours, would have only the opening position considered for purposes of determining the margin requirement. This implies a different margin requirement and a possible margin call under the revised computation that may not have existed under the current.  An example of this is provided in the chart below.
 

Example

This example attempts to demonstrate how a client trading futures in both the Asia and U.S. timezones would be impacted were that client to trade in an extended hours trading session (i.e., outside of the regular trading hours after which the day's official close had been determined).  Here, the client opens a position during the Hong Kong regular hours trading session, closes it during the extended hours session, thereby freeing up equity to open a position in the U.S. regular hours session. For purposes of illustration, a $1,000 trading loss is assumed. This example illustrates that the regulatory end of day computation may not recognize margin reducing trades conducted after the official close, thereby generating an initial margin call.

Day Time (ET) Event

Start Position

End Position IB Margin Regulatory Margin
Equity With Loan Maintenance Initial Overnight Margin Call
1 22:00 Buy 1 HHI.HK None Long 1 HHI.HK $10,000 $3,594 $4,493 N/A N/A
2 04:30 Official HK Close Long 1 HHI.HK Long 1 HHI.HK $10,000 $7,942 $9,927 $4,493 N/A
2 08:00 Sell 1 HHI.HK Long 1 HHI.HK None $9,000 $0 $0 $0 N/A
2 10:00 Buy 1 ES None Long 1 ES $9,000 $2,942 $3,677 N/A N/A
2 17:00 Official U.S. Close Long 1 ES Long 1 ES $9,000 $5,884 $7,355 $9,993 Yes
3 17:00 Official U.S. Close Long 1 ES Long 1 ES $9,000 $5,884 $7,355 $5,500 No

 

Ordervorschau/Marginauswirkung prüfen

Übersicht: 

Die Funktion „Ordervorschau/Marginauswirkung prüfen“ bietet die Möglichkeit, die voraussichtlichen Kosten und Provisionen und die Marginauswirkung einer Order zu überprüfen, ehe Sie diese übermitteln. Diese Funktion steht sowohl in der TWS als auch im WebTrader bereit, wobei die TWS-Variante mehr Details bereitstellt.

Trader Workstation (TWS)

Die TWS-Funktion „Margin überprüfen“ ermöglicht es Ihnen, die Marginauswirkung einer bestimmten geplanten Order von den bestehenden Positionen zu isolieren und zudem die neue Margin-Anforderung anzuzeigen, die bei Ausführung der betreffenden Order gelten würde. Die wichtigsten Marginwerte, wie zum Beispiel die Anforderungen für den Ersteinschuss und Mindesteinschuss, sowie das Eigenkapital mit Beleihungswert, werden hier ausgewiesen. Wenn Sie diese Funktion verwenden möchten, richten Sie den Mauszeiger auf eine Orderzeile, führen Sie einen Rechtsklick aus und wählen Sie die Option „Margin überprüfen“ aus dem Drop-Down-Menü aus.

Beispiel: Kauf von 1 ES Juni 2012 Future @ 1387.25

 

Im ersten Abschnitt der Ordervorschau werden der Geldkurs, der Briefkurs und der letzte Handelskurs des Wertpapiers angezeigt.

 

Im zweiten Abschnitt sehen Sie die wichtigsten Orderdetails.

 

Im Kontoabschnitt sehen Sie den Wert der Order sowie einen Schätzwert für die anfallenden Provisionen.

 

Der Abschnitt Marginauswirkung zeigt eine Aufstellung der folgenden Werte an:

Aktuell = Die aktuellen Marginwerte, ohne Berücksichtigung der Order, die platziert werden soll.

Veränderung = Die Auswirkung der Order, wenn diese übermittelt wird, ohne Einbeziehung jeglicher im Konto bestehender Positionen.

Nach Ausführung = Die Kontowerte, die sich voraussichtlich nach Übermittlung und Ausführung der Order und Aufnahme der Position ins Portfolio ergeben.

  

WebTrader

In der WebTrader-Ordervorschau sehen Sie lediglich äquivalente Werte zum Abschnitt „Nach Ausführung“ aus der TWS.

 

Biotechnology and Pharmaceutical Sector Margin Requirements

Due to increased event risk in the Biotechnology and Pharmaceutical sectors, margin requirements which take into consideration the market capitalization of the individual security will go into effect starting October 11, 2016. These Initial, Maintenance and Short position margin requirements are outlined in the table below.  Please note that these represent minimum requirements and individual securities may be subject to other house charges which may result in a higher Initial, Maintenance or Short margin requirement.  In the event that a company's market cap increases to a new range, there are several variables that will be considered prior to reducing the margin requirement.  

Please refer to KB644 to learn about the Preview Order/Check Margin feature which offers the ability to review the projected margin impact of an order prior to its transmission.
 


 

 

 

 

 

Allocation of Partial Fills

Title:

How are executions allocated when an order receives a partial fill because an insufficient quantity is available to complete the allocation of shares/contracts to sub-accounts?

 

Overview:

From time-to-time, one may experience an allocation order which is partially executed and is canceled prior to being completed (i.e. market closes, contract expires, halts due to news, prices move in an unfavorable direction, etc.). In such cases, IB determines which customers (who were originally included in the order group and/or profile) will receive the executed shares/contracts. The methodology used by IB to impartially determine who receives the shares/contacts in the event of a partial fill is described in this article.

 

Background:

Before placing an order CTAs and FAs are given the ability to predetermine the method by which an execution is to be allocated amongst client accounts. They can do so by first creating a group (i.e. ratio/percentage) or profile (i.e. specific amount) wherein a distinct number of shares/contracts are specified per client account (i.e. pre-trade allocation). These amounts can be prearranged based on certain account values including the clients’ Net Liquidation Total, Available Equity, etc., or indicated prior to the order execution using Ratios, Percentages, etc. Each group and/or profile is generally created with the assumption that the order will be executed in full. However, as we will see, this is not always the case. Therefore, we are providing examples that describe and demonstrate the process used to allocate partial executions with pre-defined groups and/or profiles and how the allocations are determined.

Here is the list of allocation methods with brief descriptions about how they work.

·         AvailableEquity
Use sub account’ available equality value as ratio. 

·         NetLiq
Use subaccount’ net liquidation value as ratio

·         EqualQuantity
Same ratio for each account

·         PctChange1:Portion of the allocation logic is in Trader Workstation (the initial calculation of the desired quantities per account).

·         Profile

The ratio is prescribed by the user

·         Inline Profile

The ratio is prescribed by the user.

·         Model1:
Roughly speaking, we use each account NLV in the model as the desired ratio. It is possible to dynamically add (invest) or remove (divest) accounts to/from a model, which can change allocation of the existing orders.

 

 

 

Basic Examples:

Details:

CTA/FA has 3-clients with a predefined profile titled “XYZ commodities” for orders of 50 contracts which (upon execution) are allocated as follows:

Account (A) = 25 contracts

Account (B) = 15 contracts

Account (C) = 10 contracts

 

Example #1:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 10 am (ET) the order begins to execute2but in very small portions and over a very long period of time. At 2 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 7 of the 50 contracts are filled or 14%). For each account the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 14% of 25 = 3.5 rounded down to 3

Account (B) = 14% of 15 = 2.1 rounded down to 2

Account (C) = 14% of 10 = 1.4 rounded down to 1

 

To Summarize:

A: initially receives 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: initially receives 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. Account C which currently has a ratio of 0.10).

A: final allocation of 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 2 contract, which is 2/10 of desired (fill ratio = 0.20)

The execution(s) received have now been allocated in full.

 

Example #2:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be filled3 but in very small portions and over a very long period of time. At 1 pm (ET) the order is canceled prior being executed in full. As a result, only a portion of the order is executed (i.e., 5 of the 50 contracts are filled or 10%).For each account, the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 10% of 25 = 2.5 rounded down to 2

Account (B) = 10% of 15 = 1.5 rounded down to 1

Account (C) = 10% of 10 = 1 (no rounding necessary)

 

To Summarize:

A: initially receives 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: initially receives 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. to Account B which currently has a ratio of 0.067).

A: final allocation of 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

Example #3:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be executed2  but in very small portions and over a very long period of time. At 12 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 3 of the 50 contracts are filled or 6%). Normally the system initially allocates by rounding fractional amounts down to whole numbers, however for a fill size of less than 4 shares/contracts, IB first allocates based on the following random allocation methodology.

 

In this case, since the fill size is 3, we skip the rounding fractional amounts down.

 

For the first share/contract, all A, B and C have the same initial fill ratio and fill quantity, so we randomly pick an account and allocate this share/contract. The system randomly chose account A for allocation of the first share/contract.

 

To Summarize3:

A: initially receives 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: initially receives 0 contracts, which is 0/15 of desired (fill ratio = 0.00)

C: initially receives 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

Next, the system will perform a random allocation amongst the remaining accounts (in this case accounts B & C, each with an equal probability) to determine who will receive the next share/contract.

 

The system randomly chose account B for allocation of the second share/contract.

A: 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

The system then allocates the final [3] share/contract to an account(s) with the smallest ratio (i.e. Account C which currently has a ratio of 0.00).

A: final allocation of 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: final allocation of 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

 

Available allocation Flags

Besides the allocation methods above, user can choose the following flags, which also influence the allocation:

·         Strict per-account allocation.
For the initially submitted order if one or more subaccounts are rejected by the credit checking, we reject the whole order.

·         “Close positions first”1.This is the default handling mode for all orders which close a position (whether or not they are also opening position on the other side or not). The calculation are slightly different and ensure that we do not start opening position for one account if another account still has a position to close, except in few more complex cases.


Other factor affects allocations:

1)      Mutual Fund: the allocation has two steps. The first execution report is received before market open. We allocate based onMonetaryValue for buy order and MonetaryValueShares for sell order. Later, when second execution report which has the NetAssetValue comes, we do the final allocation based on first allocation report.

2)      Allocate in Lot Size: if a user chooses (thru account config) to prefer whole-lot allocations for stocks, the calculations are more complex and will be described in the next version of this document.

3)      Combo allocation1: we allocate combo trades as a unit, resulting in slightly different calculations.

4)      Long/short split1: applied to orders for stocks, warrants or structured products. When allocating long sell orders, we only allocate to accounts which have long position: resulting in calculations being more complex.

5)      For non-guaranteed smart combo: we do allocation by each leg instead of combo.

6)      In case of trade bust or correction1: the allocations are adjusted using more complex logic.

7)      Account exclusion1: Some subaccounts could be excluded from allocation for the following reasons, no trading permission, employee restriction, broker restriction, RejectIfOpening, prop account restrictions, dynamic size violation, MoneyMarketRules restriction for mutual fund. We do not allocate to excluded accountsand we cancel the order after other accounts are filled. In case of partial restriction (e.g. account is permitted to close but not to open, or account has enough excess liquidity only for a portion of the desired position).

 

 

Footnotes:

1.        Details of these calculations will be included in the next revision of this document.

2.        To continue observing margin in each account on a real-time basis, IB allocates each trade immediately (behind the scenes) however from the CTA and/or FA (or client’s) point of view, the final distribution of the execution at an average price typically occurs when the trade is executed in full, is canceled or at the end of day (whichever happens first).

3.       If no account has a ratio greater than 1.0 or multiple accounts are tied in the final step (i.e. ratio = 0.00), the first step is skipped and allocation of the first share/contract is decided via step two (i.e. random allocation).

 

Overview of Dividend Payments in Lieu ("PIL")

Payment In Lieu of a Dividend (“payment in lieu” or “PIL”) is a term commonly used to describe a cash payment to an account in an amount equivalent to the ordinary dividend. Generally, the amount paid is per share owned. In addition, the dividend in most cases is paid quarterly (i.e., four times per year). The dividend payment is classified as follows: (1) ordinary dividend; and/or (2) payment in lieu of dividend. The former designation is for a payment received directly from the issuer or its paying agent. The latter designation is used when a cash payment is received from other than the issuer or the issuer’s agent.

Payment in lieu of an ordinary dividend may be received when the shares have been bought on margin, or when the account has a subsequent margin loan due to borrowing money to facilitate the payment for additional purchases of shares or as the result of a withdrawal from the margin account. Payment in lieu of a dividend may also be received when shares are owed to the brokerage firm and have not been received by the dividend record date.

To better understand the difference between an ordinary dividend and a payment in lieu, we will explain the steps taken by IB to comply with US regulations. Each business day, the Firm analyzes the positions in each customer account, every borrow, every loan, every pledge of shares for each security held by its customers to determine how many shares are held on margin and the associated margin loan balances. For each security that is fully paid, we are required to segregate those shares in a good control location (for example, a depository or a US bank. See KB1964).  For shares that are held as collateral for a margin loan we are allowed to hypothecate and re-hypothecate shares valued up to 140 percent of the total debit balance in the customer account (See KB1967).

While the guidelines noted above for segregation of securities are clear, there are exceptions that are outside of the Firm's control. For instance, through no fault of its own, IB may have a deficit in segregated shares due to customer activity that changes the Firm’s overall segregation requirement for a security. This may be for a variety of reasons including a delay in receiving shares that have been loaned out to a counterparty after segregation requirements are recalculated and the Firm has issued a stock loan recall, sales of securities by one or more customers that reduce or eliminate margin loans, the deposit of cash by customers that similarly reduce or eliminate margin loans, or a failure of a counterparty to deliver shares for a trade settlement.

Upon issuing a recall of shares loaned, rules permit the borrower of the shares up to 3 business days to return them. The borrower of the shares is required to return them to us when we issue a recall, but if by business day 3 the shares have not been returned, IB may then issue a buy-in notice to begin the process of regaining possession of the shares. An additional 3 business days is generally needed for the purchased shares to settle and be delivered to the firm. Similarly if a counterparty fails to deliver by settlement date, shares to IB to settle a customer purchase, IB can issue a buy-in notice but the purchase of such shares are also subject to trade settlement in 3 days.

To summarize, if by the record date of a dividend certain shares have not been delivered to IB, the Firm will be paid an amount of cash that is equivalent to the dividend amount, but IB will not receive a qualified dividend payment directly from the issuer. In such cases, the Firm will receive PIL and will have no choice but to allocate such payment in lieu to customer accounts. The firm first allocates PIL to those accounts who hold the shares as collateral for a margin loan. If, after PIL is allocated to all shareholders whose accounts are not fully paid, any portion of PIL remains to be paid, it is allocated on a pro-rata basis to each remaining client account.

Account holders should be aware that a PIL may have different tax consequences than an ordinary dividend and should consult a tax advisor to understand such differences and whether they apply to their particular situation.

Kontrolle der Risikogebühren über das Kontoübersichtsfenster

Das Kontoübersichtsfenster zeigt Ihnen die übergeordneten, allgemeinen Informationen an, die Sie benötigen, um Ihr Konto auf Echtzeit-Basis zu kontrollieren. Dies umfasst die wichtigsten Salden, wie z. B. die Gesamtsummen Ihres Bar- und Aktienkapitals, die Portfolio-Zusammensetzung und Margin-Salden zur Feststellung der Einhaltung der Mindestanforderungen und der verfügbaren Kaufkraft. Das Fenster enthält außerdem Informationen zu den zuletzt berechneten Risikogebühren und eine Prognose für die nächste Gebührenzahlung unter Berücksichtigung der aktuellen Positionen.

So öffnen Sie die Kontoübersicht: 
• Klicken Sie in der klassischen Version der TWS auf das „Konto“-Symbol, oder wählen Sie im Menü „Konto“ den Menüpunkt „Kontoübersicht“ aus (Abbildung 1)
 

Abbildung 1

 

• In der Mosaic-Version der TWS klicken Sie hierzu in der oberen Menüleiste auf „Konto“ und anschließend auf „Kontoübersicht“ (Abbildung 2)

Abbildung 2

 

Wenn Sie das Fenster geöffnet haben, scrollen Sie nach unten bis zum Abschnitt Margin-Anforderungen und klicken auf das „+“ Zeichen oben rechts, um den Abschnitt zu erweitern. Darin werden die Beträge der letzten und erwarteten nächsten Risikogebühr für jede Produktklasse, für die solche Gebühren erhoben werden (z. B. Aktien, Öl), im Detail angezeigt. Bitte beachten Sie, dass der „letzte“ Betrag die Gebühr mit dem Stand vom letzten Berechnungsdatum angibt (Gebühren werden auf Basis der bei Handelsschluss gehaltenen offenen Positionen berechnet und kurz danach in Rechnung gestellt). Der „geschätzte nächste“ Gebührenbetrag stellt die voraussichtliche Gebühr auf Basis des Stands bei Handelsschluss am aktuellen Tag dar, unter Berücksichtigung von Positionsveränderungen seit der vorangegangenen Berechnung (Abbildung 3).

Abbildung 3

 

Um anzupassen, welche Informationen in der Ausgangsansicht angezeigt werden, wenn der Abschnitt minimiert ist, müssen Sie lediglich die Kontrollkästchen neben den entsprechenden Posten markieren. Die markierten Informationen bleiben anschließend jederzeit sichtbar.

 

In Artikel KB2275 erhalten Sie Informationen zur Nutzung des RiskNavigator von IB  für die Verwaltung und Vorabberechnung von Risikogebühren. Informationen zur Verifizierung der Risikogebühren über das Ordervorschaufenster erhalten Sie in Artikel KB2276.

Ordervorschau - Auswirkungen auf Risikogebühren überprüfen

IB stellt Ihnen eine Funktion zur Verfügung, mit der Kontoinhaber überprüfen können, ob und in welchem Maße sich eine Order auf die voraussichtlichen Risikogebühren auswirken würde. Diese Funktion sollte vor der Übermittlung einer Order verwendet werden, damit Sie bereits vorab über die resultierenden Gebühren informiert sind. So haben Sie die Möglichkeit, Änderungen an der Order vorzunehmen, noch bevor Sie diese übermitteln, um ggf. die anfallenden Gebühren zu verringern oder zu aufzuheben.

Sie können diese Funktion aktivieren, indem Sie mit der rechten Maustaste die Orderzeile anklicken. Daraufhin öffnet sich die Ordervorschau. Dieses Fenster enthält einen Link mit der Bezeichnung „Auswirkungen auf Risikogebühren prüfen“ (s. rote Markierung in Abbildung I).

Abbildung I

 

Wenn Sie diesen Link anklicken, wird das Fenster erweitert. Sie sehen nun eine Übersicht über ggf. anfallende Risikogebühren für die aktuellen Positionen, sowie die Veränderung der Gebühr bei Ausführung der angezeigten Order und die Gesamtgebührensumme nach Ausführung der Order (s. rote Markierung in Abbildung II unten). Diese Beträge werden weiter in die jeweiligen Produktklassen aufgeschlüsselt, für die die Gebühren anfallen (z. B. Aktien, Öl). Kontoinhaber können dieses Fenster einfach schließen, ohne die Order zu übermitteln, falls die Auswirkungen auf die Risikogebühren sich als zu groß erweisen.

Abbildung II

 

In Artikel KB2275 erhalten Sie Informationen zur Verwendung des RiskNavigator von IB für die Verwaltung und Vorabberechnung von Risikogebühren. Informationen zur Kontrolle der Gebühren über das Kontoübersichtsfenster erhalten Sie in Artikel KB2344.

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