Panoramica dell'implementazione delle norme dell'ESMA sui CFD in IBKR - Solamente investitori retail

Overview: 

L'Autorità europea degli strumenti finanziari e dei mercati (ESMA) ha emanato nuove norme applicabili ai clienti retail che negozino CFD,e in vigore a partire dal 1 agosto 2018. I clienti professionali non ne sono soggetti.

Queste norme consistono in: 1) dei limiti della leva finanziaria; 2) una norma sulla liquidazione del margine a seconda dello specifico conto; e 3) una tutela del saldo negativo a seconda dello specifico conto; 4) una restrizione sugli incentivi offerti per la negoziazione di CFD; e 5) un'avvertenza sui rischi standard.

Le seguenti sezioni illustrano i dettagli dell'implementazione dell'ordinanza dell'ESMA da parte di IBKR.

1 Limiti della leva

1.1 Margini ESMA
L'ESMA ha fissato i limiti della leva a diversi livelli a seconda del sottostante:

  • Il 3.33% per le principali coppie valutarie; per principali coppie valutarie si intende una combinazione di qualunque tra USD; CAD; EUR; GBP; CHF; JPY
  • Il 5% per le coppie valutarie non principali e gli indici principali;
    • Per coppie valutarie non principali si intende una combinazione qualunque che comprenda una valuta non indicata sopra, per esempio USD.CNH
    • Gli indici principali sono IBUS500; IBUS30; IBUST100; IBGB100; IBDE30; IBEU50; IBFR40; IBJP225; IBAU200
  • Il 10% per gli indici non principali; IBES35; IBCH20; IBNL25; IBHK50
  • Il 20% per i singoli titoli

 1.2 Margini applicati

Oltre ai margini previsti dall'ESMA, IBKR (UK) stabilisce i propri requisiti di margine (margini IB) basati sulla volatilità storica del sottostante e altri fattori. Applicheremo i margini IB se superiori a quelli previsti dall'ESMA.

I dettagli dei margini IB ed ESMA applicabili sono disponibili qui.

1.3 Calcolo del margine iniziale

È possibile utilizzare solamente liquidità per pubblicare il margine per l'apertura di posizioni su CFD. I profitti su CFD realizzati sono compresi nella liquidità e disponibili immediatamente; la liquidità non deve essere prima regolata. Tuttavia, i profitti non realizzati non possono essere impiegati per soddisfare i requisiti di margine iniziali.

1.4 Finanziamento automatico dei requisiti di margine iniziali (segmenti F)

IBKR (UK) provvede al trasferimento automatico dei fondi dal conto principale al segmento F del conto per finanziare i requisiti di margine iniziali dei CFD.

Si noti, tuttavia, che non viene effettuato alcun trasferimento per soddisfare i requisiti di margine di mantenimento dei CFD. Di conseguenza, se la liquidità necessaria a soddisfare i requisiti (come di seguito descritto) diventa insufficiente a soddisfare i requisiti di margine, si verificherà una liquidazione anche se si dispone di ampi fondi nel conto principale. Se si desidera evitare la liquidazione, è necessario trasferire fondi aggiuntivi nel segmento F tramite Gestione conto.

2 Norma di liquidazione del margine

2.1 Calcolo del margine di mantenimento e liquidazioni

L'ESMA richiede a IBKR di liquidare le posizioni su CFD se il capitale proprio necessario a soddisfare i requisiti scende al di sotto del 50% del margine iniziale registrato per l'apertura delle posizioni. Il capitale proprio necessario a soddisfare i requisiti per questo scopo comprende la liquidità nel segmento F (esclusa la liquidità in qualunque altro segmento del conto) e il P&L su CFD non realizzato (positivo e negativo).

La base del calcolo è il margine iniziale registrato al momento dell'apertura della posizione. In altre parole, e a differenza dei calcoli del margine applicabili alle posizioni su strumenti diversi dai CFD, l'ammontare del margine iniziale non cambia al variare della posizione aperta.

2.1.1 Esempio

Si dispone di 2000 EUR in liquidità nel proprio conto CFD. Si desidera acquistare 100 CFD di XYZ al prezzo limite di 100 EUR. Si ottiene, innanzitutto, l'esecuzione di 50 CFD e poi dei restanti 50. La liquidità disponibile si riduce durante l'esecuzione delle transazioni:

  Liquidità Capitale proprio* Posizione Prezzi Valore P&L non realizzato MI MM Liquidità disponibile Violazione del MM
Pre-transazione 2000 2000             2000  
Post-transazione 1 2000 2000 50 100 5000 0 1000 500 1000 No
Post-transazione 2 2000 2000 100 100 10000 0 2000 1000 0 No

*Capitale proprio equivalente alla liquidità più il P&L non realizzato

Il prezzo aumenta fino a 110. Il capitale proprio è ora pari a 3000, ma non è possibile aprire posizioni aggiuntive, perché la liquidità a propria disposizione è pari a 0, e, secondo le norme dell'ESMA, il MI (margine iniziale) e il MM (margine di mantenimento) restano immutati:

  Liquidità Liquidità Posizione Prezzi Valore P&L non realizzato MI MM Liquidità disponibile Violazione del MM
Variazione 2000 3000 100 110 11000 1000 2000 1000 0 No

 Il prezzo, quindi, scende fino a 95. Il capitale proprio si riduce a 1500, ma non vi è violazione del margine dato che è comunque maggiore del requisito di 1000:

  Liquidità Liquidità Posizione Prezzi Valore P&L non realizzato MI MM Liquidità disponibile Violazione del MM
Variazione 2000 1500 100 95 9500 (500) 2000 1000 0 No

Il prezzo scende ulteriormente fino ad arrivare a 85, causando una violazione del margine e innescando una liquidazione:

  Liquidità Liquidità Posizione Prezzi Valore P&L non realizzato MI MM Liquidità disponibile Violazione del MM
Variazione 2000 500 100 85 8500 (1500) 2000 1000 0

 

3 Protezione del capitale proprio negativo

L'ordinanza dell'ESMA limita la propria responsabilità dei CFD ai fondi dedicati al trading di CFD. Gli altri strumenti finanziari (es., azioni o future) non possono essere liquidati per soddisfare il disavanzo di margine dei CFD.*

Quindi, gli attivi nei segmenti titoli e commodity del proprio conto principale, e gli attivi diversi dai CFD mantenuti nel segmento F, non fanno parte del proprio capitale a rischio per il trading di CFD. Tuttavia, tutta la liquidità nel segmento F può essere utilizzata per coprire le perdite derivanti dal trading di CFD.

Dato che la protezione del capitale proprio negativo rappresenta un rischio aggiuntivo per IBKR, addebiteremo agli investitori retail uno spread finanziario aggiuntivo del 1% per le posizioni su CFD mantenute alla giornata. Per informazioni dettagliate sui tassi di finanziamento dei CFD, cliccare qui.

*Sebbene non possiamo liquidare le posizioni su strumenti diversi dai CFD per coprire il disavanzo dei CFD, possiamo liquidare le posizioni su CFD per coprire il disavanzo non CFD.

4 Incentivi offerti dal trading di CFD

L'ordinanza dell'ESMA impone un divieto sui benefici monetari e su quelli di altro tipo relativi al trading di CFD. IBKR non offre alcun bonus o altro incentivo per il trading di CFD.

5 Avvertenza sui rischi

I CFD sono strumenti complessi e implicano un alto rischio di perdita rapida di denaro per via della leva finanziaria.

Il 62% dei conti degli investitori al dettaglio (retail) perde denaro con la negoziazione di CFD tramite IBKR (UK).

È bene considerare se si comprende il funzionamento dei CFD e se ci si può permettere di assumersi l'alto rischio di perdita di denaro.

 

 

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

Overview: 

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.

For retail clients, the initial margin is in principle 2x the minimum concentration maintenance margin as described above. However in order to avoid excessive initial margin requirements on relatively small positions, we apply a USD 100k rebate to the Initial Concentration Margin for Retail clients (the result cannot be negative);

appliedConcentration = max(calculatedConcentration – USD 100k,0).

The effect of the rebate is to eliminate the concentration charge for concentrated positions under USD 250k equivalent. The charge will increase gradually thereafter, so that e.g. a concentrated position of USD 500k carries an initial margin of 40%, and a position of 1 million 50%. These examples assume that a client has maximum 2 positions; additional positions will reduce the aggregate charge.

You can find worked examples here (retail client-portfolios).

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 if qualifying equity falls below 50% of the initial margin posted to open the positions. 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.

5 Risk Warning

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

65% 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.

 

 

Risk Navigator: Alternative Margin Calculator

Overview: 

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

 

Anteprima ordine/Verifica margine

Overview: 

La funzione Anteprima ordine/Verifica margine offre la possibilità di verificare il costo e l'impatto sulle commissioni e sul margine previsti per uno specifico ordine prima della sua trasmissione. Sebbene questa funzione sia disponibile sia in TWS sia in WebTrader, la versione per TWS è quella che offre più dettagli.

Trader Workstation (TWS)

La funzione Verifica margine di TWS offre la possibilità di isolare l'impatto sul margine dell'ordine proposto dalle posizioni in essere del dato utente e, inoltre, mostra il nuovo requisito di margine partendo dal presupposto che l'ordine venga eseguito. I principali saldi del margine, compresi i requisiti del margine iniziale e di mantenimento, sono registrati così come il capitale con valore di prestito. Per usare questa funzione, è necessario posizionare il cursore sulla linea dell'ordine, cliccare col tasto destro del mouse e selezionare Verifica margine dal menu a discesa.

Esempio: acquisto di 1 ES June 2012 Future a 1387.25

 

La prima sezione dell'Anteprima dell'ordine mostra il prezzo bid, ask e l'ultimo prezzo del titolo.

 

La seconda sezione illustra i dettagli fondamentali dell'ordine

 

La sezione Importo indica il valore dell'ordine e la stima delle commissioni applicabili.

 

La sezione Impatto sul margine mostra una descrizione dettagliata di quanto segue;

Correnti = i valori correnti del conto, escluso l'ordine attualmente trasmesso.

Modifica = l'effetto della trasmissione dell'ordine ignorando le eventuali posizioni nel conto.

Post-negoziazione = i valori previsti del conto quando l'ordine attualmente trasmesso è stato eseguito e aggiunto al portafoglio del conto.

  

WebTrader

L'anteprima d'ordine di WebTrader mostra solamente l'equivalente dei valori di post-negoziazione di 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.

Monitoraggio Commissione di esposizione mediante Finestra conto

La Finestra conto fornisce informazioni generali che permettono il monitoraggio del proprio conto in tempo reale. Tali informazioni comprendono i saldi principali quali, per esempio, l'ammontare del capitale proprio e della liquidità, la composizione del portafoglio e i saldi di margine per la verifica della conformità ai requisiti e del potere d'acquisto disponibile.  Da questa schermata si ottengono anche informazioni relative all'ultima commissione di esposizione addebitata e una stima della commissione successiva sulla base delle posizioni esistenti.

È possibile aprire la Finestra conto mediante: 
• la postazione TWS classica, cliccando sull'icona Conto o selezionando Finestra conto dalla voce Conto del menu (Figura 1)
 

Figura 1

 

• la postazione TWS Mosaic, cliccando sulla voce Conto del menu e poi selezionando Finestra conto (Figura 2)

Figura 2

 

Dopo l'apertura della schermata è necessario scorrere verso il basso fino alla voce Requisiti di margine e poi cliccare sul segno + nell'angolo in alto a destra per espandere la sezione.  Le commissioni di esposizione, denominate rispettivamente "ultima" e "prossima attesa", sono ivi dettagliate per ogni categoria di prodotto cui si applicano (es. azioni, petrolio).  Si prega di notare che il saldo indicato alla voce "ultima" rappresenta la commissione aggiornata all'ultima data in cui è stata addebitata (si ricorda che le commissioni sono computerizzate in base alle posizioni in essere alla data di chiusura e addebitate di lì a breve).  Il saldo "prossimo atteso" rappresenta la commissione attesa alla data di chiusura in essere sulla base dell'attività della posizione rispetto al calcolo precedente (Figura 3).

Figura 3

 

In caso di sezione nascosta è possibile modificare la visualizzazione predefinita facendo un segno di spunta nella casellina a fianco di un elemento affinché tale elemento sia sempre visualizzato.

 

Si veda l'articolo KB2275 per informazioni sull'utilizzo di Risk Navigator relative alla gestione e alla stima della Commissione di esposizione e il KB2276 per verificare la Commissione di esposizione attraverso la schermata Anteprima ordine.

Anteprima ordine - Controllo impatto commissione di esposizione

IB permette ai titolari del conto di verificare l'eventuale impatto di un ordine sulla Commissione di esposizione attesa mediante una funzionalità pensata per un utilizzo prima dell'inoltro dell'ordine. Tale funzionalità fornisce un preavviso di commissione grazie al quale è possibile modificare l'ordine prima della sua trasmissione e diminuire o annullare la commissione stessa.

Per attivare questa funzionalità è necessario cliccare con il pulsante destro del mouse sulla riga dell'ordine, dopodiché si aprirà la finestra Anteprima ordine contenente un link denominato "Controllo impatto commissione di esposizione" (si veda il riquadro evidenziato in rosso nella Figura I qui di seguito).

 Figura I

 

Cliccando sul link si aprirà una finestra raffigurante l'eventuale Commissione di esposizione associata alle posizioni esistenti, la variazione della commissione in caso di ordine processato e la commissione totale risultante una volta processato l'ordine (si veda il riquadro evidenziato in rosso nella Figura II qui di seguito).  I saldi sono suddivisi ulteriormente per categoria di prodotto alla quale le commissioni si applicano (es. azioni, petrolio). I titolari del conto possono chiudere la finestra senza inoltrare l'ordine qualora ritengano l'impatto della commissione eccessivo.

Figura II

 

Si veda l'articolo KB2275 per informazioni sull'utilizzo di Risk Navigator relative alla gestione e alla stima della Commissione di esposizione e il KB2344 per il monitoraggio delle commissioni mediante la Finestra conto

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