U.S. 2020 Election Margin Increase

In light of the potential market volatility associated with the upcoming United States presidential election,  Interactive Brokers will implement an increase in the margin requirement for all U.S. traded equity index futures and derivatives and Dow Jones Futures listed on the OSE.JPN exchange.

Clients holding a position in a U.S. equity index future and their derivatives and/or Down Jones Futures listed on the OSE.JPN exchange should expect the margin requirement to increase by approximately 35% above the normal margin requirement. The increase is scheduled to be implemented gradually over a 20-calendar day period with the maintenance margin increase starting on October 5, 2020 through October 30, 2020.

The table below provides examples of the margin increases projected for some of the more widely held products 

Future Symbol
Description Listing Exchange Trading Class Current Rate (Price scan range)* Projected Rate (Price scan range)
ES E-mini S&P 500 CME ES 7.13 9.63
YM MINI DJIA CBOT YM 6.14 8.29
RTY Russell 2000 CME RTY 6.79 9.17
NQ NASDAQ E-MINI CME NQ 6.57 8.87
DJIA OSE Dow Jones Industrial Average OSE.JPN DJIA 5.14 6.94

 *As of 10/2/20 open.

 

NOTE: IBKR's Risk Navigator can help you determine the impact the new maintenance margin requirements will have on your current portfolio or any other portfolio you would like to construct or test. For more information about the Alternative Margin Calculator feature, please see KB Article 2957: Risk Navigator: Alternative Margin Calculator and from the margin mode setting in Risk Navigator, select " US Election Margin".

 

Overview of ESMA CFD Rules Implementation for Retail Clients at IBIE and IBCE

概観: 

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

68.7% 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.

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

National regulators have adopted the ESMA rules on a permanent basis.

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 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; IBDE40; 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 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 and/or Stock 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 the combined Stock and CFD positions. Note that the concentration charge is the only instance where CFD and Stock positions are margined together.

1.3 Funding of Initial Margin Requirements

You can only use cash to post initial margin to open a CFD position.

Initially all cash used to fund the account is available for CFD trading. Any initial margin requirements for other instruments and cash used to purchase cash stock reduce the available cash. If your cash stock purchases have created a margin loan, no funds are available for CFD trades even if your account has significant equity. We cannot increase a margin loan to fund CFD margin under the ESMA rules.

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.

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 CFD cash and unrealized CFD P&L (positive and negative). Note that CFD cash excludes cash supporting margin requirements for other instruments. 

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 account and no open positions. 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 non-CFD assets are not part of your capital at risk for CFD trading. 

Should you lose more than the cash dedicated to CFD trading, IB must write off the loss. 

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.

 

Margin Considerations for Intramarket Futures Spreads

Background

Clients who simultaneously hold both long and short positions of a given futures contract having different delivery months are often provided a spread margin rate that is less than the margin requirement for each position if considered separately. However, as the settlement prices of each contract may deviate significantly as the front month contract approaches its close out date, IBKR will reduce the benefit of the spread margin rate to reflect the risk of this price deviation.

 

Spread Margin Adjustment

This reduction is accomplished by effectively decoupling or breaking the spread in phases on each of the 3 business days preceding the close out date of the front contract month, as follows:

  • On the 3rd business day prior to close out, the initial and maintenance margin requirements will be equal to 10% of their respective requirements on each contract month as if there was no spread, plus 90% of the spread requirement;
  • On the 2nd business day prior to close out, the initial and maintenance margin requirements will be equal to 20% of their respective requirements on each contract month as if there was no spread, plus 80% of the spread requirement;
  • On the business day prior to close out, the initial and maintenance margin requirements will be equal to 30% of their respective requirements on each contract month as if there was no spread, plus 70% of the spread requirement.

 

Working Example

Assume a hypothetical futures contract XYZ with the margin requirements as outlined in the table below:

XYZ Front Month - 1 Short Contract (Uncovered) Back Month - 1 Long Contract (Uncovered) Spread - 1 Short Front Month vs. 1 Long Back Month
Initial Margin $1,250 $1,500 $500
Maintenance Margin $1,000 $1,200 $400

Further assume a position consisting of 1 short front month contract and 1 long back month contract with the front month contract close out date = T.  using this hypothetical example, the initial margin requirement over the 3 business day period preceding close out date is outlined in the table below:

Day Initial Margin Requirement Calculation Details
T-4 $500 Unadjusted
T-3 $725 .1($1,250 + $1,500) + .9($500)
T-2 $950 .2($1,250 + $1,500) + .8($500)
T-1 $1,175 .3($1,250 + $1,500) + .7($500)
T $1,175 Positions not in compliance with close out requirements are subject to liquidation.

 

Concentrated Positions in Low Cap Stocks

The margin requirement for accounts holding concentrated positions in low cap stocks is as follows:

  • An alternative stress test will be considered following the margin calculation currently in place. Here, each stock and its derivatives will be subject to a stress test which simulates a price change reflective of a $500 million decrease in capitalization (e.g., 25% in the case of a stock with a market capitalization of $2 billion; 30% for a stock with a market capitalization of $1.5 billion; etc.). Stocks with a market capitalization of $500 million or below will be subject to a stress test as if the price has fallen to $0.
  • For the stock which projects the greatest loss assuming a $500 million decrease in capitalization, that loss will be compared to the initial margin as determined under the preceding calculation for the aggregate portfolio and, if greater, will become the initial margin requirement.
  • If the initial margin requirement is increased, the maintenance margin for that same stock and its derivatives will increase to approximately 90% of the initial requirement for the aggregate portfolio.

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

概観: 


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

63.7% 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.

 

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; IBDE40; 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.

 

SMAとそのしくみ

概観: 

SMAとは「Special Memorandum Account」のことです。この口座に保有されるのは株式や現金ではなく、Reg. Tの信用取引口座にある有価証券の時価が上昇したときに発生する信用枠を指します。SMAの目的は含み益による次の買い付けのために買付力を維持することにあります。これができない場合には次の買付の際に余剰の株式を取りくずして資金化することになるため、SMAは安定した口座価値を維持し、不必要な資金調達取引を最小限に抑えるのに役立ちます。

有価証券の価値が上昇するとSMAも上昇しますが、 有価証券の価値が下がる場合でもSMAが下がることはありません。SMAが減少するのは有価証券を購入したり現金を引き出す場合のみであり、SMAの使用に関する唯一の制限は、追加の購入や引出しによって口座が維持証拠金額の要件を下回らないことになります。SMAを増加させる取引には、現金預金、受取利息、または受取配当金(1ドル単位)、有価証券の売却(純収入の50%)などがあります。注意すべき点は、SMA残高は過去の記帳項目をすべてを集計したものであり、口座開設時からの残高に影響を与えるということです。長期間分の大量のエントリーが含まれているため、日々のアクティビティステートメントから現在のSMAのレベルを計算し確認することは、可能ではあるものの現実的には困難です。 

SMAがどのように機能するか、例を使って考えてみます。ある口座保有者が$5,000を入金し、ローンバリューが50%の有価証券を$10,000購入したと仮定します(または必要証拠金が1-ローンバリュー、または50%に等しいとします)。この場合、口座開設前と開設後の値は以下のようになります:

項目
詳細
イベント1 - 初回入金
イベント2 - 株式購入
A.
キャッシュ
$5,000
($5,000)
B.
ロング株式市場価格
$0
$10,000
C.
流動性総資産/EWL* (A + B)
$5,000
$5,000
D.
委託証拠金(B * 50%)
$0
$5,000
E
委託証拠金余力(C - D)
$5,000
$0
F.
SMA
$5,000
$0
G.
購買力
$10,000
$0

次に、買い持ち銘柄の価値が$12,000に上昇したとします。この$2,000の市場価格の上昇により、$1,000のSMAが発生し、口座保有者は次のうちのいずれかが可能となります: 1)追加の資金を預けることなく、50%の証拠金率を想定して$2,000の価値のある有価証券を追加で購入する。または、2)現金で$1,000を引出す(口座に現金がない場合には、借方の残高を増やすことで資金を調達することができます)。以下をご覧ください:

項目
詳細
イベント2 – 株式購入
イベント3 - 株価上昇
A.
キャッシュ
($5,000)
($5,000)
B.
ロング株式市場価格
$10,000
$12,000
C.
流動性総資産/EWL* (A + B)
$5,000
$7,000
D.
委託証拠金(B * 50%)
$5,000
$6,000
E
委託証拠金余力(C - D)
$0
$1,000
F.
SMA
$0
$1,000
G.
購買力
$0
$2,000

*EWLは貸付金額を含む資産価値のことであり、この例では流動性資産を指します。

SMAはReg. Tに基づく考え方です。IB LLCの証券口座がオーバーナイトの必要証拠金を遵守していることを確認するために使用されるものであり、日中やオーバーナイトの維持証拠金に対する遵守の確認をするためには使用されません。また、コモディティ口座の証拠金遵守の確認に使用されることもありません。同様に、オーバーナイトつまりReg. T必要証拠金が必要となる時間(米国東部標準時15:50)にSMAがマイナスである口座は、Reg. T必要証拠金遵守のため、ポジションの強制決済の対象となります。

 

 

Risk Navigator: Alternative Margin Calculator

概観: 

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

 

注文のプレビュー / 証拠金の確認

概観: 

注文のプレビュー/証拠金の確認機能を利用して予想されるコストや手数料、また証拠金への影響を、注文発注前に確認することができます。 この機能はTWSとウェブ・トレーダーの両方からご利用可能ですが、TWSバージョンの方がより細かい詳細を含んでいます。

トレーダー・ワークステーション(TWS)

TWSの証拠金確認機能を利用すると、計画中の注文による証拠金への影響を既存のポジションから分離することができ、また注文が約定された場合の新しい必要証拠金を確認することができます。委託証拠金および維持証拠金の必要額を含める証拠金の残高を表示し、流動性資産価値としてレポートします。この機能を利用するには注文のラインにカーソルをあて、右クリックしてドロップダウンのメニューから証拠金確認を選択してください。

例: 2012年6月が限月のES先物を1枚1387.25にて購入

 

注文プレビューの最初の項目にはこの有価証券のビッド、アスクそして最終取引価格が表示されます。

 

2つ目の項目には注文の基本的な内容が表示されます。

 

金額の項目には注文の価値と手数料の見積もりが表示されます。

 

証拠金への影響の項目には、下記の内訳が表示されます;

現在 = この注文の発注を除いた状態での、現在の口座価値

変化 = 口座内にあるポジションはすべて無視した状態で、この注文が発注された場合の影響

取引後 = 発注された注文が約定し、口座のポートフォリオに組み込まれた後に予想される口座価値

  

WebTrader

WebTraderの注文プレビュー機能には、TWSで取引後の口座価値として表示される情報のみが表示されます。

 

弊社からの資金借り入れ状況の判別方法

口座の現金残高の合計がマイナスになる場合には資金を借りることになり、借入は利子の対象となります。 借入は合計の現金残高がプラスの場合にも残高の清算やタイミングによっては存在することがあります。 下記はこういったケースの最もよくある例になります:

 
1.       ロング対ショートの通貨バランス – ある通貨建ての現金を、別の通貨の残高で用立てることができる場合です。 例えば米ドルを基準通貨とする口座が、ロングで決済済みUSD 10,000の残高、ショートで決済済みEUR 5,000の残高を、ユーロと米ドルの為替レート1.38:1で保有しているとします。ここではステートメントの報告および金利計算の観点より、全体的な現金残高はUSD 3,088(10,000 –(5,000 x 1.38))になります。 資金調達や再投資に関し各通貨にはそれぞれの取り決めがあるため、ショートの残高は適用されるベンチマーク・レートや段階に基づく資金調達コストの対象となり、このコストはロングの残高に適用されるベンチマーク・レートや段階に基づいて受け取る金利に相殺されることがあります。
 
2.       セグメントごとの総残高 – IBKRのユニバーサル口座には複数のサブ口座やセグメントが含まれ、これらには規制や顧客保護のためそれぞれのポジションおよび担保があり、合わせての運用はありません。 この分離によりすべてのセグメントからの残高を合計することはないため、あるセグメントの残高でその他のセグメントの残高の負債を相殺することはありません。 例えば、IBLLC口座に有価証券とコモディティのポジションがあり、このうちの有価証券のセグメントにはUSD 3,000の負債があり、コモディティのセグメントにはUSD 8,000の残高があるとします。両方の口座の残高を合わせるとプラスUSD 5,000になり、不足分の残高には金利が発生しますが、プラスの残高につく金利によって部分的な相殺の可能性があります。
 
3.       空売り – 空売りは証拠金による取引であり、口座名義人は現金ではなく株式を借入れします。 空売りからの利益は口座の現金残高になりますが、株式の貸し手に対して株の返却を保証するため、こういった資金は担保として扱われます。この結果および借入取引が独自の融資取り決めの対象となる事実を踏まえ、証拠金の借入があることを明確にするために、借入の担保となる現金は残高とみなされません。
 
例として、現金残高は4,000、ロングの株式価値が10,000、およびショートの株式価値が5,000の、流動性総資産(残高はすべてUSD)は9,000になる口座を見てみます。株式のロングポジションが借入によるものであるかどうかを明確にするため、株式の貸し手に対し担保になっている5,000分が4,000の現金残高から差し引かれ、結果として1,000の負債になります。 この負債は金利の対象となり、また借入困難な株式の借入に対する現金は金利の対象、または借入がしやすく再投資レートが十分に高い株式の借り入れに対する現金は空売り株リベートの対象になる可能性があります。
 
4.       未決済資金- 借入は決済済みの資金に基づいて決定され、特定の取引に対する支払いや受け取り期限の時間枠は商品によって異なります。(通常、株式は3営業日、スポット通貨は2営業日、またデリバティブは1営業日以内の決済になります) ステートメントおよび取引プラットフォーム上の理由により、現金残高の報告は決済日ではなく取引日に基づくものとなり、決済が完了したように扱われます。
 
この結果、残高のあるように見える口座が未決済の借入資金で購入された株式の売却からの収益を含んでおり、実は証拠金の借入を保有している可能性もあります。 同様に、取引日に基づく負債残高のある口座が 、取引がまだ決済されていないために証拠金の借入および金利の負担をしていないという可能性もあります。
 
金利の計算に関しての詳細は金利の計算方法をご参照ください。
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