証拠金計算方法の概要
イントロダクション
ポジションに必要となる証拠金の計算方法は主に、以下の3つの要因に決定されます:
1. 商品のタイプ
2. 商品が上場される取引所および/またはキャリングブローカーの主要な規制当局によるルール
3. IBKRによる必要条件
計算方法は様々ありますが、基本的にはルールベースかリスクベースのどちらかに分類されます。ルールベースの方法では類似した商品に対し、一般的に均一した証拠金率を想定します。商品間でのオフセットはなく、デリバティブ商品はその原資産と同じ様に考慮されます。このため計算や実行はしやすくなっていますが、銘柄の過去のパフォーマンスのリスクを誇張することや過小することが頻繁にあります。ルールベース方の一般的な例には、米国のReg. T 条件があります。
これに対しリスクベースの方法では、商品の過去のパフォーマンスを反映させる証拠金の適用を試みます。商品間のオフセットもいくらか認識され、数学的な価格モデルを使用してデリバティブ商品の非線形リスクのモデルを作成します。 これらの方法は直感的ではありますが、クライアントには再現しにくい計算が含まれています。 また、証拠金は市場の状況に基づいているぶん、素早くかつ相当な変動の対象になます。リスクベースの方法には、TIMSおよびSPANが含まれます。
方法がルールベースかリスクベースかに関わらず、ほとんどのブローカーは、自身の見解によるエクスポージャーが基本的な証拠金を満たすだけのエクスポージャーより大きいと見る場合、法廷および基本要件を満たす以上の独自のハウスマージンを適用します。最も共通的なリスクベースやルールベースの方法の概要は、以下のようになります。
方法に関する概要
リスクベース
a. ポートフォリオ・マージン（TIMS） –「Theoretical Intermarket Margin System」またはTIMSは、オプション清算会社（OCC）による作成のリスクベース方です。価格の変動を想定してポジションを再評価する仮定の市場シナリオに基づいてポートフォリオの価値を計算します。 この方法はオプションの再評価にオプション価格設定のモデルを使用しています。OCCシナリオは、極端な市場の変化や集中ポジション、オプションのインプライドボラティリティの変化などの追加リスクを捉える幾つかの独自のシナリオによって補強されています。また、有価証券によっては（Pink Sheet、OTCBB、小型株など）証拠金が変わらないこともあります。シナリオごとに想定のポートフォリオ価値が指定されたら、損失が最大に想定されるものが必要証拠金になります。
TIMS方の適用が対象となるポジションには、米国株、ETF、オプション、個別株先物、ならびにSECによる「Ready market」テストを達成する非米国株およびオプションが含まれます。
この方法はルールベースに比べかなり複雑な計算の組み合わせを使用するため、リスクのモデルがより正確となり、またより高いレバレッジを提供する傾向があります。 強化されているレバレッジの提供能力と要件が変動して市場環境の変化に素早く対応する能力があることを考慮して高度な投資家を対象としており、初期投資には$110,000、また維持にあたって$100,000の自己資本が必要となります。 この方法に基づく株式の必要証拠金は一般的に15%から30%の範囲となり、過去のボラティリティが低く、オプションヘッジを採用する傾向のある、高度に分散された株式グループを含めるポートフォリオにより良い条件が適用されます。
b. SPAN – 「Standard Portfolio Analysis of Risk」またはSPANは、先物と先物オプションの証拠金用にデザインされた、Chicago Mercantile Exchange（CME）作成のリスクベース方です。 SPANはTIMSと同様に、原資産の価格変動とオプションのインプライドボラティリティの変動を想定し、仮定の市場シナリオに基づいてポートフォリオの価値を計算して必要証拠金を決定します。 IBKRはこれにおいても、極端な値動きとそのような値動きが深刻なアウト・オブ・ザ・マネーのオプションに与える特別な影響を考慮した独自のシナリオを前提に含めます。損失が最大に想定されるシナリオが必要証拠金になります。 SPAN証拠金のシステムに関する詳細は、KB563をご参照下さい。
ルールベース
a. Reg. T – 米国の中央銀行、米国連邦準備制度理事会では、金融システムの安定性の維持および金融市場におけるシステミックリスクの阻止に対する責任を有し、 ブローカーディーラーが、証拠金で有価証券を購入するために資金の借入れをする顧客に対して信用貸しする金額を規制することによって、部分的にこれを履行します。
これは一般的にReg. Tとして知られ、マージン口座の設立と、特定の有価証券取引に対して委託証拠金と支払ルールを課すRegulation Tによって行われます。 例えば株式の購入の場合、Reg. Tでは現在、購入額の50%を委託証拠金として顧客から必要とし、残りの50%はブローカーがクレジットや融資として提供すること許可しています。 例えば、$1,000の価値がある有価証券を購入しようとしている口座保有者は$500を入金し、$500を借入れすることができます。
Reg. Tは委託証拠金と維持証拠金の設定のみ行い、この後に継続してポジションを保有するにあたって必要となる金額は取引所のルールによって設定されます（株式の場合は25%）。Reg. Tはまた、SECの承認が必要となる上場取引所の管轄となるため、有価証券オプションのための必要証拠金の設定は行いません。Reg.T口座に保有されるオプションは、ショートポジションが株式同様に扱われ、スプレッド取引に対して証拠金軽減が提供されるルールベース方の対象にもなります。 また、対象となるポートフォリオ・マージン口座に保有されるポジションは、Reg. T.の免除となります。
詳細の参照先
Order Preview - Check Exposure Fee Impact
IB provides a feature which allows account holders to check what impact, if any, an order will have upon the projected Exposure Fee. The feature is intended to be used prior to submitting the order to provide advance notice as to the fee and allow for changes to be made to the order prior to submission in order to minimize or eliminate the fee.
The feature is enabled by right-clicking on the order line at which point the Order Preview window will open. This window will contain a link titled "Check Exposure Fee Impact" (see red highlighted box in Exhibit I below).
Exhibit I
Clicking the link will expand the window and display the Exposure fee, if any, associated with the current positions, the change in the fee were the order to be executed, and the total resultant fee upon order execution (see red highlighted box in Exhibit II below). These balances are further broken down by the product classification to which the fee applies (e.g. Equity, Oil). Account holders may simply close the window without transmitting the order if the fee impact is determined to be excessive.
Exhibit II
Please see KB2275 for information regarding the use of IB's Risk Navigator for managing and projecting the Exposure Fee and KB2344 for monitoring fees through the Account Window
Important Notes
1. The Estimated Next Exposure Fee is a projection based upon readily available information. As the fee calculation is based upon information (e.g., prices and implied volatility factors) available only after the close, the actual fee may differ from that of the projection.
2. The Check Exposure Fee Impact is only available for accounts that have been charged an exposure fee in the last 30 days
Using Risk Navigator to Project Exposure Fees
概観:
IB's Risk Navigator provides a custom scenario feature which allows one to determine what effect, if any, changes to their portfolio will have to the Exposure fee. Outlined below are the steps for creating a “what-if” portfolio through assumed changes to an existing portfolio or through an entirely new proposed portfolio along with determining the resultant fee. Note that this feature is available through TWS build 971.0i and above.
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 (Exhibit 1).
Exhibit 1
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From the Mosaic TWS trading platform, select the New Window, Select 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
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Clicking on the "No" button will open up the “What-If” Portfolio with no positions.
Step 3: 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 3), define the product type (Exhibit 4) and enter position quantity (Exhibit 5).
Exhibit 3
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Exhibit 4
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Exhibit 5
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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.
) 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.Step 4: Determine Exposure Fee
To view the projected correlated exposure fee based upon your “what-if” portfolio, click on the Report and then Exposure Fee menu options (Exhibit 6). Once selected, a new Exposure Fee tab will be added, which will display the projected exposure fee broken down by primary risk factors (Exhibit 7).
Exhibit 6
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Exhibit 7
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You can modify the positions to see how that changes the Exposure Fee. After you altered your positions you will need to click on the refresh button to the right of the Last Calculation Time. Whenever the warning icon (
) is present the Exposure Fee Calculations numbers are not up-to-date with the content of the “what-if” Portfolio.
) is present the Exposure Fee Calculations numbers are not up-to-date with the content of the “what-if” Portfolio. Please see KB2344 for information on monitoring the Exposure fee through the Account Window and KB2276 for verifying exposure fee through the Order Preview screen.
Important Note
1. The on-demand Exposure Fee check represents a projection based upon readily available information. As the fee calculation is based upon information (e.g., prices and implied volatility factors) available only after the close, the actual fee may differ from that of the projection.
Overview of Margin Methodologies
Introduction
The methodology used to calculate the margin requirement for a given position is largely determined by the following three factors:
1. The product type;
2. The rules of the exchange on which the product is listed and/or the primary regulator of the carrying broker;
3. IBKR’s “house” requirements.
While a number of methodologies exist, they tend to be categorized into one of two approaches: rules based or risk based. Rules based methods generally assume uniform margin rates across like products, offer no inter-product offsets and consider derivative instruments in a manner similar to that of their underlying. In this sense, they offer ease of computation but oftentimes make assumptions which, while simple to execute, may overstate or understate the risk of an instrument relative to its historic performance. A common example of a rules based methodology is the U.S. based Reg. T requirement.
In contrast, risk based methodologies often seek to apply margin coverage reflective of the product’s past performance, recognize some inter-product offsets and seek to model the non-linear risk of derivative products using mathematical pricing models. These methodologies, while intuitive, involve computations which may not be easily replicable by the client. Moreover, to the extent that their inputs rely upon observed market behavior, may result in requirements that are subject to rapid and sizable fluctuation. Examples of risk based methodologies include TIMS and SPAN.
Regardless of whether the methodology is rules or risk based, most brokers will apply “house” margin requirements which serve to increase the statutory, or base, requirement in targeted instances where the broker’s view of exposure is greater than that which would satisfied solely by meeting that base requirement. An overview of the most common risk and rules based methodologies is provided below.
Methodology Overview
Risk Based
a. Portfolio Margin (TIMS) – The Theoretical Intermarket Margin System, or TIMS, is a risk based methodology created by the Options Clearing Corporation (OCC) which computes the value of the portfolio given a series of hypothetical market scenarios where price changes are assumed and positions revalued. The methodology uses an option pricing model to revalue options and the OCC scenarios are augmented by a number of house scenarios which serve to capture additional risks such as extreme market moves, concentrated positions and shifts in option implied volatilities. In addition, there are certain securities (e.g., Pink Sheet, OTCBB and low cap) for which margin may not be extended. Once the projected portfolio values are determined at each scenario, the one which projects the greatest loss is the margin requirement.
Positions to which the TIMS methodology is eligible to be applied include U.S. stocks, ETFs, options, single stock futures and Non U.S. stocks and options which meet the SEC’s ready market test.
As this methodology uses a much more complex set of computations than one that is rules based, it tends to more accurately model risk and generally offers greater leverage. Given its ability to offer enhanced leverage and that the requirements fluctuate and may react quickly to changing market conditions, it is intended for sophisticated individuals and requires minimum equity of $110,000 to initiate and $100,000 to maintain. Requirements for stocks under this methodology generally range from 15% to 30% with the more favorable requirement applied to portfolios which contain a highly diversified group of stocks which have historically exhibited low volatility and which tend to employ option hedges.
b. SPAN – Standard Portfolio Analysis of Risk, or SPAN, is a risk-based margin methodology created by the Chicago Mercantile Exchange (CME) that is designed for futures and future options. Similar to TIMS, SPAN determines a margin requirement by calculating the value of the portfolio given a set of hypothetical market scenarios where underlying price changes and option implied volatilities are assumed to change. Again, IBKR will include in these assumptions house scenarios which account for extreme price moves along with the particular impact such moves may have upon deep out-of-the-money options. The scenario which projects the greatest loss becomes the margin requirement. A detailed overview of the SPAN margining system is provided in KB563.
Rules Based
a. Reg. T – The U.S. central bank, the Federal Reserve Board, holds responsibility for maintaining the stability of the financial system and containing systemic risk that may arise in financial markets. It does this, in part, by governing the amount of credit that broker dealers may extend to customers who borrow money to buy securities on margin.
This is accomplished through Regulation T, or Reg. T as it is commonly referred, which provides for establishment of a margin account and which imposes the initial margin requirement and payment rules on certain securities transactions. For example, on stock purchases, Reg. T currently requires an initial margin deposit by the client equal to 50% of the purchase value, allowing the broker to extend credit or finance the remaining 50%. For example, an account holder purchasing $1,000 worth of securities is required to deposit $500 and allowed to borrow $500 to hold those securities.
Reg. T only establishes the initial margin requirement and the maintenance requirement, the amount necessary to continue holding the position once initiated, is set by exchange rule (25% for stocks). Reg. T also does not establish margin requirements for securities options as this falls under the jurisdiction of the listing exchange’s rules which are subject to SEC approval. Options held in a Reg.T account are also subject to a rules based methodology where short positions are treated like a stock equivalent and margin relief is provided for spread transactions. Finally, positions held in a qualifying portfolio margin account are exempt from the requirements of Reg. T.
Where to Learn More
Tools provided to monitor and manage margin
How to determine if you are borrowing funds from IBKR
Why does IBKR calculate and report a margin requirement when I am not borrowing funds?
Margin Requirement on Leveraged ETF Products
Leveraged Exchange Traded Funds (ETFs) are a subset of general ETFs and are intended to generate performance in multiples of that of the underlying index or benchmark (e.g. 200%, 300% or greater). In addition, some of these ETFs seek to generate performance which is not only a multiple of, but also the inverse of the underlying index or benchmark (e.g., a short ETF). To accomplish this, these leveraged funds typically include among their holdings derivative instruments such as options, futures or swaps which are intended to provide the desired leverage and/or inverse performance.
Exchange margin rules seek to recognize the additional leverage and risk associated with these instruments by establishing a margin rate which is commensurate with that level of leverage (but not to exceed 100% of the ETF value). Thus, for example, whereas the base strategy-based maintenance margin requirement for a non-leveraged long ETF is set at 25% and a short non-leveraged ETF at 30%, examples of the maintenance margin change for leveraged ETFs are as follows:
1. Long an ETF having a 200% leverage factor: 50% (= 2 x 25%)
2. Short an ETF having a 300% leverage factor: 90% (= 3 x 30%)
A similar scaling in margin is also in effect for options. For example, the Reg. T maintenance margin requirement for a non-leveraged, short broad based ETF index option is 100% of the option premium plus 15% of the ETF market value, less any out-of-the-money amount (to a minimum of 10% of ETF market value in the case of calls and 10% of the option strike price in the case of puts). In the case where the option underlying is a leveraged ETF, however, the 15% rate is increased by the leverage factor of the ETF.
In the case of portfolio margin accounts, the effect is similar, with the scan ranges by which the leveraged ETF positions are stress tested increasing by the ETF leverage factor. See NASD Rule 2520 and NYSE Rule 431 for further details.
What happens if the net liquidating equity in my Portfolio Margining account falls below USD 100,000?
概観:
Portfolio Margining accounts reporting net liquidating equity below USD 100,000 are limited to entering trades which serve solely to reduce the margin requirement until such time as either: 1) the equity increases to above 100,000 or 2) the account holder requests a downgrade to Reg T style margining through Client Portal (select the Settings, Account Settings, Configure and Account Type menu options).
If a Portfolio Margining eligible account reporting net liquidating equity below USD 100,000 enters an order which, if executed, would serve to increase the margin requirement, the following TWS message will be displayed: "Your order is not accepted, margin requirement increase not allowed. Equity with loan value is less than 100,000.00 USD."
IMPORTANT NOTICE
Please note that requests to downgrade to Reg. T will become effective the following business day if submitted prior to 4:00 ET. Also note that as the Reg. T margining methodology generally affords less leverage than does Portfolio Margining, requesting a downgrade may lead to the automatic liquidation of positions in your account in order to comply with Reg. T. You will receive a warning message if that is the case at the time you request the downgrade.
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What positions are eligible for Portfolio Margining?
概観:
Portfolio Margining is eligible for US securities positions including stocks, ETFs, stock and index options and single stock futures. It does not apply to US futures or futures options positions or non-US stocks, which may already be margined using an exchange approved risk based margining methodology.
Are there any qualification requirements in order to receive Portfolio Margining treatment on US securities positions and how does one request this form of margin?
概観:
In order to enabled for portfolio margining an account must be approved for option trading and must have at least USD 110,000 in net liquidating equity (USD 100,000 to maintain, once enabled). Account holders will also be required to acknowledge and sign the Portfolio Margin Risk Disclosure document and be bound by its terms.
Portfolio margining may be requested through the on-line application phase (in the Account Configuration step) or after the account has been approved. To apply once the account has already been approved, log into Client Portal and select the Settings and Account Settings menu options. In the Configuration section, click the gear icon next to the words "Account Type". There you may choose the portfolio margin treatment which will initiate the approval process. Please note that requests are subject to review (generally a 1-2 day process) and may be declined for various reasons including a projected increase in margin upon upgrade from Reg T to Portfolio Margining.
