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

証拠金に関する主要な定義

証拠金のモニターと管理のためのツール

購買力の決定の仕方

IBKRから借入れがあるかどうかの判断の仕方

資金の借入れをしていない場合でも必要証拠金の計算とレポートが行われるのはなぜですか?

IRA口座での証拠金取引

SMAとその機能

先物と先物オプションのための必要証拠金の計算方法

概観: 

先物オプションは、先物証拠金と同様に、SPANマージンと呼ばれる計算アルゴリズムで取引所によって管理されています。  SPANに関する詳細および機能は、CME Groupのウェブサイト、www.cmegroup.comをご参照下さい。  ウェブサイト内でSPANを検索すると、これに関する情報と機能が沢山見つかります。  SPAN(Standard Portfolio Analysis of Risk)のシステムは、 高度に洗練された手法で、事実上あらゆる市場シナリオを分析し、パフォーマンスボンドの必要額を算出します。

Background: 

一般的にSPANは以下のように機能します:

SPANは、デリバティブと現物銘柄のポートフォリオが一定の期間(通常は、1取引日)に合理的に発生させ得る最悪の損失を計算し、ポートフォリオ全体のリスクを査定します。これは様々な市場状況でポートフォリオに発生する利益と損失を計算して行われます。  この手法の中核となるのがSPANのリスク配列であり、様々な条件の下で特定のコントラクトがどのように価値を得る、または失うかを示す数値の組み合わせです。条件はそれぞれリスクシナリオと呼ばれます。各リスクシナリオの数値は、価格変動(または原資産価格)、ボラティリティ変動、満期までの時間短縮の特定の組み合わせにおいて、あるコントラクトに発生する利益または損失を表します。 

SPANマージンのファイルは取引所によって一定の間隔で1日中 IBKRに送信され、SPANマージン計算機能に接続されます。   先物オプションはすべて、満期になるか口座から決済されるまでリスクがあるものとして計算され続けます。  アウトオブザマネーになる可能性は関係ありません。  すべてのシナリオは、市場のボラティリティが極端になった場合に起こり得ることを考慮する必要があり、そのため、これら先物オプションの証拠金の影響は、オプションのポジションが存在しなくなるまで考慮される必要があります。 SPANの必要証拠金は、あらかじめ設定された極端な場合の市場変動シナリオと比較され、いずれか大きい方が必要証拠金として使用されます。

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

Key margin definitions

Tools provided to monitor and manage margin

Determining buying power

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?

Trading on margin in an IRA account

What is SMA and how does it work?

Overview of the SPAN margining system

The Standard Portfolio Analysis of Risk (SPAN) is a methodology developed by the CME and used by many clearinghouses and exchanges around the world to calculate the Performance Bond (i.e., margin requirement) on futures and options on futures which the clearinghouse collects from the carrying FCM and the FCM, in turn, from the client.

SPAN establishes margin by determining what the potential worst-case loss a portfolio will sustain over a given time frame (typically set to one day), using a set of 16 hypothetical market scenarios which reflect changes to the underlying price of the future or option contract and, in the case of options, time decay and a change in implied volatility. 

The first step in calculating the SPAN requirement is to organize all positions which share the same ultimate underlying into grouping referred to as a Combined Commodity group. Next, SPAN calculates and aggregates, by like scenario, the risk of each position within a Combined Commodity, with that scenario generating the maximum theoretical loss being the Scan Risk. The 16 scenarios are determined based upon that Combined Commodity’s Price Scan Range (the maximum underlying price movement likely to occur for the given timeframe) and Volatility Scan Range (the maximum implied volatility change likely to occur for options).

Assume a hypothetical portfolio having one long future and a one long put on stock index ABC having an underlying price of $1,000, a multiplier of 100 and a Price Scan Range of 6%.  For this given portfolio, the Scan Risk would be $1,125 scenario 14.

 

 

 

#

1 Long Future

1 Long Put

Sum

Scenario Description

1

$0

$20

$20

Price unchanged; Volatility up the Scan Range

2

$0

($18)

($18)

Price unchanged; Volatility down the Scan Range

3

$2,000

($1,290)

$710

Price up 1/3 Price Scan Range; Volatility up the Scan Range

4

$2,000

($1,155)

$845

Price up 1/3 Price Scan Range; Volatility down the Scan Range

5

($2,000)

$1,600

($400)

Price down 1/3 Price Scan Range; Volatility up the Scan Range

6

($2,000)

$1,375

($625)

Price down 1/3 Price Scan Range; Volatility down the Scan Range

7

$4,000

($2,100)

$1,900

Price up 2/3 Price Scan Range; Volatility up the Scan Range

8

$4,000

($2,330)

$1,670

Price up 2/3 Price Scan Range; Volatility down the Scan Range

9

($4,000)

$3,350

($650)

Price down 2/3 Price Scan Range; Volatility up the Scan Range

10

($4,000)

$3,100

($900)

Price down 2/3 Price Scan Range; Volatility down the Scan Range

11

$6,000

($3,100)

$2,900

Price up 3/3 Price Scan Range; Volatility up the Scan Range

12

$6,000

($3,375)

$2,625

Price up 3/3 Price Scan Range; Volatility down the Scan Range

13

($6,000)

$5,150

($850)

Price down 3/3 Price Scan Range; Volatility up the Scan Range

14

($6,000)

$4,875

($1,125)

Price down 3/3 Price Scan Range; Volatility down the Scan Range

15

$5,760

($3,680)

$2,080

Price up extreme (3 times the Price Scan Range) * 32%

16

($5,760)

$5,400

($360)

Price down extreme (3 times the Price Scan Range) * 32%

The Scan Risk charge is then added to any Intra-Commodity Spread Charges (an amount that accounts for the basis risk of futures calendar spreads) and Spot Charges (A charge that covers the increased risk of positions in deliverable instruments near expiration) and is reduced by any offset from an Inter-Commodity Spread Credit (a margin credit for offsetting positions between correlated products).  This sum is then compared to the Short Option Minimum Requirement (ensures that a minimum margin is collected for portfolios containing deep-out-of-the-money options) with the greater of the two being the risk of the Combined Commodity. These calculations are performed for all Combined Commodities with the Total Margin Requirement for a portfolio equal to the sum of the risk of all Combined Commodities less any credit for risk offsets provided between the different Combined Commodities. 

The software for computing SPAN margin requirements, known as PC-SPAN is made available by the CME via its website.

How do you calculate margin requirements on futures and futures options?

概観: 

Futures options, as well as futures margins, are governed by the exchange through a calculation algorithm known as SPAN margining.  For information on SPAN and how it works, please research the exchange web site for the CME Group, www.cmegroup.com.  From their web site you can run a search for SPAN, which will take you to a wealth of information on the subject and how it works.  The Standard Portfolio Analysis of Risk system is a highly sophisticated methodology that calculates performance bond requirements by analyzing the “what-ifs” of virtually any market scenario.

Background: 

In general, this is how SPAN works:

SPAN evaluates overall portfolio risk by calculating the worst possible loss that a portfolio of derivative and physical instruments might reasonably incur over a specified time period (typically one trading day.) This is done by computing the gains and losses that the portfolio would incur under different market conditions.  At the core of the methodology is the SPAN risk array, a set of numeric values that indicate how a particular contract will gain or lose value under various conditions. Each condition is called a risk scenario. The numeric value for each risk scenario represents the gain or loss that that particular contract will experience for a particular combination of price (or underlying price) change, volatility change, and decrease in time to expiration. 

The SPAN margin files are sent to IBKR at specific intervals throughout the day by the exchange and are plugged into a SPAN margin calculator.  All futures options will continue to be calculated as having risk until they are expired out of the account or are closed.  The fact that they might be out-of-the-money does not matter.  All scenarios must take into account what could happen in extreme market volatility, and as such the margin impact of these futures options will be considered until the option position ceases to exist.  The SPAN margin requirements are compared against IBKR's pre-defined extreme market move scenarios and the greater of the two are utilized as margin requirement.

IRA: Roth Conversions

Background: 


Traditional and SEP IRA owners may process a full conversion of cash or securities into a Roth IRA that has identical trading capabilities at Interactive Brokers.

An IRA Roth Conversion is a transfer of Traditional, SEP, or SIMPLE IRA assets into a Roth IRA as a rollover or conversion.

While Interactive Brokers is unable to re-designate a Traditional or SEP IRA as a Roth IRA (e.g. change the same Traditional IRA into a Roth IRA), you may still complete a Roth conversion without sending funds to another brokerage firm.  See below for methods to convert your IRA funds into a Roth IRA.  

Converting Your Funds

Internal Full Conversion Between IB Accounts

Conversion By Rollover Deposit

Conversion By Transfer

IRS Tax Reporting

Click Conversions and Recharacterizations for additional information.

 

Converting Your Funds

The IRS permits eligible IRA owners to contribute funds to a Roth IRA from a Traditional or SEP IRA.  Regardless of the conversion method used, the entire transaction is treated as a conversion.  There are three (3) conversion methods available for converting into an IB Roth IRA account:

(1) Internal Full Conversion (Cash & Securities)

(2) Rollover Deposit (Cash only)

(3) Trustee-to-Trustee Transfer (Cash only)

  1. Internal Full Conversion:  You may open a Roth IRA at IB and then request a Full (all assets) conversion of a Traditional or SEP IRA through Account Management.  All assets will be internally transferred  into the Roth IRA.  Internally processed Roth conversions submitted by 8:00 PM EST are processed the next business day.

[In Funds Management of the Traditional or SEP IRA, choose: IRA Conversion to Roth Account. Or, click  Position Transfers, then select IRA Conversion - Transfer Assets to Roth Account.]

Note: Select the funding option IRA Conversion or Re-characterization in the Funding section of the account application to perform a full conversion.  For step-by-step instructions, click here.  See Partial IRA Conversions to perform a partial conversion.

  1. Rollover Deposit:  You can receive a distribution from an IRA (Traditional, SEP, or SIMPLE) or qualified plan held outside of Interactive Brokers and roll the funds over (contribute it) to a Roth IRA within 60 days after the distribution.

[In Funds Management of the Roth IRA, choose the following deposit method: Cash Transfers.  In the Transaction List, select Deposit Cash.  In the Method List, select  Check, Wire, Automated Clearing House (A.C.H.), or Direct Rollover. Choose Rollover as the IRA Deposit Type.]

Note: Selecting Rollover designates the deposit as a "conversion contribution," provided funds originate from an IRA or qualified plan.  Select Cash Deposit instructions for step-by-step deposit instructions.

  1. Trustee-to-Trustee Transfer:  You can direct the trustee of an IRA (Traditional, SEP, or SIMPLE) or qualified plan held outside of Interactive Brokers to transfer a cash amount into the Roth IRA account at IB.  Use the IRA Transfer-In Authorization form to initiate your request.

[In Funds Management of the Roth IRA, choose the following deposit method: Cash Transfers.  In the Transaction List, select Deposit Cash.  In the Method List, select  Trustee-to-Trustee.]

Important Note: IB is not responsible for the tax reporting of any funds distributed from the Traditional or SEP  IRA held at another firm.  Customers should speak with a tax advisor before requesting an IRA distribution as withholding tax may apply.  Customers must contact the other firm to ensure that the IRA distribution is appropriately designated. 

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IRS Tax Reporting

The deposit of funds into the Roth IRA is treated by the IRS as a rollover contribution, regardless of the conversion method, and reported to the IRS on Form 5498.  Form 5498 is available by May 31 for the prior year's contributions.

The disbursement of funds from the Traditional or SEP IRA is treated by the IRS as a distribution and reported by IB on the Form 1099-R (report of the distribution).  This tax form is available by January 31 for the prior year's distributions.

For additional information on Forms 5498 and 1099-R, see US Year End Tax Forms.

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Click here to return to the Retirement Account Resource page.

Disclaimer:  IB does not provide tax advice. These statements are provided for information purposes only, are not intended to constitute tax advice which may be relied upon to avoid penalties under any international, federal, state, local or other tax statutes or regulations, and do not resolve any tax issues in your favor. We recommend that you consult a qualified tax adviser.


Glossary terms: 
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