Introduction
IBKR's global risk management routine includes a daily execution of computations through which each client’s portfolio is stress tested to determine its exposure to a series of prices changes beyond that protected by margin. These stress tests serve to identify accounts that, while margin compliant, project losses which exceed the account’s equity were these scenarios to be realized and which IBKR regards as excessive. In an effort to increase client awareness as to their potential exposure, IBKR has implemented a daily Exposure Fee, that is assessed to any account reporting end of day uncovered risk in excess of specified levels.
Current Exposure Fee Overview
The current Exposure Fee calculation is intended to reflect a more comprehensive set of market scenarios in addition to price dependencies among all products types. The calculation is based upon a Monte Carlo simulation which incorporates thousands of market scenarios and projects the exposure of your portfolio assuming sector-based price changes (e.g., individual stock and sectors such as oil, gas, meat, sugar, cocoa, metals, foreign exchange & crypto-currencies), and then applying this evaluation to all other products based upon their respective sector correlation.
Managing the Exposure Fee
At the initial point an account is detected as being subject to the Exposure Fee, a communication will be sent out explaining the fee and affording the account holder one week to adjust positions and equity before the Fee, if still applicable, will take effect. To assist with avoidance or mitigation of the Fee, IBKR provides a daily Exposure Fee Calculation report via Account Management which details the Fee and provides examples of hypothetical adjustments to existing positions which, if implemented, are projected to reduce the Fee given information then available.
Primary Risk Factors
Each portfolio will be re-valued based upon stressing each primary risk factor, which is represented by a future contract, index or ETF, and all other product(s) in the portfolio will adjusted based upon their correlation associated with that primary risk factor.
Below is a summary of each risk factor, the representing Future Contract, Index or ETF, and the upper and lower range in which we stress each risk factor.
Risk Factors | Product | Lower Bound | Upper Bound |
Equity | S&P 500 Index (SPX) | -30.00% | 20.00% |
Australia Equity | S&P 500 / ASX 200 Index Australia Index (AP) | -30.00% | 20.00% |
United Kingdom Equity | FTSE 100 Index (Z) | -30.00% | 20.00% |
European Equity | Dow Jones Euro STOXX50 Index (ESTX50) | -30.00% | 20.00% |
Hong Kong Equity | Hang Seng Index (HSI) | -30.00% | 20.00% |
Japanese Equity | Nikkei 225 Index (N225) | -30.00% | 20.00% |
Korean Equity | Korean Stock Exchange KOSPI 200 Index (K200) | -30.00% | 20.00% |
Mainland China Equity | FTSE China A50 Index (XINA50) | -30.00% | 20.00% |
Indian Equity | CNX NIFTY Index (NIFTY) | -30.00% | 20.00% |
Individual Stocks | -50.00% | 50.00% | |
Oil (Crude Oil) | Light Sweet Crude Oil Futures | -32.00% | 62.00% |
Oil (Brent Oil) | Brent Crude Oil Futures | -30.00% | 60.00% |
CO2 | ICE ECX EUA Futures (ECF) | -74.30% | 59.50% |
Treasury | iShares 20+ Year Treasury Bond ETF (TLT) | -19.80% | 15.60% |
Treasury1 | iShares 1-3 Year Treasury Bond ETF (SHY) | -1.80% | 1.20% |
Treasury2 | iShares 1-3 Year International Treasury Bond ETF (ISHG) | -9.80% | 10.00% |
Italian Govt Bond | Euro-BTP Italian Government Bond | -13.00% | 13.00% |
BAX | 3 Month Canadian Bankers' Acceptance Futures | -0.40% | 0.40% |
EuroBund | Euro Fund (10 Year Bond - GBL) | -7.60% | 8.60% |
JGB | Japanese Government Bonds (JGB) | -2.20% | 2.20% |
Live Cattle | Live Cattle (LE) | -30.00% | 30.00% |
Feeder Cattle | Feeder Cattle (GF) | -30.00% | 30.00% |
Hogs | Lean Hogs Index (HE) | -30.00% | 30.00% |
Ind. Metals. | COMEX Copper Index (HG) | -25.30% | 22.10% |
Prec. Metals | SPDR Gold Shars (GLD) | -20.70% | 34.50% |
Silver | COMEX Silver Index (SI) | -26.20% | 28.80% |
Wheat | ETFS Wheat (OD7S) | -40.90% | 64.70% |
Corn | Teucrium Corn Fund (CORN) | -23.50% | 41.50% |
Soybean | Teucrium Soybean Fund (SOYB) | -22.60% | 27.40% |
Rice | Rough Rice Futures (ZR) | -22.60% | 27.40% |
Cocoa | iPath Bloomberg Cocoa Subindex Total Return (NIB) | -28.60% | 37.40% |
Gas | United States Natural Gas Fund (UNG) | -18.80% | 62.00% |
Crypto | The NYSE bitcoin Index (NYXBT) | -100.00% | 93.90% |
Sugar | iPath Bloomberg Sugar Subindex Total Return (SGGFF) | -34.50% | 52.30% |
Cotton | ETFS Cotton (COTN) | -50.00% | 50.00% |
Coffee | iPath Bloomberg Coffee Subindex Total Return (JJOFF) | -30.00% | 50.00% |
Lumber | Random Length Lumber (LB) | -30.00% | 30.00% |
Milk | Milk Class III Index (DA) | -15.00% | 15.00% |
Orange Juice | FC Orange Juice "A" (OJ) | -35.00% | 35.00% |
Forex Risk Factor | Lower Bound | Upper Bound |
AUD | -18.10% | 18.10% |
BGN | -6.80% | 6.80% |
BRL | -17.00% | 17.00% |
CAD | -13.70% | 13.70% |
CHF | -13.90% | 13.90% |
CNH | -8.20% | 8.20% |
CNY | -6.70% | 6.70% |
CYP | -7.20% | 7.20% |
CZK | -9.50% | 9.50% |
DKK | -7.90% | 7.90% |
EEK | -5.50% | 5.50% |
EUR | -9.90% | 9.90% |
GBP | -13.00% | 13.00% |
HKD | -8.00% | 8.00% |
HRK | -7.00% | 7.00% |
HUF | -20.50% | 20.50% |
ILS | -8.80% | 8.80% |
INR | -12.40% | 12.40% |
ISK | -9.90% | 9.90% |
JPY | -16.80% | 16.80% |
KRW | -18.00% | 18.00% |
LTL | -7.20% | 7.20% |
LVL | -7.00% | 7.00% |
MTL | -7.20% | 7.20% |
MXN | -16.70% | 16.70% |
NOK | -12.90% | 12.90% |
NZD | -14.60% | 14.60% |
PLN | -31.40% | 31.40% |
RON | -6.90% | 6.90% |
RUB | -40.00% | 40.00% |
SEK | -13.20% | 13.20% |
SGD | -6.30% | 6.30% |
SIT | -7.20% | 7.20% |
SKK | -7.20% | 7.20% |
TRY | -40.10% | 40.10% |
TWD | -14.20% | 14.20% |
USD | -9.30% | 9.30% |
ZAR | -19.00% | 19.00% |
For additional information concerning this Exposure Fee Calculation report, please see KB3113.