Please see FAQs: Securities subject to Special Requirements

В "Навигаторе риска" от IB имеется возможность создания пользовательских сценариев для определения того, как изменения в портфеле повлияют на Вашу плату за риск.   Ниже описаны шаги по созданию портфеля “Что, если” путем внесения предполагаемых изменений в существующий портфель или создания нового гипотетического портфеля и определения итоговой платы.   Данная функция доступна в TWS версии 951 и новее.

 

Отслеживание платы за риск в окне "Счет" описано в статье KB2344, а проверка ее суммы при помощи функции предпросмотра ордера - в статье KB2276.

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

 

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

 

 

Exhibit 4

 

 

Exhibit 5

 

 

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.

 

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

 

 

Exhibit 7

 

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. 

 

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.

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.