为什么难以借到的股票其“价格”与收盘价不一致?

在确定借用股票头寸所需存入的现金抵押金额时,通用的行业惯例是用股票前一个交易日**的收盘价乘以102%,向上取整到最近的美元,然后再乘以所借股数。由于借股费用根据现金抵押金额确定,这一惯例直接影响到维持空头头寸的成本,尤其是对那些股价不高但难以借到的股票。注意,不是以美元计价的股票,计算会有所不同。下表为各个币种对应的行业惯例:

币种 计算方法
USD 102%;向上取整到最近的元
CAD 102%;向上取整到最近的元
EUR 105%;向上取整到最近的分
CHF 105%;向上取整到最近的生丁
GBP 105%;向上取整到最近的便士
HKD 105%;向上取整到最近的分

 

账户持有人可在每日账户报表的“非直接难以借用股票详情(Non-Direct Hard to Borrow Details)”部分查看借股价格。下方通过举例说明了现金抵押金额的计算及其对借股费用的影响。

 

例 1

以$1.50美元的价格卖空100,000股ABC 

卖空所得 = $150,000.00美元

假设ABC股价跌至$0.25美元,股票借贷费率为50%

 

卖空股票抵押金额计算

价格 = 0.25 x 102% = 0.255; 向上取整至$1.00美元

总金额 = 100,000股 x $1.00 = $100,000.00美元

借股费用 = $100,000 x 50% / 360天 = $138.89美元/天

假设账户持有人的现金余额中没有任何其它卖空交易所得,由于余额没有超过可以开始计息的最低门槛要求$100,000美元,将不会有任何卖空收益的利息收入可用于冲抵此借股费用。

 

例 2(以欧元计价的股票)

以1.50欧元的价格卖空100,000股ABC

假设前一个交易日收盘价为1.55欧元,股票借贷费率为50%

卖空股票抵押金额计算

价格 = 1.55欧元 x 105% = 1.6275; 向上取整至1.63欧元

总金额 = 100,000股 x 1.63 = 163,000.00欧元

借股费用 = 163,000欧元 x 50% / 360天 = 226.38欧元/天

 

** 请注意,周六和周天与周五一样将采用周四的收盘价计算抵押金额。

股票收益提升计划(SYEP)常见问题

股票收益提升计划推出的目的是什么?
股票收益提升计划可供客户通过允许IBKR将其账户内原本闲置的证券头寸(即全额支付和超额保证金证券)出借给第三方来赚取额外收益。参与此计划的客户会收到用以确保股票在借贷终止时顺利归还的现金抵押,并且在股票借出的每一天都能就现金抵押获取利息。

 

什么是全额支付和超额保证金证券?
全额支付证券是客户账户中全款付清的证券。超额保证金证券是虽然没有全款付清但本身市场价值已超过保证金贷款余额的140%的证券。

 

客户股票收益提升计划的借出交易收益如何计算?
客户借出股票的收益取决于场外证券借贷市场的借贷利率。借出的股票不同,出借的日期不同,都会对借贷利率造成很大差异。通常,IBKR会按自己借出股票所得金额的大约50%向参与计划的客户支付现金抵押利息。例如,假设IBKR借出$10,000美元股票,年化收益15%,向借出客户的账户存入了$10,000美元的现金抵押。则IBKR对现金抵押支付的日利息通常会是$2.08美元。

 

借贷交易的现金抵押金额如何确定?
证券借贷的现金抵押金额采用行业惯例确定,即用股票的收盘价乘以特定百分比(通常为102-105%),然后向上取整到最近的美元/分。每个币种的行业惯例不同。例如,借出100股收盘价为$59.24美元的美元计价股票,现金抵押应为$6,100 ($59.24 * 1.02 = $60.4248;取整到$61,再乘以100)。下表为各个币种的行业惯例:

USD 102%;向上取整到最近的元
CAD 102%;向上取整到最近的元
EUR 105%;向上取整到最近的分
CHF 105%;向上取整到最近的生丁
GBP 105%;向上取整到最近的便士
HKD 105%;向上取整到最近的分

更多信息,请参见KB1146

 

退出IBKR股票收益提升计划或卖出/转账通过此计划借出的股票会对利息造成什么影响?

交易日的下一个工作日(T+1)停止计息。对于转账或退出计划,利息也会在发起转账或退出计划的下一个工作日停止计算。

 

参加IBKR股票收益提升计划有什么资格要求?

可参加股票收益提升计划的实体
盈透证券有限公司(IB LLC)
盈透证券英国有限公司(IB UK)(SIPP账户除外)
盈透证券爱尔兰有限公司(IB IE)
盈透证券中欧有限公司(IB CE)
盈透证券香港有限公司(IB HK)
盈透证券加拿大有限公司(IB Canada)(RRSP/TFSA账户除外)

 

可参加股票收益提升计划的账户类型
现金账户(申请参加时账户资产超过$50,000美元)
保证金账户
财务顾问客户账户*
介绍经纪商客户账户:全披露和非披露*
介绍经纪商综合账户
独立交易限制账户(STL)

*参加的账户必须是保证金账户或满足上述现金账户最低资产要求的现金账户。

盈透证券日本、盈透证券卢森堡、盈透证券澳大利亚和盈透证券印度公司的客户不能参加此计划。账户开在IB LLC下的日本和印度客户可以参加。

此外,满足上方条件的财务顾问客户账户、全披露介绍经纪商客户和综合经纪商可以参加此计划。如果是财务顾问和全披露介绍经纪商,必须由客户自己签署协议。综合经纪商由经纪商签署协议。

 

IRA账户可以参加股票收益提升计划吗?
可以。

 

IRA账户由盈透证券资产管理公司(Interactive Brokers Asset Management)管理的账户分区可以参加股票收益提升计划吗?
不能。

 

英国SIPP账户可以参加股票收益提升计划吗?
不能。

 

如何申请参加IBKR股票收益提升计划? 
符合条件并且想参加股票收益提升计划的客户可以选择设置>账户设置。点击“交易许可”旁的齿轮图标。勾选页面顶部“交易计划”下的“股票收益提升”复选框。点击“继续”,然后根据要求填写协议/披露。

 

如果参加计划的现金账户资产跌破最低资产要求$50,000美元会怎么样?
现金账户只有在申请参加计划当时必须满足这一最低资产要求。之后资产跌破此要求并不会对现有借贷造成任何影响,也不影响您继续借出股票。

 

如何终止股票收益提升计划?

想退出股票收益提升计划的客户可以登录账户管理,选择设置>账户设置。点击“交易许可”旁的齿轮图标。取消勾选“交易计划”下的“股票收益提升”复选框。点击“继续”,然后根据要求填写协议/披露。退出申请通常会在当天日末处理。

 

如果一个账户参加了计划然后又退出,那么该账户多久可以重新参加计划?
退出计划后,账户需要等待90天才能重新参加。

 

哪些证券头寸可以出借?

美国市场 欧洲市场 香港市场 加拿大市场
普通股(交易所挂牌、粉单和OTCBB) 普通股(交易所挂牌) 普通股(交易所挂牌) 普通股(交易所挂牌)
ETF ETF ETF ETF
优先股 优先股 优先股 优先股
公司债券*      

*市政债券不适用。

 

借出IPO后在二级市场交易的股票有什么限制吗?
只要IBKR没有参与此证券的承销就没有限制。

 

IBKR如何确定可以借出的股票数量?
第一步是确定IBKR有保证金扣押权从而可以在没有客户参与的情况下通过股票收益提升计划借出的证券的价值(如有)。根据规定,通过保证金贷款借钱给客户购买证券的经纪商可以将该客户的证券借出或用作抵押,金额最高不超过贷款金额的140%。例如,如果客户现金余额为$50,000美元,买入市场价值为$100,000美元的证券,则贷款金额为$50,000美元,那么经纪商对$70,000美元($50,000的140%)的证券享有扣押权。客户持有的证券超出这一金额的部分被称为超额保证金证券(此例子中为$30,000),需要记在隔离账户,除非客户授权IBKR通过股票收益提升计划将其借出。

计算贷款金额首先要将所有非美元计价的现金余额转换成美元,然后减去股票卖空所得(转换成美元)。如果结果为负数,则我们最高可抵押此数目的140%。此外,商品账户段中持有的现金余额和现货金属和差价合约相关现金不纳入考虑范围。

例1:客户在基础货币为美元的账户内持有100,000欧元,欧元兑美元汇率为1.40。客户买入价值$112,000美元(相当于80,000欧元)的美元计价股票。由于转换成美元后现金余额为正数,所有证券被视为全额支付。

项目 欧元 美元 基础货币(美元)
现金 100,000 (112,000) $28,000
多头股票   $112,000 $112,000
净清算价值     $140,000

例2:客户持有80,000美元、多头持有价值$100,000美元的美元计价股票并且做空了价值$100,000美元的美元计价股票。总计$28,000美元的多头证券被视为保证金证券,剩余的$72,000美元为超额保证金证券。计算方法是用现金余额减去卖空所得($80,000 - $100,000),所得贷款金额再乘以140% ($20,000 * 1.4 = $28,000)

项目 基础货币(美元)
现金 $80,000
多头股票 $100,000
空头股票 ($100,000)
净清算价值 $80,000

 

IBKR会把所有符合条件的股票都借出去吗?
不保证账户内所有符合条件的股票都能通过股票收益提升计划借出去,因为某些证券可能没有利率有利的市场,或者IBKR无法接入有意愿的借用方所在的市场,也有可能IBKR不想借出您的股票。

 

通过股票收益提升计划借出股票是否都要以100为单位?
不是。只要是整股都可以,但是借给第三方的时候我们只以100为倍数借出。这样,如果有第三方需要借用100股,就可能发生我们从一个客户那里借出75股、从另一个客户那里借出25股的情况。

 

如果可供借出的股票超过借用需求,如何在多个客户之间分配借出份额?
如果我们股票收益提升计划的参与者可用以借出的股票数量大于借用需求,则借出份额将按比例分配(如,可供借出的数量为20,000,需求只有10,000的情况下,每个客户可以借出其所持股数的一半)

 

股票是只借给其它IBKR客户还是也会借给其它第三方?
股票可以借给任何对手方,并不仅限于其他IBKR客户。

 

股票收益提升计划的参与者可以自行决定哪些股票IBKR可以借出吗?
不能。此计划完全由IBKR管理,IBKR在确定了自己因保证金贷款扣押权可以借出的证券后,可自行决定哪些全额支付或超额保证金证券可以借出,并发起借贷。

 

通过股票收益提升计划借出去的证券其卖出是否会受到限制?
借出去的股票可随时卖出,没有任何限制。卖出交易的结算并不需要股票及时归还,卖出收益会按正常结算日记入客户的账户。此外,借贷会于证券卖出的下一个工作日开盘终止。

 

客户就通过股票收益提升计划借出去的股票沽出持保看张期权还能享受持保看涨期权保证金待遇吗? 
可以。由于借出去的股票其盈亏风险仍然在借出方身上,借出股票不会对相关保证金要求造成任何影响。

 

借出去的股票由于看涨期权被行权或看跌期权行权被交付会怎么样?
借贷将于平仓或减仓操作(交易、被行权、行权)的T+1日终止。

 

借出去的股票被暂停交易会怎么样?
暂停交易对股票借出没有直接影响,只要IBKR能继续借出该等股票,则无论股票是否被暂停交易,借贷都可以继续进行。

 

借贷股票的现金抵押可以划至商品账户段冲抵保证金和/或应付行情变化吗?
不能。股票借贷的现金抵押不会对保证金或融资造成任何影响。

 

计划参与者发起保证金贷款或提高现有贷款金额会怎么样?
如果客户有全额支付的证券通过股票收益提升计划借出,之后又发起保证金贷款,则不属于超额保证金证券的部分将被终止借贷。同样,如果客户有超额保证金证券通过此计划借出,之后又要增加现有保证金贷款,则不属于超额保证金证券的部分也将被终止借贷。

 

什么情况下股票借贷会被终止?
发生以下情况,股票借贷将被自动终止:

- 客户选择退出计划
- 转账股票 
- 以股票作抵押借款
- 卖出股票
- 看涨期权被行权/看跌期权行权
- 账户关闭

 

股票收益提升计划的参与者是否会收到被借出股票的股息?
通过股票收益提升计划借出的股票通常会在除息日前召回以获取股息、避免股息替代支付。

 

股票收益提升计划的参与者是否对被借出的股票保有投票权?

不是。如果登记日或投票、给予同意或采取其它行动的截止日期在贷款期内,则证券的借用者有权就证券相关事项进行投票或决断。

 

股票收益提升计划的参与者是否能就被借出的股票获得权利、权证和分拆股份?

可以。被借出股票分配的任何权利、权证和分拆股份都将属于证券的借出方。

 

股票借贷在活动报表中如何呈现?

借贷抵押、借出在外的股数、活动和收益在以下6个报表区域中反映:


1. 现金详情 – 详细列出了期初现金抵押余额、借贷活动导致的净变化(如果发起新的借贷则为正;如果股票归还则为负)和期末现金抵押余额。

 

2. 净股票头寸总结 – 按股票详细列出了在IBKR持有的总股数、借入的股数、借出的股数和净股数(=在IBKR持有的总股数 + 借入的股数 - 借出的股数)。 

 

3. IB管理的证券借出 – 对通过股票收益提升计划借出的股票按股票列出了借出的股数以及利率(%)。 

 

4. IB管理的证券借出活动 – 详细列出了各证券的借贷活动,包括归还份额分配(即终止的借贷);新借出份额分配(即新发起的借贷);股数;净利率(%);客户抵押金额及其利率(%)。 

 

5. IB管理的证券借出活动利息详情 – 按每笔借出活动详细列出了IBKR赚取的利率(%);IBKR赚取的收益(为IBKR从该笔借出活动赚取的总收益,等于{抵押金额 * 利率}/360);客户抵押的利率(为IBKR从该笔借出活动赚取的收益的一半)以及支付给客户的利息(为客户的现金抵押赚取的利息收入)

注:此部分只有在报表期内客户赚取的应计利息超过1美元的情况下才会显示。   

 

6. 应计利息 – 此处利息收入列为应计利息,与任何其它应计利息一样处理(累积计算,但只有超过$1美元才会显示并按月过账到现金)。年末申报时,该笔利息收入将上报表格1099(美国纳税人)。

 

确定有效利率的方法

背景

在确定账户持有人借出现金获得的利息及借入现金支付的利息时,每种货币均有一个基准或参考利率。参考利率根据短期市场利率确定,但会围绕市场普遍使用的基准利率设置偏离的上限。本文件解释了有效利率是如何确定的。


参考利率

参考利率分三步、根据市场隐含的利率,以偏离传统基准利率的上限为界得出。

1. 市场隐含利率
对于市场定价,我们参考的是短期外汇互换市场。由于大部分交易都涉及美元,我们会抽取一个预定义时间段各货币相对于美元的外汇互换价格,其中定义的时间段被称为“定价时间窗口”,反映流动性及主要交投发生的时间。特定的互换期限及定价窗口视货币而不同。隐含的非美元短期利率将根据多达12家最大的外汇做市银行的最佳买卖价格计算得出(期限通常为隔夜(T/T+1),Tom Next (T+1/T+2)或Spot Next (T+2/T+3))。定价时间窗口结束后,将这些结果排序,剔除最高及最低的价格,然后对剩余的结果做平均,从而得出市场隐含的均价利率。

2. 传统基准利率
对于传统基准利率,我们参考的是利率定价。此种利率往往是从银行调研或实际交易中得出的。比如伦敦同业拆借利率(LIBOR)就是根据对一组银行的调研得出的,调研会询问银行在每天的某个特定时间能够以什么样的利率从其它银行借到资金。

3. 参考利率
最后,我们会使用1中的市场隐含利率,然后在2中的传统基准利率的基础上应用一定比例的偏离上限,从而得出参考利率。上限可在没有事先明示通知的情况下随时更改,并在以下表格5中列出。一并列出的还有相关货币及基准利率。

举例
a. 假设英镑的市场隐含隔夜利率为0.05%。英镑的Libor隔夜利率为0.20%。则有效利率等于0.05%的市场隐含利率,因为该利率仍在Libor利率(0.20%)加减0.25%的范围内。
b. 假设离岸人民币的市场隐含利率为1.1%,但同期的基准利率为1.5%,则有效利率的上限将被设置在基准利率减0.25%,即1.25% (1.5%基准利率 - 0.25%偏离上限)。

:偏离上限可在无事先明示通知的情况下随时变动。

 

货币 基准利率描述 向下偏离上限2 向上偏离上限2
USD 联邦基金有效利率(隔夜利率)  0.00% 0.00%
USD 格林威治标准时间上午11点美元的LIBOR(仅用于美元差价合约、黄金和白银借款费用)  0.00% 0.00%
AUD 澳洲联储(RBA)每日目标隔夜拆借利率  1.00% 1.00%
CAD 加拿大银行隔夜借贷利率  1.00% 1.00%
CHF 瑞士法郎LIBOR(Spot-Next利率) 1.00% 1.00%
CNY/CNH CNH HIBOR隔夜基准利率(香港财资市场工会,TMA) 3.00% 3.00%
CZK 布拉格Prague ON银行间同业拆借利率 1.00% 1.00%
DKK 丹麦Tom/Next指数 1.00% 1.00%
EUR EONIA(欧元隔夜平均利率指数) 1.00% 1.00%
GBP GBP LIBOR(隔夜利率) 1.00% 1.00%
HKD HKD HIBOR(隔夜利率) 1.00% 1.00%
HUF 布达佩斯银行间同业拆借利率 1.00% 1.00%
ILS 特拉维夫银行间同业拆借利率 1.00% 1.00%
INR 印度中央银行基准利率 0.00% 0.00%
JPY 日元LIBOR(Spot-Next利率) 1.00% 1.00%
KRW 韩元KORIBOR(1周) 0.00% 0.00%
MXN 墨西哥银行间TIIE利率(28天利率) 3.00% 3.00%
NOK 挪威隔夜加权平均 1.00% 1.00%
NZD 新西兰元官方每日现金利率 1.00% 1.00%
PLN WIBOR(华沙银行间隔夜拆借利率) 1.00% 1.00%
RUB RUONIA(卢布隔夜平均指数) 3.00% 3.00%
SEK SEK STIBOR(隔夜利率) 1.00% 1.00%
SGD 新加坡元SOR(互换隔夜)利率 1.00% 1.00%
TRY TRLIBOR(土耳其里拉银行间隔夜拆借利率) 3.00% 3.00%
ZAR 南非存款基准隔夜利率(Sabor) 3.00% 3.00%

  

2 有效利率偏离基准利率的上限可在无事先明示通知的情况下随时变动。

Benchmark Interest Calculation - Fixing Component Descriptions

 

Fixing Component Description
Fed Funds Effective (USD only) is the volume weighted average of the transactions processed through the Federal Reserve between member banks. It is intended to reflect the best estimate of interbank financing activity for Reserve Bank members and is the reference for many short term money market transactions in the broader market.
LIBOR (multiple currencies) stands for London Inter-Bank Offered Rate. It is a daily fixing for deposits with durations from overnight to 1 year and is determined by a group of large London banks. It is the most widely used measurement for interest rates on most currencies outside the domestic market(s).
EONIA (EUR only) is the global standard for overnight Euro deposits and is determined by a weighted average of the actual transactions between major continental European banks mediated through the European Central Bank.
HIBOR (HKD only) is a daily fixing based on a group of large Hong Kong banks. Similar methods and durations are set as for LIBOR currencies.
KORIBOR (KRW only) is an average of the leading interest rates for KRW as determined by a group of large Korean banks. The benchmark utilizes the KORIBOR with 1 week maturity.
STIBOR (SEK only) is a daily fixing based on a group of large Swedish banks. The same methods and durations are set as for LIBOR currencies.
RUONIA (RUB) is a weighted rate of overnight Ruble loans. The RUONIA is calculated by the Bank of Russia.
PRIBOR (CZK) is the average interest rate at which term deposits are offered between prime banks.
BUBOR (HUF) is the average interest rate at which term deposits are offered between prime banks.
TIIE (MXN only) is the interbank "equilibrium" rate based on the quotes provided by money center banks as calculated by the Mexican Central Bank. The benchmark TIIE is based on 28-day deposits so is atypical as a measure for short term funds (most currencies have an overnight or similar short term benchmark).
Overnight (O/N) rate is the most widely used short term benchmark and represents the rate for balances held from today until the next business day.
Spot-Next (S/N) refers to the rate on balances from the next business day to the business day thereafter. Due to time zone and other criteria, Spot-Next rates are sometimes used as the short-term reference.
RBA Daily Cash Target (AUD) refers to a 1 day rate set by the Reserve Bank of Australia to influence short term interest rates.
NZD Daily Cash Target (NZD) refers to a 1 day rate set by the Reserve Bank of New Zealand to influence short term interest rates.
CNH HIBOR Overnight Fixing Rate For the calculation of interest, IB follows market convention and will not include fixings made on a CNH, CNY or HKD holiday.
Day-Count conventions: IB conforms to the international standards for day-counting wherein deposits rates for most currencies are expressed in terms of a 360 day year, while for other currencies (ex: GBP) the convention is a 365 day year.

 

Methodology for Determining Effective Rates

BACKGROUND

In determining the interest that account holders are paid on cash credit balances and charged on debit balances, each currency is assigned an IBKR Reference Benchmark rate. The IBKR Reference Benchmark rate is determined from short-term market rates but capped above/below widely used external reference rates or, where appropriate, bank deposit rates. This page explains how IBKR Reference Benchmark rates are determined.

Reference Rates

Reference rates are determined using a three-step process. The rates are capped above/below traditional external reference rates. For currencies and IBKR affiliates where Forex swap market pricing does not affect the rates we pay and charge our customers, Step 1 is omitted from the final rate determination.

1. Market implied rates

For market pricing, we utilize short-term Forex swap markets. Since most of the transactions involve the US dollar, Forex swap prices of currencies vs. the US dollar are sampled over a pre-determined time period referred to as the "Fixing Time Window" that is intended to be representative of liquid trading hours and primary turnover. The specific swap tenor and fixing windows used depend on the currency. We use the best bid and ask from a group of up to 12 of the largest Forex dealing banks to calculate the implied non-USD short-term rates - generally Overnight (T/T+1), Tom Next (T+1/T+2) or Spot Next (T+2/T+3). At the Fixing Time Window close, these calculations are sorted with the lowest and highest rates disregarded and the remainder averaged to determine the market implied reference rate.

2. Traditional external benchmark reference rates

For traditional benchmarks, we utilize published reference rates and, where appropriate, bank deposit rates. These rates generally are determined by either bank survey or actual transactions. The London Inter-Bank Offered Rate (LIBOR), for example, is determined by surveying a panel of banks for the rate at which they could borrow funds from other banks at a specific time each day. In contrast, the US dollar Fed Funds effective rate is calculated as the weighted average of interbank lending rates transacted in the Fed Funds market.

3. IBKR Reference Benchmark Rates

The final IBKR Reference Benchmark rates are then determined by using the market implied reference rate, as described in 1. above, but capped by a certain amount above/below the traditional external benchmark reference rate as described in 2. above. For currencies and IBKR affiliates where Forex swap market pricing is not relevant, the final IBKR Reference Benchmark rates are determined by using traditional benchmarks or bank deposit rates, capped as above. The caps can change at any time without explicit prior notice and are listed in the table below, along with relevant currency and benchmark reference rates.

Examples

a. Assume the market implied overnight rate for GBP is 0.55%. The overnight GBP LIBOR reference rate is 0.65%. The effective rate is then equal to the market implied rate of 0.55%, as it is still within the 1.00% cap around the LIBOR reference rate at 0.65%.

b. If, for example, the market implied rate for CNH was 4.5% but the overnight CNH reference rate for the same period was 1.0%, the effective rate would be capped at 3.0% above the CNH reference rate, or 4.0% (1.0% reference rate + 3.0% cap).

Note:  Caps can change any time without explicit prior notice.

Currency Benchmark Description Cap Below2 Cap Above2
USD Fed Funds Effective (Overnight Rate)  0.00% 0.00%
USD 11 am GMT USD LIBOR (used only for USD-CFDs, Gold and Silver Borrow Fees)  0.00% 0.00%
AUD RBA Daily Cash Rate Target  1.00% 1.00%
CAD Bank of Canada Overnight Lending Rate  1.00% 1.00%
CHF Swiss Franc LIBOR (Spot-Next rate) 1.00% 1.00%
CNY/CNH CNH HIBOR Overnight Fixing Rate (TMA) 3.00% 3.00%
CZK Prague ON Interbank Offered Rate 1.00% 1.00%
DKK Danish Tom/Next Index 1.00% 1.00%
EUR EONIA (Euro Overnight Index Average) 1.00% 1.00%
GBP GBP LIBOR (Overnight Rate) 1.00% 1.00%
HKD HKD HIBOR (Overnight rate) 1.00% 1.00%
HUF Budapest Interbank Offered Rate 1.00% 1.00%
ILS Tel Aviv Interbank Offered O/N Rate 1.00% 1.00%
INR Central Bank of India Base Rate 0.00% 0.00%
JPY JPY LIBOR (Spot-Next rate) 1.00% 1.00%
KRW Korean Won KORIBOR (1 week) 0.00% 0.00%
MXN Mexican Interbank TIIE (28 day rate) 3.00% 3.00%
NOK Norwegian Overnight Weighted Average 1.00% 1.00%
NZD New Zealand Dollar Official Cash Daily Rate 1.00% 1.00%
PLN WIBOR (Warsaw Interbank Overnight Rate) 1.00% 1.00%
RUB RUONIA (Ruble Overnight Index Average) 3.00% 3.00%
SEK SEK STIBOR (Overnight Rate) 1.00% 1.00%
SGD Singapore Dollar SOR (Swap Overnight) Rate 1.00% 1.00%
TRY TRLIBOR (Turkish Lira Overnight Interbank offered rate) 3.00% 3.00%
ZAR South Africa Benchmark Overnight Rate on Deposits (Sabor) 3.00% 3.00%

  

2 Caps or the deviation for the effective rate allowed above or below the benchmark fixing can change at any time without explicit prior notice.

Introduction to Market Implied Rates

BACKGROUND

In determining the interest that account holders are paid on cash credit balances and assessed on debit balances, each currency is assigned a reference or benchmark rate, from which a spread is deducted for credit interest and added for debit interest.1  As account holders may withdraw unencumbered cash balances upon demand and regulations generally restrict the reinvestment of such balances to short-term instruments of high credit quality, benchmarks typically represent the rate at which local banks may borrow on an overnight or short-term basis (e.g., LIBOR, EONIA, Fed Funds).

While the current benchmarks are useful in that they tend to be longstanding, widely accepted and published rates, often used as the basis for determining consumer borrowing, some have characteristics which limit their effectiveness, particularly in the case of brokerage accounts where the spread as applied by IBKR is relatively narrow. A discussion of these limitations is provided in the overview below.

 

OVERVIEW

Benchmark rates are often determined by either bank survey or actual transactions. The London Inter-Bank Offered Rate (LIBOR), for example, is determined by surveying a panel of banks for the rate at which they could borrow funds from other banks of at a specific time each day.2  The final rate is determined by discarding a set of the top and bottom survey responses and averaging the remainder. Transaction based benchmarks such as EONIA are determined using a weighted average of all overnight unsecured lending transactions by panel banks in the interbank market as reported to the European Central Bank.

There are shortcomings to both methods which, at times, causes them to be an inadequate mechanism for establishing client debit and credit interest rates. Examples of these are provide below:

  • Survey rates often represent an offer rate which, by definition stands above the bid rate and can be skewed well above the mid-point when spreads are large;
  • Survey rates are typically based upon an inquiry performed at a specific time of the day (e.g., 11 a.m. GMT/6 a.m. ET for LIBOR) and may not represent the rates available over a broader period of time;
  • The population of institutions surveyed or whose transactions are considered may be small and/or may have borrowing characteristics that are not representative of financial institutions as a whole;
  • During periods of market stress, interbank transactions may suffer from reduced liquidity, on either a regional or global basis, thereby distorting benchmark rates.3
  • Survey processes often provide little transparency as to how the benchmark was determined and in the past have been subject to manipulation.4 

 

AN ALTERNATIVE APPROACH - MARKET IMPLIED RATES

To address these shortcomings, IB proposes to implement an alternative method for determining benchmark rates which we refer to as Market Implied Rates. This method combines the optimal attributes of each of the survey and transaction methods and uses as its basis Forex swap prices and the interest rate differentials embedded therein. The Forex swap market is one of the largest and most competitive markets with a daily turnover of 2.4 trillion USD5, representing aggregate transactions well in excess of that used for the current transaction-based benchmarks.

As over 90% of these transactions involve the U.S. Dollar, Forex swap prices of currencies vs. the U.S. Dollar will be sampled over a pre-determined time period referred to as the “Fixing Time Window” that is intended to be representative of liquid hours and primary turnover. The specific swap tenor and fixing windows used depend on the currency. Using the best bid and ask from a group of up to 12 of the largest Forex dealing banks6, implied non-USD short-term rates (generally Overnight (T/T+1, Tom Next (T+1/T+2) or Spot Next (T+2/T+3) ) will be calculated. At the Fixing Time Window close, these calculations will be sorted with the lowest and highest disregarded and the remainder averaged to determine the Final Fixing Rate. This Final Fixing Rate will then be used as part of the effective rate for that day’s interest calculations.

To provide complete transparency as to the rates used to determine interest on client credit and debit balances, IB has historically posted and updated to the public website each day all of the information an account holder would need to determine the interest they might pay or receive on cash balances (e.g., the stated benchmark, current and historical benchmark levels, spreads and tiers). Similar transparency will be provided with the implementation of Market Implied Rates. Here, rates will be posted to the website in 3 stages:

  1. Live – the last benchmark rate calculated prior to the start of the current day’s Fixing Time Window;
  2. Fixing Period – represents a running calculation of the current day’s benchmark rate using available data obtained while Fixing Time Window remains open.
  3. Fixing – the benchmark rate as calculated upon close of the Fixing Time This rate will remain unchanged for the remainder of the day and serve as the benchmark rate.


NEXT STEPS

Merging interest rate benchmarks and Market Implied Rates is intended to better align the rates offered to clients to the true funding costs and opportunities available to IB. The analysis performed thus far suggests that for certain currencies the new benchmark (effective rate) resulting from Forex swap implied rates but capped 25 bps7 above/below the benchmark fixing will be higher at various times and for others lower. As for the impact to clients, a higher benchmark generally benefits depositors and a lower, borrowers. What is important is that the new methodology is calculated in a consistent manner, using readily available and substantially representative data.

As the proposed change is significant in terms of its logic and its potential impact to certain clients, IB has been calculating and displaying, but not yet applying, market implied rates until clients have had sufficient opportunity to review the data. By August 1, 2017 we will start migrating the benchmarks from fixed to the new system where we use effective rates which are composed of market implied interest rates capped 25 bps above or below the current benchmark fixings. 
 

______________________________________________________________________________________
1 In the case of the USD, a spread of 0.50% is deducted from the benchmark for purposes of credit interest and a spread of 1.50% added for purposes of debit interest. The benchmark rate for the USD is the Fed Funds Effective Overnight Rate.

2 Each panel bank responds to the following question for different maturities: At what rate could you borrow funds, were you to do so by asking for and then accepting interbank offers in a reasonable market size just prior to 11 a.m. GMT.

3 Examples of this were experienced during the financial crisis of 2007-2010.

4 https://en.wikipedia.org/wiki/Libor_scandal

5 Source: BIS Triennial Central Bank Survey, Forex turnover April 2016. http://www.bis.org/publ/rpfx16fx.pdf

6 The actual number of banks selected may vary by currency.

7 The 25 basis points is subject to change at any time without advance notice.

IBKR股票差价合约概述

下方文章对IBKR发行的股票差价合约(CFD)进行了总体介绍。

有关IBKR指数差价合约的信息,请点击此处。有关外汇差价合约的信息,请点击此处

涵盖主题如下:

I.   差价合约定义
II.   差价合约与底层股票之比较
III. 成本与保证金
IV. 范例
V.   差价合约的相关资源
VI. 常见问题

 

风险警告

差价合约属于复杂金融产品,其交易存在高风险,由于杠杆的作用,可能会出现迅速亏损。

在通过IBKR(UK)交易差价合约时,有67%的零售投资者账户出现了亏损。

您应考虑自己是否理解差价合约的运作机制以及自己是否能够承受亏损风险。

ESMA差价合约规定(仅限零售客户)

欧洲证券与市场管理局(ESMA)颁布了新的差价合约规定,自2018年8月1日起生效。

新规包括:1) 开仓差价合约头寸的杠杆限制;2) 以单个账户为单位的保证金平仓规则;以及3) 以单个账户为单位的负余额保护规则;

ESMA新规仅适用于零售客户。专业客户不受影响。

请参见ESMA差价合约新规推行了解更多详细信息。

I. 股票差价合约定义

IBKR差价合约是场外交易合约,提供底层股票的收益,包括股息与公司行动(了解更多有关差价合约公司行动的信息)。

换句话说,这是买家(您)与IBKR就交易一只股票当前价值与未来价值之差额而达成的协定。如果您持有多头头寸,且差额为正,则IBKR会付钱给您。而如果差额为负,则您应向IBKR付钱。

IBKR股票差价合约通过您的保证金账户进行交易,因此您可建立多头以及空头杠杆头寸。差价合约的价格即是底层股票的交易所报价。实际上,IBKR差价合约报价与股票的智能传递报价(可在TWS中查看)相同,且IBKR提供直接市场接入(DMA)。与股票类似,您的非适销(即限价)定单会使底层对冲直接呈现在其进行交易之交易所的深度定单册中。 这也意味着您可以下单以底层买价买入差价合约或以底层卖价卖出差价合约。

要将IBKR透明的差价合约模型与市场上其他差价合约进行比较,请参见我们的差价合约市场模型概述

IBKR目前提供约7100只股票差价合约,覆盖美国、欧洲和亚洲的主要市场。下表所列的主要指数其成分股目前都可做IBKR股票差价合约。在许多国家,IBKR还可供交易高流动性小盘股。这些股票自由流通量调整市值至少为5亿美元,每日交易量中间值至少为60万美元。 详情请见差价合约产品列表。不久将会增加更多国家。

美国 标普500、道琼斯股价平均指数、纳斯达克100、标普400中盘股、高流动性小盘股
英国 富时350 + 高流动性小盘股(包括IOB)
德国 Dax、MDax、TecDax + 高流动性小盘股
瑞士 斯托克欧洲600指数(48只股票)+ 高流动性小盘股
法国 CAC大盘股、CAC中盘股 + 高流动性小盘股
荷兰 AEX、AMS中盘股 + 高流动性小盘
比利时 BEL 20、BEL中盘股 + 高流动性小盘
西班牙 IBEX 35 + 高流动性小盘股
葡萄牙 PSI 20
瑞典 OMX斯德哥尔摩30指数 + 高流动性小盘股
芬兰 OMX赫尔辛基25指数 + 高流动性小盘股
丹麦 OMX哥本哈根30指数 + 高流动性小盘股
挪威 OBX
捷克 PX
日本 日经225指数 + 高流动性小盘股
香港 恒生指数 + 高流动性小盘股
澳大利亚 ASX 200指数 + 高流动性小盘股
新加坡* 海峡时报指数 + 高流动性小盘股
南非 Top 40 + 高流动性小盘股

 *对新加坡居民不可用

II.   差价合约与底层股票之比较

取决于您的交易目标和交易风格,差价合约相对于股票有着许多优势,但也存在一些不足之处:
 
IBKR差价合约的优势 IBKR差价合约的缺点
无印花税和金融交易税(英国、法国、比利时) 无股权
佣金和保证金利率通常比股票低 复杂公司行动并不总能完全复制
股息享受税务协定税率,无需重新申请 收益的征税可能与股票有所不同(请咨询您的税务顾问)
不受即日交易规则限制  

III. 成本与保证金

在欧洲股票市场,IBKR差价合约可以比IB极具竞争力的股票产品更加高效。

首先,IBKR差价合约佣金比股票低,且有着与股票一样低的融资点差:

欧洲   差价合约 股票
佣金 GBP 0.05% 英镑6.00 + 0.05%*
EUR 0.05% 0.10%
融资** 基准+/- 1.50% 1.50%

*每单 + 超出5万英镑部分的0.05%
**对于差价合约是总头寸价值的融资;对于股票是借用金额的融资

交易量更大时,差价合约佣金会变得更低,最低至0.02%。头寸更大时,融资利率也会降低,最低至0.5%。 详情请参见差价合约佣金差价合约融资利率

其次,差价合约的保证金要求比股票低。零售客户须满足欧洲监管机构ESMA规定的额外保证金要求。请参见ESMA差价合约新规推行了解详细信息。

  差价合约 股票
  所有 标准 投资组合保证金
维持保证金要求*

10%

25% - 50% 15%

*蓝筹股特有保证金。零售客户最低初始保证金要求为20%。股票标准的25%日内维持保证金,50%隔夜保证金。 显示的投资组合保证金为维持保证金(包括隔夜)。波动较大的股票保证金要求更高

请参见CFD保证金要求了解更多详细信息。


IV. 范例(专业客户)

让我们来看一下例子。联合利华在阿姆斯特丹的挂牌股票在过去一个月(2012年5月14日前20个交易日)回报率为3.2%,您认为其会继续有良好表现。您想建立20万欧元的仓位,并持仓5天。您以10笔交易建仓并以10笔交易平仓。您的直接成本如下:

股票

  差价合约 股票
200,000欧元头寸   标准 投资组合保证金
保证金要求 20,000 100,000 30,000
佣金(双向) 200.00 400.00 400.00
利率(简化) 1.50% 1.50% 1.50%
融资金额 200,000 100,000 170,000
融资天数  5 5 5
利息支出(1.5%的简化利率) 41.67 20.83 35.42
总计直接成本(佣金+利息) 241.67 420.83 435.42
成本差额   高74% 高80%

注意:差价合约的利息支出根据总的合约头寸进行计算,而股票的利息支出则是根据借用金额进行计算。股票和差价合约的适用利率相同。

 

但是,假设您只有2万欧元可用来做保证金。如果联合利华继续上月的表现,您的潜在盈利比较如下:  

杠杆回报 差价合约 股票
可用保证金 20,000 20,000 20,000
总投入 200,000 40,000 133,333
总收益(5天) 1,600 320 1,066.66
佣金 200.00 80.00 266.67
利息支出(1.5%的简化利率) 41.67 4.17 23.61
总计直接成本(佣金+利息) 241.67 84.17 290.28
净收益(总收益减去直接成本) 1,358.33 235.83 776.39
保证金投资金额回报 0.07 0.01 0.04
差额   收益少83% 收益少43%

 

杠杆风险 差价合约 股票
可用保证金 20,000 20,000 20,000
总投入 200,000 40,000 133,333
总收益(5天) -1,600 -320 -1,066.66
佣金 200.00 80.00 266.67
利息支出(1.5%的简化利率) 41.67 4.17 23.61
总计直接成本(佣金+利息) 241.67 84.17 290.28
净收益(总收益减去直接成本) -1,841.67 -404.17 -1,356.94
差额   损失少78% 损失少26%

 

V.   差价合约相关资源

下方链接可帮助您了解更多有关IBKR差价合约产品的详细信息:

差价合约参数

差价合约产品列表

差价合约佣金

差价合约融资利率

差价合约保证金要求

差价合约公司行动

还可参看以下视频教程:

如何在TWS中进行差价合约交易

 

VI. 常见问题

什么股票可进行差价合约交易?

美国、西欧、北欧与日本的大盘和中盘股股票。许多市场上的高流动性小盘股也可以。请参见差价合约产品列表了解更多详细信息。不久将会增加更多国家。

 

IB提供股票指数和外汇的差价合约吗?

是的。请参见IBKR指数差价合约 - 事实与常见问题以及外汇差价合约 - 事实与常见问题

 

IB如何确定股票差价合约报价?

IBKR差价合约报价与底层股票的智能传递报价相同。IBKR不会扩大价差或与您对赌。要了解更多信息,请参见差价合约市场模型概述

 

我能看到自己的限价定单反映在交易所中吗?

是的。IBKR提供直接市场接入(DMA),这样您的非适销(即限价)定单会使底层对冲直接呈现在其进行交易之交易所的深度定单册中。这也意味着您可以下单以底层买价买入差价合约或以底层卖价卖出差价合约。此外,如果其他客户的定单以优于公开市场的价格与您的定单交叉,您还可能会获得价格改善。

 

IB如何确定股票差价合约的保证金?

IBKR根据每只底层股票的历史波动率建立了基于风险的保证金要求机制。最低保证金为10%。 大多数IBKR差价合约都应用该保证金率,这使差价合约在大多数情况下都比底层股票交易更具效率。 零售客户须满足欧洲监管机构ESMA规定的额外保证金

要求。 请参见ESMA差价合约新规推行了解详细信息。单个差价合约头寸之间或差价合约与底层股票头寸之间没有投资组合抵消。集中头寸和超大头寸可能需要准备额外的保证金。请参见差价合约保证金要求了解更多详细信息。

 

空头股票差价合约会要强制补仓吗?

是的。如果底层股票很难或者根本不可能借到,则空头差价合约头寸的持有者将需要进行补仓。

 

IB如何处理股息和公司行动?

IBKR通常会为差价合约持有者反映公司行动的经济效应,就好像他们一直持有着底层证券一样。股息会表现为现金调整,而其他行动则会通过现金或头寸调整表现。例如,如果公司行动导致股票数量发生变化(如股票分隔和逆向股票分隔),差价合约的数量也会相应地进行调整。如果行动导致产生新的上市实体,且IBKR决定将其股票作为差价合约交易,则需要创建适当数量之新的多头或空头头寸。要了解概述信息,请参见差价合约公司行动

*请注意,某些情况下对于合并等复杂公司行动可能无法对差价合约进行准确调整。这时候,IBKR可能会在除息日前终止差价合约。

 

任何人都能交易IBKR差价合约吗?

除美国、加拿大和香港的居民,其他所有客户都能交易IBKR差价合约。新加坡居民可交易除新加坡上市之股票差价合约以外的其它IBKR差价合约。任何投资者类型都不能免于这一基于居住地的限制。

 

我需要做什么才可以开始在IBKR交易差价合约?

您需要在账户管理中设置差价合约交易许可,并同意相关交易披露。如果您的账户是在IB LLC开立,则IBKR将设置一个新的账户板块(即您当前的账户号码加上后缀“F”)。设置确认后您便可以开始交易了。您无需单独为F账户注资,资金会从您的主账户自动转入以满足差价合约保证金要求。  

有什么市场数据要求吗?

IBKR股票差价合约的市场数据便是底层股票的市场数据。因此需要具备相关交易所的市场数据许可。如果您已经为股票交易设置了交易所的市场数据许可,那么就无需再进行任何操作。如果您想在当前并无市场数据许可的交易所交易差价合约,您可以设置许可,操作与底层股票的市场数据许可设置相同。

 

差价合约交易与头寸在报表中如何反映?

如果您是在IB LLC持有账户,且您的差价合约头寸持有在单独的账户板块(主账户号码加后缀“F”)中。您可以选择单独查看F板块的活动报表,也可以选择与主账户合并查看。您可在账户管理的报表窗口进行选择。对于其他账户,差价合约通常会与其他交易产品一起在您的账户报表中显示。

 

我可以从其他经纪商处转入差价合约头寸吗?

IBKR当前不支持差价合约头寸转账。

 

股票差价合约可以使用图表功能吗?

是的。

 在IBKR交易差价合约有什么账户保护?

差价合约以IB英国作为您的交易对方,不是在受监管的交易所进行交易,也不是在中央结算所进行结算。因IB英国是您差价合约交易的对方,您会面临与IB英国交易相关的财务和商业风险,包括信用风险。但请注意,所有客户资金永远都是完全隔离的,包括对机构客户。IB英国是英国金融服务补偿计划(“FSCS”)参与者。IB英国不是美国证券投资者保护公司(“SIPC”)成员。请参见IB英国差价合约风险披露文件了解有关差价合约交易风险的详细信息。

 

在哪种类型(如个人、朋友和家庭、机构等)的IBKR账户中可交易差价合约? 

所有保证金账户均可进行差价合约交易。现金账户和SIPP账户不能。

 

在某一特定差价合约中我最多可持有多少头寸?

没有预设限制。但请注意,超大头寸可能会有更高保证金要求。请参见CFD保证金要求了解更多详细信息。

 

我能否通过电话交易差价合约?

不要。在极端情况下我们可能同意通过电话处理平仓定单,但绝不会通过电话处理开仓定单。

 

 

差价合约属于复杂金融产品,其交易存在高风险,由于杠杆的作用,可能会出现迅速亏损。

在通过IBKR(UK)交易差价合约时,有67%的零售投资者账户出现了亏损。

您应考虑自己是否理解差价合约的运作机制以及自己是否能够承受亏损风险。

ESMA规定

欧洲证券与市场管理局(ESMA)发布临时产品干涉措施,自2018年8月1日起生效。

ESMA决议实施的限制包括:1) 开仓差价合约头寸的杠杆限制;2) 以单个账户为单位的保证金平仓规则;3) 以单个账户为单位的负余额保护规则;4) 对交易差价合约激励措施的限制;以及5) 标准的风险警告。

ESMA新规仅适用于零售客户。 专业客户不受影响。

 

How to determine if you are borrowing funds from IB

If the aggregate cash balance in a given account is a debit, or negative, then funds are being borrowed and the loan is subject to interest charges. A loan may still exist, however, even if the aggregate cash balance is a credit, or positive, as a result of balance netting or timing differences. The most common examples of this are as follows:

 
1.       Long vs. Short Currency Balances – accounts holders may borrow cash denominated in one currency if it can be secured by a credit balance in another.  Take, for example, a USD base currency account holding a long USD settled cash balance of 10,000, a short EUR settled cash balance of 5,000, with a EUR.USD exchange rate of 1.38:1. Here, for statement reporting and interest computation purposes, the overall cash balance is a USD credit of 3,088 (10,000 – (5,000 * 1.38)). As each currency is subject to a unique funding and reinvestment arrangement, the short balance would be subject to financing costs based upon its benchmark rate and tier. This cost may be offset by any interest earned on the long balance based upon its benchmark rate and tier.
 
2.       Gross Balances by Segment – IB’s Universal Account contains multiple sub accounts or segments, each of which holds positions and collateral which, for regulatory and customer protection purposes, may not be commingled. This separation does not allow for netting of balances across segments and a credit in one segment may therefore not offset a debit in another. Take, for example, an IB LLC account holding both securities and commodities positions with the securities segment maintaining a debit cash balance of USD 3,000 and the commodities segment a credit cash balance of USD 8,000. While the account holds an overall net credit balance of USD 5,000, the short balance would be subject to an interest charge which may be partially offset by any interest earned on the long balance.
 
3.       Short Sales – a short sale is a margin transaction in which the account holder is borrowing stock rather than cash. While the proceeds from the short sale are credited to the cash balance of the account, these funds must be posted with the lender of the shares as collateral to secure their return. As a result, and in recognition of the fact that the loan transaction is subject to its own financing terms, the cash collateralizing the loan is excluded for the purpose of determining whether a margin loan exists.
 
As example, consider an account reporting net liquidating equity (all balances in USD) of  9,000 comprised of a credit cash balance of 4,000, long stock valued at 10,000 and short stock valued at 5,000. In order to determine whether funds are being borrowed to finance the long stock position, the 5,000 portion of the cash pledged as collateral to the lender of the shares is deducted from the overall 4,000 cash balance, resulting in a 1,000 debit. This debit is subject to interest charges and the cash underlying the stock borrow either an interest charge in the case of hard to borrow shares or a short stock rebate if the shares are easy to borrow and reinvestment rates sufficiently high.
 
4.       Unsettled Funds - borrowings are determined based upon settled funds and the timeframe by which payment is due or received for a given transaction is product specific (e.g., stocks generally settle in 3 business days, spot currencies 2 and derivatives 1). For statement and trading platform purposes, cash balances are reported on a trade date rather than settlement date basis, as if settlement has completed.
 
As a result, an account reporting a credit cash balance may, in fact, still be carrying a margin loan if that balance includes proceeds from the sale of stock purchased with borrowed funds awaiting settlement. Similarly, an account may report a trade date based debit balance, but not yet incurring a margin loan and interest charges, as the trade has not yet settled.
 
For additional information regarding interest calculations, please refer to How Interest is Calculated.

Overview of IBKR issued Share CFDs

The following article is intended to provide a general introduction to share-based Contracts for Differences (CFDs) issued by IBKR.

For Information on IBKR Index CFDs click here. For Forex CFDs click here.

Topics covered are as follows:

I.    CFD Definition
II.   Comparison Between CFDs and Underlying Shares
III.  Cost and Margin Considerations
IV.  Worked Example
V.   CFD Resources
VI.  Frequently Asked Questions

 

Risk Warning

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

59.5% 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.

ESMA Rules for CFDs (Retail Clients only)

The European Securities and Markets Authority (ESMA) has enacted new CFD rules effective 1st August 2018.

The rules include: 1) leverage limits on the opening of a CFD position; 2) a margin close out rule on a per account basis; and 3) negative balance protection on a per account basis.

The ESMA Decision is only applicable to retail clients. Professional clients are unaffected.

Please refer to the following articles for more detail:

ESMA CFD Rules Implementation at IBKR (UK) and IBKR LLC

ESMA CFD Rules Implementation at IBIE, IBCE and IBLUX

I.  Share  CFD Definition

IBKR CFDs are OTC contracts which deliver the return of the underlying stock, including dividends and corporate actions (read more about CFD corporate actions).

Said differently, it is an agreement between the buyer (you) and IBKR to exchange the difference in the current value of a share, and its value at a future time. If you hold a long position and the difference is positive, IBKR pays you. If it is negative, you pay IBKR.

IBKR Share CFDs are traded through your margin account, and you can therefore enter long as well as short leveraged positions. The price of the CFD is the exchange-quoted price of the underlying share. In fact, IBKR CFD quotes are identical to the Smart-routed quotes for shares that you can observe in the Trader Workstation and IBKR offers Direct Market Access (DMA). Similar to shares, your non-marketable (i.e., limit) orders have the underlying hedge directly represented on the deep book of those exchanges at which it trades.  This also means that you can place orders to buy the CFD at the underlying bid and sell at the offer.

To compare IBKR’s transparent CFD model to others available in the market please see our Overview of CFD Market Models.

IBKR currently offers approximately 7100 Share CFDs covering the principal markets in the US, Europe and Asia. The constituents of the major indexes listed below are currently available as IBKR Share CFDs. In many countries IBKR also offers trading in liquid small cap shares. These are shares with free float adjusted market capitalization of at least USD 500 million and median daily trading value of at least USD 600 thousand.  Please see CFD Product Listings for more detail. More countries will be added in the near future.

United States S&P 500, DJA, Nasdaq 100, S&P 400 (Mid Cap), Liquid Small Cap
United Kingdom FTSE 350 + Liquid Small Cap (incl. IOB)
Germany Dax, MDax, TecDax + Liquid Small Cap
Switzerland Swiss portion of STOXX Europe 600 (48 shares) + Liquid Small Cap
France CAC Large Cap, CAC Mid Cap + Liquid Small Cap
Netherlands AEX, AMS Mid Cap + Liquid Small Cap
Belgium BEL 20, BEL Mid Cap + Liquid Small Cap
Spain IBEX 35 + Liquid Small Cap
Portugal PSI 20
Sweden OMX Stockholm 30 + Liquid Small Cap
Finland OMX Helsinki 25 + Liquid Small Cap
Denmark OMX Copenhagen 30 + Liquid Small Cap
Norway OBX
Czech PX
Japan Nikkei 225 + Liquid Small Cap
Hong Kong HSI + Liquid Small Cap
Australia ASX 200 + Liquid Small Cap
Singapore* STI + Liquid Small Cap
South Africa Top 40 + Liquid Small Cap
Brazil Bovespa
Russia MOEX

 *not available to Singapore residents

II.   Comparison Between CFDs and Underlying Shares

Depending on your trading objectives and trading style, CFDs offer a number of advantages compared to stocks, but also some disadvantages:
 
BENEFITS of IBKR CFDs DRAWBACKS of IBKR CFDs
No stamp duty or financial transaction tax (UK, France, Belgium) No ownership rights
Generally lower commission and margin rates than shares Complex corporate actions may not always be exactly replicable
Tax treaty rates for dividends without need for reclaim Taxation of gains may differ from shares (please consult your tax advisor)
Exemption from day trading rules  

III.  Cost and Margin Considerations

IBKR CFDs can be an even more efficient way to trade the European stock markets than IBKR’s highly competitive stock offering.

Firstly, IBKR CFDs have low commissions compared to stocks, and the same low financing spreads:

EUROPE   CFD STOCK
Commission GBP 0.05% GBP 6.00 + 0.05%*
EUR 0.05% 0.10%
Financing** Benchmark +/- 1.50% 1.50%

*per order + 0.05% of excess over GBP 50,000
**CFD financing on total position value, stock financing on borrowed amount

When you trade more, CFD commissions become even lower, as low as 0.02%. Financing rates are reduced for larger positions, to as low as 0.5%.  Please see CFD Commissions and CFD Financing Rates for more details.

Secondly, CFDs have lower margin requirements than stocks. Retail clients are subject to additional margin requirements mandated by ESMA, the European regulator. Please see ESMA CFD Rules Implementation at IBKR for details.

  CFD STOCK
  All Standard Portfolio Margin
Maintenance Margin Requirement*

10%

25% - 50% 15%

*Typical margin for blue-chips. Retail Clients are subject to a minimum Initial Margin of 20%. Standard 25% intraday maintenance margin for stocks, 50% overnight.  Portfolio Margin shown is maintenance margin (incl. overnight). More volatile issues are subject to higher requirements

Please refer to CFD Margin Requirements and for more detail.


IV.  Worked Example (Professional Client)

Let’s look at an example. Unilever’s Amsterdam listing has returned 3.2% in the past month (20 trading days to May 14th, 2012) and you believe it will continue to perform well. You want to build a EUR 200,000 exposure and hold it for 5 days. You do 10 trades to build up and 10 trades to unwind. Your direct costs would be as follows:

STOCK

  CFD STOCK
EUR 200,000 Position   Standard Portfolio Margin
Margin Requirement 20,000 100,000 30,000
Commission (round trip) 200.00 400.00 400.00
Interest Rate (Simplified) 1.50% 1.50% 1.50%
Amount Financed 200,000 100,000 170,000
Days Financed  5 5 5
Interest Expense (1.5% Simplified Rate) 41.67 20.83 35.42
Total Direct Cost (Commission + Interest) 241.67 420.83 435.42
Cost Difference   74% Higher 80% Higher

Note: Interest expense for CFDs is calculated on the entire contract position, for shares interest is calculated on the borrowed amount. The applicable rates are the same for both shares and CFDs.

 

But let’s assume you only have EUR 20,000 available to fund the margin. If Unilever continues to perform as it has in the past month, your potential profit would compare as follows:  

LEVERAGE REWARD CFD STOCK
Available Margin 20,000 20,000 20,000
Total Invested 200,000 40,000 133,333
Gross Return (5 Days) 1,600 320 1,066.66
Commission 200.00 80.00 266.67
Interest Expense (1.5% Simplified Rate) 41.67 4.17 23.61
Total Direct Cost (Commission + Interest) 241.67 84.17 290.28
Net Return (Gross Return less Direct Cost) 1,358.33 235.83 776.39
Return on Margin Investment Amount 0.07 0.01 0.04
Difference   83% Less Gain 43% Less Gain

 

LEVERAGE RISK CFD STOCK
Available Margin 20,000 20,000 20,000
Total Invested 200,000 40,000 133,333
Gross Return (5 Days) -1,600 -320 -1,066.66
Commission 200.00 80.00 266.67
Interest Expense (1.5% Simplified Rate) 41.67 4.17 23.61
Total Direct Cost (Commission + Interest) 241.67 84.17 290.28
Net Return (Gross Return less Direct Cost) -1,841.67 -404.17 -1,356.94
Difference   78% Less Loss 26% Less Loss

 

V.   CFD Resources

Below are some useful links with more detailed information on IBKR’s CFD offering:

CFD Contract Specifications

CFD Product Listings

CFD Commissions

CFD Financing Rates

CFD Margin Requirements

CFD Corporate Actions

The following video tutorial is also available:

How to Place a CFD Trade on the Trader Workstation

 

VI.  Frequently Asked Questions

What Stocks are available as CFDs?

Large and Mid-Cap stocks in the US, Western Europe, Nordic and Japan. Liquid Small Cap stocks are also available in many markets. Please see CFD Product Listings for more detail. More countries will be added in the near future.

 

Do you have CFDs on Stock Indices and Forex?

Yes. Please see IBKR Index CFDs - Facts and Q&A and Forex CFDs - Facts and Q&A.

 

How do you determine your Share CFD quotes?

IBKR CFD quotes are identical to the Smart routed quotes for the underlying share. IBKR does not widen the spread or hold positions against you. To learn more please go to Overview of CFD Market Models.

 

Can I see my limit orders reflected on the exchange?

Yes. IBKR offers Direct market Access (DMA) whereby your non-marketable (i.e., limit) orders have the underlying hedge directly represented on the deep book of those exchanges at which it trades. This also means that you can place orders to buy the CFD at the underlying bid and sell at the offer. In addition, you may also receive price improvement if another client's order crosses yours at a better price than is available on public markets.

 

How do you determine margins for Share CFDs?

IBKR establishes risk-based margin requirements based on the historical volatility of each underlying share. The minimum margin is 10%. Most IBKR CFDs are margined at this rate, making CFDs more margin-efficient than trading the underlying share in most cases.  Retail investors are subject to additional margin requirements mandated by ESMA, the European regulator. There are no portfolio off-sets between individual CFD positions or between CFDs and exposures to the underlying share. Concentrated positions and very large positions may be subject to additional margin. Please refer to CFD Margin Requirements for more detail.

 

Are short Share CFDs subject to forced buy-in?

Yes. In the event the underlying stock becomes difficult or impossible to borrow, the holder of the short CFD position will become subject to buy-in.

 

How do you handle dividends and corporate actions?

IBKR will generally reflect the economic effect of the corporate action for CFD holders as if they had been holding the underlying security. Dividends are reflected as cash adjustments, while other actions may be reflected through either cash or position adjustments, or both. For example, where the corporate action results in a change of the number of shares (e.g. stock-split, reverse stock split), the number of CFDs will be adjusted accordingly. Where the action results in a new entity with listed shares, and IBKR decides to offer these as CFDs, then new long or short positions will be created in the appropriate amount. For an overview please CFD Corporate Actions.

*Please note that in some cases it may not be possible to accurately adjust the CFD for a complex corporate action such as some mergers. In these cases IBKR may terminate the CFD prior to the ex-date.

 

Can anyone trade IBKR CFDs?

All clients can trade IBKR CFDs, except residents of the USA, Canada, and Hong Kong. Singapore residents can trade IBKR CFDs except those based on shares listed in Singapore. There are no exemptions based on investor type to the residency based exclusions.

What do I need to do to start trading CFDs with IBKR?

You need to set up trading permission for CFDs in Account Management, and agree to the relevant trading disclosures. If your account is with IBKR (UK) or with IBKR LLC, IBKR will then set up a new account segment (identified with your existing account number plus the suffix “F”). Once the set-up is confirmed you can begin to trade. You do not need to fund the F-account separately, funds will be automatically transferred to meet CFD margin requirements from your main account.  

If your account is with another IBKR entity, only the permission is required; an additional account segment is not necessary.

Are there any market data requirements?

The market data for IBKR Share CFDs is the market data for the underlying shares. It is therefore necessary to have market data permissions for the relevant exchanges. If you already have set up market data permissions for an exchange for trading the shares, you do not need to do anything. If you want to trade CFDs on an exchange for which you do not currently have market data permissions, you can set up the permissions in the same way as you would if you planned to trade the underlying shares.

How are my CFD trades and positions reflected in my statements?

If you are a client of IBKR (U.K.) or IBKR LLC, your CFD positions are held in a separate account segment identified by your primary account number with the suffix “F”. You can choose to view Activity Statements for the F-segment either separately or consolidated with your main account. You can make the choice in the statement window in Account Management.

If you are a client of other IBKR entities, there is no separate segment. You can view your positions normally alongside your non-CFD positions.

Can I transfer in CFD positions from another broker?

IBKR does not facilitate the transfer of CFD positions at this time.

Are charts available for Share CFDs?

Yes.

In what type of IBKR accounts can I trade CFDs e.g., Individual, Friends and Family, Institutional, etc.? 

All margin and cash accounts are eligible for CFD trading. 

What are the maximum a positions I can have in a specific CFD?

There is no pre-set limit. Bear in mind however that very large positions may be subject to increased margin requirements. Please refer to CFD Margin Requirements for more detail.

Can I trade CFDs over the phone?

No. In exceptional cases we may agree to process closing orders over the phone, but never opening orders.

Cash Sweeps

Background
Underlying the IB Universal account are two separate sub-accounts or segments, one for the securities positions and balances which are subject to the customer protection rules of the SEC and another for the commodities positions and balances which are subject to the customer protection rules of the CFTC. This Universal account structure is designed to minimize the administrative overhead that customers would otherwise be exposed to were they to maintain two distinct accounts (e.g., transferring of cash between accounts, login and order submission through separate accounts, multiple statements, etc.) while preserving the separation required by regulation.

These regulations further require that all securities transactions be effected and margined in the securities segment of the Universal account and commodities transactions in the commodities segment.1  While the regulations allow for the custody of fully-paid securities positions in the commodities segment as margin collateral, IB does not do so, thereby limiting their hypothecation to the more restrictive rules of the SEC. Given the regulations and policies which direct the decision to hold positions in one segment vs. the other, cash remains the only asset eligible to be transferred between the two and for which customer discretion is provided.

Outlined below is a discussion as to the cash sweep options offered, the process for selecting an option as well as selection considerations.

 
Cash Sweep Options
Customers are provided with 3 sweep options, descriptions for which are provided below:
 
 1. Do not sweep excess funds – under this election, excess cash does not move from one segment to another unless necessary to:
a. Eliminate/reduce a margin deficiency in the other segment;
 
b. Minimize a cash debit balance and therefore interest charges in a given segment.  Note that this is the default option and sole option for account holders having only one of securities or commodities trading permissions.
 
2. Sweep excess funds into my IB securities account – here, cash balances are only held in the commodities segment to the extent necessary to satisfy the current commodities margin requirement. Any cash in excess of the margin requirement, generated as a result of either an increase in cash (e.g., favorable variation and/or transaction related) or decrease in the margin requirement (e.g., changes in the SPAN risk arrays and/or transaction related) will be automatically transferred from the commodities segment to the securities segment. Note that the account holder must have permissions to trade securities in order to select this option.
 
3. Sweep excess funds into my IB commodities account – here, cash balances are only held in the securities segment to the extent that they, along with any other securities positions having loan value, are needed to satisfy the current securities margin requirement. Note that the account holder must have permissions to trade commodities in order to select this option. 
 
Other items of note:
-  As the Universal account allows for cash balances to be held in a variety of denominations, a hierarchy exists for the purpose of determining which particular currency to transfer first when long balances in multiple currencies exist. In these situations the procedure is to first transfer balances denominated in the Base Currency, then USD and then the remaining long currency balances in order of highest to lowest.
 
- To minimize the likelihood of one segment incurring a margin deficiency following the sweep of excess cash to the other, the full excess will not be transferred and a buffer equal to 5% of the maintenance margin requirement will be retained. Similarly, to minimize the operational overhead of transferring nominal balances, balances will only be transferred if, after giving effect to the 5% margin cushion, the excess, if any, is not less than 1% of account equity or $200.
 
- When performing the pre-trade credit check to determine whether an account maintains sufficient equity to support a new order, excess cash maintained in one segment will be considered for trades conducted in the other (although a sweep will not occur until the trade has executed and only if it then remains necessary for margin compliance).  Accounts which are designated as a Pattern Day Trader and which are subject pre-trade credit check that takes into account the prior as well as current day's equity should pay particular attention to the Selection Considerations section below.
 
 
Selecting a Sweep Option
If your Account Management version contains a series of menu options on the left-hand side, select the Account Administration and then Excess Funds Sweep menu options. If your version has menu options across the top, select the Manage Account/Settings and then the Configure Account/Excess Funds Sweep menu options. Regardless of your version, you will be presented with a screen which appears as follows:
 

You may then select the radio button alongside the option of your choice and select the Continue button. Your choice will take effect as of the next business day and will remain in effect until a different option has been selected. Note that subject to the trading permission settings noted above, there is no restriction upon when or how often you may change your sweep method. 

 

Selection Considerations
While the decision to elect one segment vs. the other for the purposes of maintaining excess cash may involve subjective decisions and preferences unique to each customer (e.g. customer maintains assets which are significant and concentrated in one segment vs. the other), outlined below are several factors warranting consideration:
 
1. Pattern Day Trading Equity - The securities buying power of accounts designated by regulation as Pattern Day Traders (i.e., 4 or more day trades within a 5 business day period) is limited by the lesser of the current or prior day’s closing equity in the securities segment. As such, an election to sweep excess funds to the commodities segment will prevent the inclusion of such funds in this calculation, thereby potentially limiting the capacity to enter new orders. To maximize the use of equity for purposes of entering securities orders, one would need to elect to sweep excess fund to the securities segment.  Note that an election to the securities segment will not impair the ability to enter commodities orders as the pattern day trading rules do not apply to such accounts.
 
2. Insurance – SIPC protection is afforded to assets in the securities segment and there is no commensurate insurance scheme in place for the commodities segment. That being said, balances in excess of the SIPC $250,000 cash sub-limit ($900,000 Lloyd’s cash sub-limit, where applicable) are not afforded coverage. Customers of IB Canada and IB UK are also subject coverage rules as specified by CIPF and the FSCS, respectively.
 
3. Interest Income – all other things being equal, customers are likely to receive the most optimal interest income on long cash balances that have not been partitioned between the securities and commodities segments as they are not aggregated for interest credit purposes (since they are subject to distinct segregation pools and reinvestment rules). This, along with the fact that credits require maintenance of a minimum cash balance and that higher balances are afforded preferential rates are factors to be considered when making a sweep election.2
 
Other Relevant Knowledge Base Articles:
A Comparison of U.S. Segregation Models
 
 
Footnotes:
1As OneChicago single stock futures are a hybrid product jointly regulated by the SEC and CFTC, they can be purchased and sold in either account type. IB, however, conducts such transactions in the securities segment of the Universal account as this is necessary to provide margin relief between the single stock future and any qualifying stock or option position.
 
2Consider, for example, an account which maintains a long USD balance of $9,000 in each of the securities and commodities segments. Depending upon the benchmark Fed Funds Effective rate, the account would be eligible to earn interest on $8,000 ($18,000 - $10,000) if the two balances were held in a single segment, but since balances below $10,000 in either of the two segments are not eligible for interest, could not earn anything without electing a sweep option. Similarly, one would be eligible to earn interest at a higher tier if as a result of a sweep election the account holder was then able to achieve a long USD cash balance above $100,000 in a given segment. For additional information regarding interest calculations including a link to current benchmark interest rates, refer to KB39.

 

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