保证金计算方法概况
简介
计算给定持仓的保证金要求的方法很大程度上受以下三种因素影响：
1. 产品类型；
2. 产品上市的交易所及/或管辖经纪商的主要监管机构的规则；
3. IBKR“公司内部”要求。
虽然有多种计算保证金要求的方法，但这些方法大致可被分为两类，即基于规则的保证金要求或基于风险的保证金要求。基于规则的保证金通常会对同类型的产品应用相同的保证金比例，不同产品之间不能相互抵消风险，且会以类似的方式对待衍生品和其底层产品。从这个角度上来看，这种方法计算简单、其假设也易于执行，但这种假设往往会高估或低估一种产品相对于其历史业绩的风险。基于规则的保证金的一个常见的例子是美国的Reg. T保证金要求。
相反，基于风险的保证金计算方法往往试图使保证金能反映产品的历史业绩，承认产品间风险的相互抵消，且力求通过数学定价模型测定衍生品的非线性风险。这些方法虽然是直觉式的，但往往涉及客户自己难以复制的计算过程。此外，计算过程的输入变量可能依赖于观察到的市场行为，这可能导致计算结果快速、大幅波动。基于风险的保证金计算方法包括TIMS和SPAN。
不论计算方法基于规则还是基于风险，大部分经纪商都会应用“公司内部”保证金要求。当经纪商认为特定情况的风险敞口大于法定或基础保证金能够保障的部分，“公司内部”保证金将提出比基础保证金更高的要求。下文概述了最常见的基于风险的保证金计算方法和基于规则的保证金计算方法。
方法概述
基于风险的保证金
a. 投资组合保证金（TIMS） – “理论市场间保证金系统”（TIMS）是期权清算公司（OCC）创造的一种基于风险的保证金计算方法，该方法会假设一系列市场情境，在这些市场情境下投资组合中证券的价格会发生变动、持仓的价值会被重估，基于此来计算投资组合的价值。该方法会使用期权定价模型来重估期权的价值，并通过敝公司在OCC情境基础上假设的一系列更为严苛的情境来评估投资组合的风险，这些更严苛的情境旨在捕捉诸如极端市场波动、集中持仓或期权隐含波动率变动等额外的风险。此外，某些证券（如粉单、OTCBB或小市值股票）可能无法进行保证金交易。估算出每种情境下的投资组合价值后，预计损失最大的情境将被用于计算保证金要求。
TIMS方法适用的持仓包括美国股票、ETF、期权、个股期货、以及满足美国证监会现成市场测试的非美国股票和期权。
由于这种方法的计算过程比基于规则的方法复杂得多，它往往能更准确地估计风险，进而提供更高的杠杆。鉴于TIMS能够提供更高的杠杆且保证金要求会上下浮动并快速响应不断变化的市场情况，这种方法主要面向成熟的交易者且要求账户的净清算价值不少于110,000美元方可启用，后期也需要将净清算价值维持在100,000美元以上。该方法下的股票保证金要求通常在15%-30%。如果投资组合内的股票分散程度高、历史波动性较低且常常有期权做对冲，则投资组合可能还能享受更优惠的保证金比例。
b. SPAN – “标准投资组合风险分析”（SPAN）是芝加哥商品交易所（CME）专门针对期货和期货期权设计的一种基于风险的保证金要求计算方法。与TIMS类似，SPAN会假设一系列市场情境，在这些情境下底层证券的价格和期权的隐含波动率会发生变动，在此基础上估算投资组合的价值，进而确定保证金要求。同样，IBKR会在这些假设中纳入公司内部的情境，以预防极端的价格波动，以及此类波动可能对深度价外期权产生的特定影响。损失最大的情境估算的值将作为保证金要求。有关SPAN保证金系统的详细介绍，请见知识库文章563。
基于规则的保证金
a. Reg. T – 美国的中央银行联邦储备委员会的职能是负责维护金融系统的稳定及防范金融市场可能出现的系统性风险。在一定程度上，这一职能是通过监管自营经纪商可向客户提供的贷款数额来实现的（客户可通过保证金贷款买入证券）。
具体而言，即通过法规T（常被称为Reg. T）来监管。Reg.T规定了客户须开立保证金账户，并给出了初始保证金要求及对某些证券交易应用的支付规则。比如，对于买入股票，Reg. T目前要求客户存入相当于其买入价值50%的初始保证金，并允许经纪商通过贷款提供剩余50%的资金。比如，账户持有人如要买入价值1000美元的证券，则必须存入500美元，但可以借入500美元以持有这些证券。
Reg. T只规定了初始保证金要求，而维持保证金要求（即开仓后继续持有该仓位所需的资金）是由交易所规定的（对于股票，维持保证金要求是25%）。Reg. T也未规定期权的保证金要求，因为这属于期权产品上市的交易所的管辖范围，须经美国证监会批准。Reg.T账户中持有的期权还须应用基于规则的方法，即空头被当成股票等价物处理、价差交易可减免保证金要求。最后，符合要求的投资组合保证金账户中的持仓无需满足Reg. T要求。
更多信息
2020年美国大选保证金增加
考虑到即将发生的美国总统选举带来的潜在市场波动，盈透证券将针对所有在美国交易的股
指期货、衍生品及在大阪证券交易所（OSE.JPN）上市的道琼斯期货提高保证金要求。
客户如持有美国股指期货及其衍生品及/或在大阪证券交易所上市的道琼斯期货头寸，请知
悉，保证金要求预计将在正常水平上提高35%左右。保证金要求将在20 个自然日内逐步提
高，其中维持保证金将从2020年10月5日起提高，直至2020年10月30日。
下表列举了一些常见产品预计发生的保证金变动
| 期货代码 | 描述 | 上市交易所 | 交易类型 | 当前比例（价 格扫描范围） * |
预计比例（价 格扫描范围） |
| ES | E-mini S&P 500 | GLOBEX | ES | 7.13 | 9.63 |
| YM | Mini DJIA | ECBOT | YM | 6.14 | 8.29 |
| RTY | Russell 2000 | GLOBEX | RTY | 6.79 | 9.27 |
| NQ | NASDAQ E-mini | GLOBEX | NQ | 6.57 | 8.87 |
| DJIA | OSE 道琼斯 工业平均 |
OSE.JPN | DJIA | 5.14 | 6.94 |
*截至2020年10月2日开市。
注：IBKR 的风险漫游工具能帮助您评估最新的维持保证金要求对您现有的投资组合或您想
构建或测试的其它投资组合有何影响。有关“替代保证金计算器”的更多信息，请见知识库
文章2957：风险漫游：替代保证金计算器，并在风险漫游的保证金模式设置下选择“美国
大选保证金”。
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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
Overview:
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?
Overview:
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?
Overview:
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?
Overview:
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.
