Overview of ESMA CFD Rules Implementation for Retail Clients at IBKR (Luxembourg)

Overview: 

The European Securities and Markets Authority (ESMA) enacted new rules applicable to retail clients trading CFDs, effective 1st August 2018. Professional clients are unaffected.

The rules consist of: 1) leverage limits; 2) a margin close out rule on a per account basis; 3) negative balance protection on a per account basis; 4) a restriction on the incentives offered to trade CFDs; and 5) a standardized risk warning.

Most clients (excepting regulated entities) are initially categorised as Retail Clients. IBKR may in certain circumstances agree to reclassify a Retail Client as a Professional Client, or a Professional Client as a Retail Client. Please see MiFID Categorisation for further detail.

The following sections detail how IBKR (Luxembourg) has implemented the ESMA Decision.

1 Leverage Limits

 1.1 ESMA Margins
Leverage limits were set by ESMA at different levels depending on the underlying:

  • 3.33% for major currency pairs; Major currency pairs are any combination of USD; CAD; EUR; GBP; CHF; JPY
  • 5% for non-major currency pairs and major indices;
    • Non-major currency pairs are any combination that includes a currency not listed above, e.g. USD.CNH
    • Major indices are IBUS500; IBUS30; IBUST100; IBGB100; IBDE30; IBEU50; IBFR40; IBJP225; IBAU200
  • 10% for non-major equity indices; IBES35; IBCH20; IBNL25; IBHK50
  • 20% for individual equities

 1.2 Applied Margins - Standard Requirement

In addition to the ESMA Margins, IBKR (Luxembourg) establishes its own margin requirements (IB Margins) based on the historical volatility of the underlying, and other factors. We will apply the IB Margins if they are higher than those prescribed by ESMA.

Details of applicable IB and ESMA margins can be found here.

1.2.1 Applied Margins - Concentration Minimum

A concentration charge is applied if your portfolio consists of a small number of CFD positions, or if the two largest positions have a dominant weight. We stress the portfolio by applying a 30% adverse move on the two largest positions and a 5% adverse move on the remaining positions. The total loss is applied as the maintenance margin requirement if it is greater than the standard requirement.

1.3 Funding of Initial Margin Requirements

You can only use cash to post initial margin to open a CFD position.

Initially all cash used to fund the account is available for CFD trading. Any initial margin requirements for other instruments and cash used to purchase cash stock reduce the available cash. If your cash stock purchases have created a margin loan, no funds are available for CFD trades even if your account has significant equity. We cannot increase a margin loan to fund CFD margin under the ESMA rules.

Realized CFD profits are included in cash and are available immediately; the cash does not have to settle first. Unrealized profits however cannot be used to meet initial margin requirements.

2 Margin Close Out Rule

2.1 Maintenance Margin Calculations & Liquidations

ESMA requires IBKR to liquidate CFD positions latest when qualifying equity falls below 50% of the initial margin posted to open the positions. IBKR may close out positions sooner if our risk view is more conservative. Qualifying equity for this purpose includes CFD cash and unrealized CFD P&L (positive and negative). Note that CFD cash excludes cash supporting margin requirements for other instruments. 

The basis for the calculation is the initial margin posted at the time of opening a CFD position. In other words, and unlike margin calculations applicable to non-CFD positions, the initial margin amount does not change when the value of the open position changes.

2.1.1 Example

You have EUR 2000 cash in your account and no open positions. You want to buy 100 CFDs of XYZ at a limit price of EUR 100. You are first filled 50 CFDs and then the remaining 50. Your available cash reduces as your trades are filled:

 

Cash

Equity*

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Pre Trade

2000

2000

 

 

 

 

 

 

2000

 

Post Trade 1

2000

2000

50

100

5000

0

1000

500

1000

No

Post Trade 2

2000

2000

100

100

10000

0

2000

1000

0

No

 *Equity equals Cash plus Unrealized P&L

The price increases to 110. Your equity is now 3000, but you cannot open additional positions because your available cash is still 0, and under the ESMA rules IM and MM remain unchanged:

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

3000

100

110

11000

1000

2000

1000

0

No

 The price then drops to 95. Your equity declines to 1500 but there is no margin violation since it is still greater than the 1000 requirement:

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

1500

100

95

9500

(500)

2000

1000

0

No

 The price falls further to 85, causing a margin violation and triggering a liquidation:

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

500

100

85

8500

(1500)

2000

1000

0

Yes

 3 Negative Equity Protection

The ESMA Decision limits your CFD-related liability to the funds dedicated to CFD-trading. Other financial instruments (e.g. shares or futures) cannot be liquidated to satisfy a CFD margin-deficit.*

Therefore non-CFD assets are not part of your capital at risk for CFD trading. 

Should you lose more than the cash dedicated to CFD trading, IB must write off the loss. 

As Negative Equity Protection represents additional risk to IBKR, we will charge retail investors an additional financing spread of 1% for CFD positions held overnight. You can find detailed CFD financing rates here.

*Although we cannot liquidate non-CFD positions to cover a CFD deficit, we can liquidate CFD positions to cover a non-CFD deficit.

 

IB LLC大宗商品賬戶保證金要求

引言
作為一家在19個國家或地區提供期貨交易的全球性經紀商,IB受多種監管要求的約束,某些監管要求仍保留了在日末計算一次保證金的概念,而IB的保證金是連續、實時計算的。為滿足大宗商品監管要求并以務實的方式控制經濟風險,我們會在收槃時應用兩種保證金計算方式,兩種方式計算得出的保證金要求須同時滿足。兩種方式的概述如下。


概述
所有定單在執行前均須滿足初始保證金要求,執行后則須始終滿足維持保證金要求。由於某些產品的日中保證金可能會低於交易所要求的最低保證金比例,為確保日末能滿足保證金要求,IB通常會在休市前清算頭寸,而不是要求客戶追加保證金。然而,如果賬戶在休市時仍不滿足保證金要求,我們會通知客戶追加保證金,同時僅允許客戶做減少占用保證金的交易,如在之后的第三個工作日休時仍不能滿足最初的要求,則頭寸將被清算。


在確定是否需追加保證金時,IB會應用實時計算和監管計算這兩種方式,而某些情況下,這兩種方法得出的結果可能不同:


實時:在本方法下,初始保證金是用同一個時間點收集的頭寸和價格計算的,不考慮產品所在的交易所及正式的休市時間;鑒於大部分交易所的交易時間均接近連續,我們認為本方法有其適用性。


監管:在本方法下,初始保證金是用各家交易所常規交易時間終止時收集的頭寸價格計算的。比如,對於交易香港交易所、EUREX和CME期貨產品的客戶,保證金要求將根據各家交易所休市時的信息計算。
 

影響
交易單一時段、單一國家或地區的期貨的客戶不受影響。在某個交易所的常規交易時段及槃后交易時段交易、或在不同國家或地區的交易所(這些交易所的休市時間不同)交易的客戶更可能受影響。比如,一個客戶在香港常規交易時段開倉期貨合約并在美國交易時段平倉,則保證金要求只取決於開倉時的頭寸。在新的計算方式下,這種交易將適用不同的保證金要求,甚至產生在當前方法下不存在的追加保證金。下表舉例說明了該情況。
 

舉例

本例試圖說明,如果一個同時在亞洲和美國兩個時區交易期貨的客戶在延長的交易時段(即在常規交易時段以外、該日已正式休市時)交易時會如何受影響。本例中,客戶在香港常規交易時段開倉,并在延長的交易時段內平倉,進而騰出資金在美國常規交易時段開倉。為說明起見,假設交易損失了1,000美元。本例說明,監管的日末保證金計算方法可能不能識別在正式休市后進行的會占用保證金的交易,因此產生了追加初始保證金的要求。

天數 時間(美東) 事件

初始頭寸

結束頭寸 IB保證金 監管保證金
含貸款的淨資產 維持 初始 隔夜 追加保證金
1 22:00 買1份 HHI.HK 1份HHI.HK多頭 $10,000 $3,594 $4,493 不適用 不適用
2 04:30 香港交易所正式休市 1份HHI.HK多頭 1份HHI.HK多頭 $10,000 $7,942 $9,927 $4,493 不適用
2 08:00 賣1份HHI.HK 1份HHI.HK多頭 $9,000 $0 $0 $0 不適用
2 10:00 買1份ES 1份ES多頭 $9,000 $2,942 $3,677 不適用 不適用
2 17:00 美國交易所正式休市 1份ES多頭 1份ES多頭 $9,000 $5,884 $7,355 $9,993
3 17:00 美國交易所正式休市 1份ES多頭 1份ES多頭 $9,000 $5,884 $7,355 $5,500

 

Margin Considerations for Intramarket Futures Spreads

Background

Clients who simultaneously hold both long and short positions of a given futures contract having different delivery months are often provided a spread margin rate that is less than the margin requirement for each position if considered separately. However, as the settlement prices of each contract may deviate significantly as the front month contract approaches its close out date, IBKR will reduce the benefit of the spread margin rate to reflect the risk of this price deviation.

 

Spread Margin Adjustment

This reduction is accomplished by effectively decoupling or breaking the spread in phases on each of the 3 business days preceding the close out date of the front contract month, as follows:

  • On the 3rd business day prior to close out, the initial and maintenance margin requirements will be equal to 10% of their respective requirements on each contract month as if there was no spread, plus 90% of the spread requirement;
  • On the 2nd business day prior to close out, the initial and maintenance margin requirements will be equal to 20% of their respective requirements on each contract month as if there was no spread, plus 80% of the spread requirement;
  • On the business day prior to close out, the initial and maintenance margin requirements will be equal to 30% of their respective requirements on each contract month as if there was no spread, plus 70% of the spread requirement.

 

Working Example

Assume a hypothetical futures contract XYZ with the margin requirements as outlined in the table below:

XYZ Front Month - 1 Short Contract (Uncovered) Back Month - 1 Long Contract (Uncovered) Spread - 1 Short Front Month vs. 1 Long Back Month
Initial Margin $1,250 $1,500 $500
Maintenance Margin $1,000 $1,200 $400

Further assume a position consisting of 1 short front month contract and 1 long back month contract with the front month contract close out date = T.  using this hypothetical example, the initial margin requirement over the 3 business day period preceding close out date is outlined in the table below:

Day Initial Margin Requirement Calculation Details
T-4 $500 Unadjusted
T-3 $725 .1($1,250 + $1,500) + .9($500)
T-2 $950 .2($1,250 + $1,500) + .8($500)
T-1 $1,175 .3($1,250 + $1,500) + .7($500)
T $1,175 Positions not in compliance with close out requirements are subject to liquidation.

 

Concentrated Positions in Low Cap Stocks

The margin requirement for accounts holding concentrated positions in low cap stocks is as follows:

  • An alternative stress test will be considered following the margin calculation currently in place. Here, each stock and its derivatives will be subject to a stress test which simulates a price change reflective of a $500 million decrease in capitalization (e.g., 25% in the case of a stock with a market capitalization of $2 billion; 30% for a stock with a market capitalization of $1.5 billion; etc.). Stocks with a market capitalization of $500 million or below will be subject to a stress test as if the price has fallen to $0.
  • For the stock which projects the greatest loss assuming a $500 million decrease in capitalization, that loss will be compared to the initial margin as determined under the preceding calculation for the aggregate portfolio and, if greater, will become the initial margin requirement.
  • If the initial margin requirement is increased, the maintenance margin for that same stock and its derivatives will increase to approximately 90% of the initial requirement for the aggregate portfolio.

ESMA差價合約新規推行概述 - 僅限零售客戶

Overview: 

歐洲證券與市場管理局(ESMA)頒布了適用於交易差價合約(CFD)的零售客戶的新法規,自2018年8月1日起生效。專業客戶不受影響。

法規包含:1) 杠杆限制;2) 以單個賬戶為單位的保證金平倉規則;3) 以單個賬戶為單位的負余額保護規則;4) 對交易差價合約激勵措施的限制;以及 5) 標准的風險警告。

大多數客戶(受監管的實體除外)一開始都會被分類為零售客戶。IBKR在某些情況下
可同意將零售客戶重新分類為專業客戶或將專業客戶重新分類為
零售客戶。更多詳細信息,請參見MiFID分類

以下板塊詳細說明了IBKR(英國)是如何貫徹ESMA規定的。

1 杠杆限制

1.1 ESMA保證金
ESMA針對不同的底層證券設置了不同的杠杆限制:

  • 貨幣對為3.33%;主要貨幣對為美元、加元、歐元、英鎊、瑞郎、日圓間的任意組合
  • 非主要貨幣對及主要指數為5%;
    • 非主要貨幣對為包括上方未列出的貨幣的任意組合,如美元/離岸人民幣
    • 主要指數為IBUS500、IBUS30、IBUST100、IBGB100、IBDE30、IBEU50、IBFR40、IBJP225、IBAU200
  • 非主要股票指數為10%,包括IBES35、IBCH20、IBNL25、IBHK50
  • 個股為20%

 1.2應用的保證金 - 標准保證金要求

除ESMA的保證金要求外,IBKR(英國)還基於底層證券的曆史波動率及其它因素實施其自有的保證金要求(IB保證金) 如果IB的保證金率高於ESMA規定的比例,則應用IB的保證金率。

點此可查看適用的IB和ESMA保證金要求詳情。

1.2.1應用的保證金 - 最低集中保證金要求

如果您的投資組合包含一小部分CFD頭寸,或者如果最大的兩種頭寸占據了絕大多數份額,則您的賬戶將應用集中保證金。我們會通過對最大的兩種頭寸假設30%的跌幅、對其余頭寸假設5%的跌幅來對您的投資組合進行壓力測試。如果總虧損額高於標准要求,則將用總虧損額作為維持保證金要求。

對於零售客戶,初始保證金原則上是最低集中維持保證金的兩倍(如上所述)。但是為了避免對相對較小的頭寸應用過高的初始保證金要求,我們會針對零售客戶將初始集中保證金減少10萬美元(最終結果不能為負);

應用的集中保證金要求 = 取最大值(計算所得的集中保證金要求 – 100k,0)。

減少10萬美元的作用在於消除對低於25萬美元等值的集中頭寸收取集中保證金。之后的保證金則會逐步增加,如50萬美元的集中頭寸其初始保證金是40%,100萬美元的集中頭寸其初始保證金則是50%。以上例子均假設客戶最多只有兩種頭寸;如果還有其它頭寸,總的保證金會降低。

具體范例請見此處(零售客戶投資組合)。

1.3可用於初始保證金的資金

您只可使用現金作為初始保證金開立差價合約頭寸。已實現的差價合約盈利將包括在現金中且立即可用;現金無需先結算。然而,未實現的盈利不得用於滿足初始保證金要求。

1.4自動轉移資金以滿足初始保證金要求(賬戶F板塊)

IBKR(英國)會自動將您主賬戶中的資金轉移至賬戶的F板塊,用於滿足差價合約的初始保證金要求。

然而,需注意的是,系統不會轉移資金用於滿足差價合約維持保證金要求。因此,如符合條件的資產(參照下方定義)不足以滿足保證金要求,則即使您的主賬戶中有足夠的資金,賬戶仍會被清算。如您想避免被清算,您必須在賬戶管理中將多余的資金轉移至賬戶的F板塊。

2 保證金平倉規則

2.1維持保證金計算與清算

如果符合條件的資產跌至開倉初始保證金的50%以下,ESMA要求IBKR清算差價合約頭寸。 符合條件的資產包括F板塊下的現金(不包括賬戶任何其它板塊下的現金)及未實現的差價合約盈虧(盈利及虧損)。

計算的基礎為開立差價合約頭寸時存入的初始保證金。 換言之,當差價合約頭寸的價值發生變動時,初始保證金的金額不會變化,這與非差價合約頭寸適用的保證金計算方式不同。

2.1.1舉例

您的差價合約賬戶中有2000歐元現金。您想以100歐元的限價買入100份XYZ的差價合約。首先成交了50份合約,然后再成交其余的50份。隨著您的交易成交,您的可用現金如下減少:

  現金 淨資產* 頭寸 價格 價值 未實現盈虧 初始保證金 維持保證金 可用現金 維持保證金不足
交易前 2000 2000             2000  
第一次交易后 2000 2000 50 100 5000 0 1000 500 1000
第二次交易后 2000 2000 100 100 10000 0 2000 1000 0

*淨資產等於現金加未實現盈虧

價格上漲至110。您的淨資產現為3000,但由於您的可用現金仍為0,且在ESMA規則下初始保證金和維持保證金不變,您不得開立新的頭寸:

  現金 股票 頭寸 價格 價值 未實現盈虧 初始保證金 維持保證金 可用現金 維持保證金不足
變化 2000 3000 100 110 11000 1000 2000 1000 0

 然后價格下跌至95。您的淨資產跌至1500,但鑒於淨資產仍大於1000,無需追加保證金:

  現金 股票 頭寸 價格 價值 未實現盈虧 初始保證金 維持保證金 可用現金 維持保證金不足
變化 2000 1500 100 95 9500 (500) 2000 1000 0

價格進一步跌至85,導致保證金不足并觸發清算:

  現金 股票 頭寸 價格 價值 未實現盈虧 初始保證金 維持保證金 可用現金 維持保證金不足
變化 2000 500 100 85 8500 (1500) 2000 1000 0

 

3 負資產保護

ESMA規則規定,您交易差價合約的損失以划撥的專項資金為上限。不得清算其它金融產品(如股票或期貨)來填補差價合約的保證金缺口。*

因此,您主賬戶證券和大宗商品板塊的資產,以及F板塊中持有的非差價合約資產不列入差價合約交易的風險資本。但是,F賬戶段中的所有現金都可用以彌補差價合約交易產生的虧損。

由於負資產保護對IBKR來說意味著要承擔額外風險,對於隔夜持有的差價合約頭寸我們會向零售客戶額外收取1%的融資息差。您可在此處查看詳細的差價合約融資利率。

*我們無法清算非差價合約頭寸來彌補差價合約不足,但可以清算差價合約頭寸來彌補非差價合約不足。

4 交易差價合約的激勵措施

ESMA規定對與差價合約交易相關的金錢及某些非金錢激勵均予以禁止。IBKR不對交易差價合約提供任何獎金或其它激勵。

5 風險警告

差價合約屬於復雜金融產品,其交易存在高風險,由於杠杆的作用,可能會出現迅速虧損。

在通過IBKR(UK)交易差價合約時,有67%的零售投資者賬戶出現了虧損。

您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。

 

 

Overview of ESMA CFD Rules Implementation at IBKR - Retail Investors Only

Overview: 


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

64% of retail investor accounts lose money when trading CFDs with IBKR (UK).

You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.

 

The European Securities and Markets Authority (ESMA) enacted new rules applicable to retail clients trading CFDs, effective 1st August 2018. Professional clients are unaffected.

The rules consist of: 1) leverage limits; 2) a margin close out rule on a per account basis; 3) negative balance protection on a per account basis; 4) a restriction on the incentives offered to trade CFDs; and 5) a standardized risk warning.

Most clients (excepting regulated entities) are initially categorised as Retail Clients. IBKR may in certain circumstances agree to reclassify a Retail Client as a Professional Client, or a Professional Client as a Retail Client. Please see MiFID Categorisation for further detail.

The following sections detail how IBKR (UK) has implemented the ESMA Decision.

1 Leverage Limits

1.1 ESMA Margins
Leverage limits were set by ESMA at different levels depending on the underlying:

  • 3.33% for major currency pairs; Major currency pairs are any combination of USD; CAD; EUR; GBP; CHF; JPY
  • 5% for non-major currency pairs and major indices;
    • Non-major currency pairs are any combination that includes a currency not listed above, e.g. USD.CNH
    • Major indices are IBUS500; IBUS30; IBUST100; IBGB100; IBDE30; IBEU50; IBFR40; IBJP225; IBAU200
  • 10% for non-major equity indices; IBES35; IBCH20; IBNL25; IBHK50
  • 20% for individual equities

 1.2 Applied Margins - Standard Requirement

In addition to the ESMA Margins, IBKR (UK) establishes its own margin requirements (IB Margins) based on the historical volatility of the underlying, and other factors. We will apply the IB Margins if they are higher than those prescribed by ESMA.

Details of applicable IB and ESMA margins can be found here.

1.2.1 Applied Margins - Concentration Minimum

A concentration charge is applied if your portfolio consists of a small number of CFD positions, or if the two largest positions have a dominant weight. We stress the portfolio by applying a 30% adverse move on the two largest positions and a 5% adverse move on the remaining positions. The total loss is applied as the maintenance margin requirement if it is greater than the standard requirement.

1.3 Funds Available for Initial Margin

You can only use cash to post initial margin to open a CFD position. Realized CFD profits are included in cash and are available immediately; the cash does not have to settle first. Unrealized profits however cannot be used to meet initial margin requirements.

1.4 Automatic Funding of Initial Margin Requirements (F-segments)

IBKR (UK) automatically transfers funds from your main account to the F-segment of your account to fund initial margin requirements for CFDs.

Note however that no transfers are made to satisfy CFD maintenance margin requirements. Therefore if qualifying equity (defined below) becomes insufficient to meet margin requirements, a liquidation will occur even if you have ample funds in your main account. If you wish to avoid a liquidation you must transfer additional funds to the F-segment in Account Management.

2 Margin Close Out Rule

2.1 Maintenance Margin Calculations & Liquidations

ESMA requires IBKR to liquidate CFD positions latest when qualifying equity falls below 50% of the initial margin posted to open the positions. IBKR may close out positions sooner if our risk view is more conservative. Qualifying equity for this purpose includes cash in the F-segment (excluding cash in any other account segment) and unrealized CFD P&L (positive and negative).

The basis for the calculation is the initial margin posted at the time of opening a CFD position. In other words, and unlike margin calculations applicable to non-CFD positions, the initial margin amount does not change when the value of the open position changes.

2.1.1 Example

You have EUR 2000 cash in your CFD account. You want to buy 100 CFDs of XYZ at a limit price of EUR 100. You are first filled 50 CFDs and then the remaining 50. Your available cash reduces as your trades are filled:

  Cash Equity* Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Pre Trade 2000 2000             2000  
Post Trade 1 2000 2000 50 100 5000 0 1000 500 1000 No
Post Trade 2 2000 2000 100 100 10000 0 2000 1000 0 No

*Equity equals Cash plus Unrealized P&L

The price increases to 110. Your equity is now 3000, but you cannot open additional positions because your available cash is still 0, and under the ESMA rules IM and MM remain unchanged:

  Cash Equity Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Change 2000 3000 100 110 11000 1000 2000 1000 0 No

 The price then drops to 95. Your equity declines to 1500 but there is no margin violation since it is still greater than the 1000 requirement:

  Cash Equity Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Change 2000 1500 100 95 9500 (500) 2000 1000 0 No

The price falls further to 85, causing a margin violation and triggering a liquidation:

  Cash Equity Position Price Value Unrealized P&L IM MM Available Cash MM Violation
Change 2000 500 100 85 8500 (1500) 2000 1000 0 Yes

 

3 Negative Equity Protection

The ESMA Decision limits your CFD-related liability to the funds dedicated to CFD-trading. Other financial instruments (e.g. shares or futures) cannot be liquidated to satisfy a CFD margin-deficit.*

Therefore assets in the security and commodity segments of your main account, and non-CFD assets held in the F-segment, are not part of your capital at risk for CFD trading. However, all cash in the F-segment can be used to cover losses arising from CFD trading.

As Negative Equity Protection represents additional risk to IBKR, we will charge retail investors an additional financing spread of 1% for CFD positions held overnight. You can find detailed CFD financing rates here.

*Although we cannot liquidate non-CFD positions to cover a CFD deficit, we can liquidate CFD positions to cover a non-CFD deficit.

4 Incentives Offered to trade CFDs

The ESMA Decision imposes a ban on monetary and certain types of non-monetary benefits related to CFD trading. IBKR does not offer any bonus or other incentives to trade CFDs.

 

Risk Navigator: Alternative Margin Calculator

Overview: 

IB routinely reviews margin levels and will implement changes which serve to increase requirements above statutory minimums as market conditions warrant.  To assist clients with understanding the effects of such changes on their portfolio, a feature referred to as the "Alternative Margin Calculator" is provided within the Risk Navigator application. Outlined below are the steps for creating a “what-if” portfolio for the purpose of determining the impact of such margin changes.

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 (Exhibit1).

Exhibit 1
 

From the Mosaic TWS trading platform, select New Window, 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.


Risk Dashboard

The Risk Dashboard is pinned along the top of the product tab-sets, and is and is available for what-if as well as active portfolios. The values are calculated on demand for what-if portfolios. The dashboard provides at-a-glance account information including:

1) Net Liquidation Value: The total Net Liquidation Value for the account
2) P&L: The total daily P&L for the entire portfolio
3) Maintenance Margin: Total current maintenance margin
4) Initial Margin: Total initial margin requirements
5) VAR: Shows the Value at risk for the entire portfolio
6) Expected Shortfall (ES): Expected Shortfall (average value at risk) is expected return of the portfolio in the worst case
 

 

Alternative Margin Calculator

The Alternative Margin Calculator, accessed from the Setting menu and clicking on the Margin Mode (Exhibit 3), shows how the margin change will affect the overall margin requirement, once fully implemented.

Exhibit 3
 

 

Step 3: Selecting Margin Mode Settings

A pop-up window will appear (Exhibit 4) entitled Margin Mode Setting. You can use the drop-down menu in that window to change the margin calculations from Default (being the current policy) to the new title of the new Margin Setting (being the new margin policy). Once you have made a selection click on the OK button in that window.

Exhibit 4
 

Once the new margin mode setting is specified, the Risk Navigator Dashboard will automatically update to reflect your choice. You can toggle back and forth between the Margin Mode settings. Note that the current Margin Mode will be shown in the lower left hand corner of the Risk Navigator window (Exhibit 5).

Exhibit 5
 

 

Step 4: 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 6), define the product type (Exhibit 7) and enter position quantity (Exhibit 8)

Exhibit 6
 

 

Exhibit 7

 

Exhibit 8

 

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.

 

Margin Considerations for IB LLC Commodities Accounts

Introduction
As a global broker offering futures trading in 19 countries, IB is subject to various regulations, some of which retain the concept of margin as a single, end of day computation as opposed to the continuous, real-time computations IB performs. To satisfy commodity regulatory requirements and manage economic exposure in a pragmatic fashion, two margin computations are performed at the market close, both which must be met to remain fully margin compliant. An overview of these computations is outlined below.

Overview
All orders are subject to an initial margin check prior to execution and continuous maintenance margin checks thereafter. As certain products may be offered intraday margin at rates less than the exchange minimum and to ensure end of day margin compliance overall, IB will generally liquidate positions prior to the close rather than issue a margin call. If, however, an account remains non-compliant at the close, our practice is to issue a margin call, restrict the account to margin reducing transactions and liquidate positions by the close of the 3rd business day if the initial requirement has not then been satisfied.

In determining whether a margin call is required, IB performs both a real-time and regulatory computation, which in certain circumstances, can generate different results:

Real-Time: under this method, initial margin is computed using positions and prices collected at a common point in time, regardless of a product’s listing exchange and official closing time; an approach we believe appropriate given the near continuous trading offered by most exchanges.

Regulatory: under this method, initial margin is computed using positions and prices collected at the official close of regular trading hours for each individual exchange. So, for example, a client trading futures listed on each of the Hong Kong, EUREX and CME exchanges would have a requirement calculated based upon information collected at the close of each respective exchange.
 

Impact
Clients trading futures listed within a single country and session are not expected to be impacted. Clients trading both the daytime and after hours sessions of a given exchange or on exchanges located in different countries where the closing times don’t align are more likely to be impacted. For example, a client opening a futures contract during the Hong Kong daytime session and closing it during U.S. hours, would have only the opening position considered for purposes of determining the margin requirement. This implies a different margin requirement and a possible margin call under the revised computation that may not have existed under the current.  An example of this is provided in the chart below.
 

Example

This example attempts to demonstrate how a client trading futures in both the Asia and U.S. timezones would be impacted were that client to trade in an extended hours trading session (i.e., outside of the regular trading hours after which the day's official close had been determined).  Here, the client opens a position during the Hong Kong regular hours trading session, closes it during the extended hours session, thereby freeing up equity to open a position in the U.S. regular hours session. For purposes of illustration, a $1,000 trading loss is assumed. This example illustrates that the regulatory end of day computation may not recognize margin reducing trades conducted after the official close, thereby generating an initial margin call.

Day Time (ET) Event

Start Position

End Position IB Margin Regulatory Margin
Equity With Loan Maintenance Initial Overnight Margin Call
1 22:00 Buy 1 HHI.HK None Long 1 HHI.HK $10,000 $3,594 $4,493 N/A N/A
2 04:30 Official HK Close Long 1 HHI.HK Long 1 HHI.HK $10,000 $7,942 $9,927 $4,493 N/A
2 08:00 Sell 1 HHI.HK Long 1 HHI.HK None $9,000 $0 $0 $0 N/A
2 10:00 Buy 1 ES None Long 1 ES $9,000 $2,942 $3,677 N/A N/A
2 17:00 Official U.S. Close Long 1 ES Long 1 ES $9,000 $5,884 $7,355 $9,993 Yes
3 17:00 Official U.S. Close Long 1 ES Long 1 ES $9,000 $5,884 $7,355 $5,500 No

 

Biotechnology and Pharmaceutical Sector Margin Requirements

Due to increased event risk in the Biotechnology and Pharmaceutical sectors, margin requirements which take into consideration the market capitalization of the individual security will go into effect starting October 11, 2016. These Initial, Maintenance and Short position margin requirements are outlined in the table below.  Please note that these represent minimum requirements and individual securities may be subject to other house charges which may result in a higher Initial, Maintenance or Short margin requirement.  In the event that a company's market cap increases to a new range, there are several variables that will be considered prior to reducing the margin requirement.  

Please refer to KB644 to learn about the Preview Order/Check Margin feature which offers the ability to review the projected margin impact of an order prior to its transmission.
 


 

 

 

 

 

IBKR股票差價合約概述

下方文章對IBKR發行的股票差價合約(CFD)進行了總體介紹。

有關IBKR指數差價合約的信息,請點擊此處。有關外匯差價合約的信息,請點擊此處

涵蓋主題如下:

I.   差價合約定義
II.   差價合約與底層股票之比較
III. 成本與保證金
IV. 范例
V.   差價合約的相關資源
VI. 常見問題

 

風險警告

差價合約屬於復雜金融產品,其交易存在高風險,由於杠杆的作用,可能會出現迅速虧損。

在通過IBKR(UK)交易差價合約時,有67%的零售投資者賬戶出現了虧損。

您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。

ESMA差價合約規定(僅限零售客戶)

歐洲證券與市場管理局(ESMA)頒布了新的差價合約規定,自2018年8月1日起生效。

新規包括:1) 開倉差價合約頭寸的杠杆限制;2) 以單個賬戶為單位的保證金平倉規則;以及3) 以單個賬戶為單位的負余額保護規則;

ESMA新規僅適用於零售客戶。專業客戶不受影響。

請參見ESMA差價合約新規推行了解更多詳細信息。

I. 股票差價合約定義

IBKR差價合約是場外交易合約,提供底層股票的收益,包括股息與公司行動(了解更多有關差價合約公司行動的信息)。

換句話說,這是買家(您)與IBKR就交易一只股票當前價值與未來價值之差額而達成的協定。如果您持有多頭頭寸,且差額為正,則IBKR會付錢給您。而如果差額為負,則您應向IBKR付錢。

IBKR股票差價合約通過您的保證金賬戶進行交易,因此您可建立多頭以及空頭杠杆頭寸。差價合約的價格即是底層股票的交易所報價。實際上,IBKR差價合約報價與股票的智能傳遞報價(可在TWS中查看)相衕,且IBKR提供直接市場接入(DMA)。與股票類似,您的非適銷(即限價)定單會使底層對沖直接呈現在其進行交易之交易所的深度定單冊中。 這也意味著您可以下單以底層買價買入差價合約或以底層賣價賣出差價合約。

要將IBKR透明的差價合約模型與市場上其他差價合約進行比較,請參見我們的差價合約市場模型概述

IBKR目前提供約7100只股票差價合約,覆蓋美國、歐洲和亞洲的主要市場。下表所列的主要指數其成分股目前都可做IBKR股票差價合約。在許多國家,IBKR還可供交易高流動性小槃股。這些股票自由流通量調整市值至少為5億美元,每日交易量中間值至少為60萬美元。 詳情請見差價合約產品列表。不久將會增加更多國家。

美國 標普500、道瓊斯股價平均指數、納斯達克100、標普400中槃股、高流動性小槃股
英國 富時350 + 高流動性小槃股(包括IOB)
德國 Dax、MDax、TecDax + 高流動性小槃股
瑞士 斯托克歐洲600指數(48只股票)+ 高流動性小槃股
法國 CAC大槃股、CAC中槃股 + 高流動性小槃股
荷蘭 AEX、AMS中槃股 + 高流動性小槃
比利時 BEL 20、BEL中槃股 + 高流動性小槃
西班牙 IBEX 35 + 高流動性小槃股
葡萄牙 PSI 20
瑞典 OMX斯德哥爾摩30指數 + 高流動性小槃股
芬蘭 OMX赫爾辛基25指數 + 高流動性小槃股
丹麥 OMX哥本哈根30指數 + 高流動性小槃股
挪威 OBX
捷克 PX
日本 日經225指數 + 高流動性小槃股
香港 恆生指數 + 高流動性小槃股
澳大利亞 ASX 200指數 + 高流動性小槃股
新加坡* 海峽時報指數 + 高流動性小槃股
南非 Top 40 + 高流動性小槃股

 *對新加坡居民不可用

II.   差價合約與底層股票之比較

取決於您的交易目標和交易風格,差價合約相對於股票有著許多優勢,但也存在一些不足之處:
 
IBKR差價合約的優勢 IBKR差價合約的缺點
無印花稅和金融交易稅(英國、法國、比利時) 無股權
佣金和保證金利率通常比股票低 復雜公司行動并不總能完全復制
股息享受稅務協定稅率,無需重新申請 收益的徵稅可能與股票有所不衕(請咨詢您的稅務顧問)
不受即日交易規則限制  

III. 成本與保證金

在歐洲股票市場,IBKR差價合約可以比IB極具競爭力的股票產品更加高效。

首先,IBKR差價合約佣金比股票低,且有著與股票一樣低的融資點差:

歐洲   差價合約 股票
佣金 GBP 0.05% 英鎊6.00 + 0.05%*
EUR 0.05% 0.10%
融資** 基准+/- 1.50% 1.50%

*每單 + 超出5萬英鎊部分的0.05%
**對於差價合約是總頭寸價值的融資;對於股票是借用金額的融資

交易量更大時,差價合約佣金會變得更低,最低至0.02%。頭寸更大時,融資利率也會降低,最低至0.5%。 詳情請參見差價合約佣金差價合約融資利率

其次,差價合約的保證金要求比股票低。零售客戶須滿足歐洲監管機搆ESMA規定的額外保證金要求。請參見ESMA差價合約新規推行了解詳細信息。

  差價合約 股票
  所有 標准 投資組合保證金
維持保證金要求*

10%

25% - 50% 15%

*藍籌股特有保證金。零售客戶最低初始保證金要求為20%。股票標准的25%日內維持保證金,50%隔夜保證金。 顯示的投資組合保證金為維持保證金(包括隔夜)。波動較大的股票保證金要求更高

請參見CFD保證金要求了解更多詳細信息。


IV. 范例(專業客戶)

讓我們來看一下例子。聯合利華在阿姆斯特丹的掛牌股票在過去一個月(2012年5月14日前20個交易日)回報率為3.2%,您認為其會繼續有良好表現。您想建立20萬歐元的倉位,并持倉5天。您以10筆交易建倉并以10筆交易平倉。您的直接成本如下:

股票

  差價合約 股票
200,000歐元頭寸   標准 投資組合保證金
保證金要求 20,000 100,000 30,000
佣金(雙向) 200.00 400.00 400.00
利率(簡化) 1.50% 1.50% 1.50%
融資金額 200,000 100,000 170,000
融資天數  5 5 5
利息支出(1.5%的簡化利率) 41.67 20.83 35.42
總計直接成本(佣金+利息) 241.67 420.83 435.42
成本差額   高74% 高80%

注意:差價合約的利息支出根據總的合約頭寸進行計算,而股票的利息支出則是根據借用金額進行計算。股票和差價合約的適用利率相衕。

 

但是,假設您只有2萬歐元可用來做保證金。如果聯合利華繼續上月的表現,您的潛在盈利比較如下:  

杠杆回報 差價合約 股票
可用保證金 20,000 20,000 20,000
總投入 200,000 40,000 133,333
總收益(5天) 1,600 320 1,066.66
佣金 200.00 80.00 266.67
利息支出(1.5%的簡化利率) 41.67 4.17 23.61
總計直接成本(佣金+利息) 241.67 84.17 290.28
淨收益(總收益減去直接成本) 1,358.33 235.83 776.39
保證金投資金額回報 0.07 0.01 0.04
差額   收益少83% 收益少43%

 

杠杆風險 差價合約 股票
可用保證金 20,000 20,000 20,000
總投入 200,000 40,000 133,333
總收益(5天) -1,600 -320 -1,066.66
佣金 200.00 80.00 266.67
利息支出(1.5%的簡化利率) 41.67 4.17 23.61
總計直接成本(佣金+利息) 241.67 84.17 290.28
淨收益(總收益減去直接成本) -1,841.67 -404.17 -1,356.94
差額   損失少78% 損失少26%

 

V.   差價合約相關資源

下方鏈接可幫助您了解更多有關IBKR差價合約產品的詳細信息:

差價合約參數

差價合約產品列表

差價合約佣金

差價合約融資利率

差價合約保證金要求

差價合約公司行動

還可參看以下視頻教程:

如何在TWS中進行差價合約交易

 

VI. 常見問題

什么股票可進行差價合約交易?

美國、西歐、北歐與日本的大槃和中槃股股票。許多市場上的高流動性小槃股也可以。請參見差價合約產品列表了解更多詳細信息。不久將會增加更多國家。

 

IB提供股票指數和外匯的差價合約嗎?

是的。請參見IBKR指數差價合約 - 事實與常見問題以及外匯差價合約 - 事實與常見問題

 

IB如何確定股票差價合約報價?

IBKR差價合約報價與底層股票的智能傳遞報價相衕。IBKR不會擴大價差或與您對賭。要了解更多信息,請參見差價合約市場模型概述

 

我能看到自己的限價定單反映在交易所中嗎?

是的。IBKR提供直接市場接入(DMA),這樣您的非適銷(即限價)定單會使底層對沖直接呈現在其進行交易之交易所的深度定單冊中。這也意味著您可以下單以底層買價買入差價合約或以底層賣價賣出差價合約。此外,如果其他客戶的定單以優於公開市場的價格與您的定單交叉,您還可能會獲得價格改善。

 

IB如何確定股票差價合約的保證金?

IBKR根據每只底層股票的曆史波動率建立了基於風險的保證金要求機制。最低保證金為10%。 大多數IBKR差價合約都應用該保證金率,這使差價合約在大多數情況下都比底層股票交易更具效率。 零售客戶須滿足歐洲監管機搆ESMA規定的額外保證金

要求。 請參見ESMA差價合約新規推行了解詳細信息。單個差價合約頭寸之間或差價合約與底層股票頭寸之間沒有投資組合抵消。集中頭寸和超大頭寸可能需要准備額外的保證金。請參見差價合約保證金要求了解更多詳細信息。

 

空頭股票差價合約會要強制補倉嗎?

是的。如果底層股票很難或者根本不可能借到,則空頭差價合約頭寸的持有者將需要進行補倉。

 

IB如何處理股息和公司行動?

IBKR通常會為差價合約持有者反映公司行動的經濟效應,就好像他們一直持有著底層證券一樣。股息會表現為現金調整,而其他行動則會通過現金或頭寸調整表現。例如,如果公司行動導致股票數量發生變化(如股票分隔和逆向股票分隔),差價合約的數量也會相應地進行調整。如果行動導致產生新的上市實體,且IBKR決定將其股票作為差價合約交易,則需要創建適當數量之新的多頭或空頭頭寸。要了解概述信息,請參見差價合約公司行動

*請注意,某些情況下對於合并等復雜公司行動可能無法對差價合約進行准確調整。這時候,IBKR可能會在除息日前終止差價合約。

 

任何人都能交易IBKR差價合約嗎?

除美國、加拿大和香港的居民,其他所有客戶都能交易IBKR差價合約。新加坡居民可交易除新加坡上市之股票差價合約以外的其它IBKR差價合約。任何投資者類型都不能免於這一基於居住地的限制。

 

我需要做什么才可以開始在IBKR交易差價合約?

您需要在賬戶管理中設置差價合約交易許可,并衕意相關交易披露。如果您的賬戶是在IB LLC開立,則IBKR將設置一個新的賬戶板塊(即您當前的賬戶號碼加上后綴“F”)。設置確認后您便可以開始交易了。您無需單獨為F賬戶注資,資金會從您的主賬戶自動轉入以滿足差價合約保證金要求。  

有什么市場數據要求嗎?

IBKR股票差價合約的市場數據便是底層股票的市場數據。因此需要具備相關交易所的市場數據許可。如果您已經為股票交易設置了交易所的市場數據許可,那么就無需再進行任何操作。如果您想在當前并無市場數據許可的交易所交易差價合約,您可以設置許可,操作與底層股票的市場數據許可設置相衕。

 

差價合約交易與頭寸在報表中如何反映?

如果您是在IB LLC持有賬戶,且您的差價合約頭寸持有在單獨的賬戶板塊(主賬戶號碼加后綴“F”)中。您可以選擇單獨查看F板塊的活動報表,也可以選擇與主賬戶合并查看。您可在賬戶管理的報表窗口進行選擇。對於其他賬戶,差價合約通常會與其他交易產品一起在您的賬戶報表中顯示。

 

我可以從其他經紀商處轉入差價合約頭寸嗎?

IBKR當前不支持差價合約頭寸轉賬。

 

股票差價合約可以使用圖表功能嗎?

是的。

 在IBKR交易差價合約有什么賬戶保護?

差價合約以IB英國作為您的交易對方,不是在受監管的交易所進行交易,也不是在中央結算所進行結算。因IB英國是您差價合約交易的對方,您會面臨與IB英國交易相關的財務和商業風險,包括信用風險。但請注意,所有客戶資金永遠都是完全隔離的,包括對機搆客戶。IB英國是英國金融服務補償計划(“FSCS”)參與者。IB英國不是美國證券投資者保護公司(“SIPC”)成員。請參見IB英國差價合約風險披露文件了解有關差價合約交易風險的詳細信息。

 

在哪種類型(如個人、朋友和家庭、機搆等)的IBKR賬戶中可交易差價合約? 

所有保證金賬戶均可進行差價合約交易。現金賬戶和SIPP賬戶不能。

 

在某一特定差價合約中我最多可持有多少頭寸?

沒有預設限制。但請注意,超大頭寸可能會有更高保證金要求。請參見CFD保證金要求了解更多詳細信息。

 

我能否通過電話交易差價合約?

不要。在極端情況下我們可能衕意通過電話處理平倉定單,但絕不會通過電話處理開倉定單。

 

 

差價合約屬於復雜金融產品,其交易存在高風險,由於杠杆的作用,可能會出現迅速虧損。

在通過IBKR(UK)交易差價合約時,有67%的零售投資者賬戶出現了虧損。

您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。

ESMA規定

歐洲證券與市場管理局(ESMA)發布臨時產品干涉措施,自2018年8月1日起生效。

ESMA決議實施的限制包括:1) 開倉差價合約頭寸的杠杆限制;2) 以單個賬戶為單位的保證金平倉規則;3) 以單個賬戶為單位的負余額保護規則;4) 對交易差價合約激勵措施的限制;以及5) 標准的風險警告。

ESMA新規僅適用於零售客戶。 專業客戶不受影響。

 

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