保證金計算方法概況
簡介
計算給定持倉的保證金要求的方法很大程度上受以下三種因素影響：
1. 産品類型；
2. 産品上市的交易所及/或管轄經紀商的主要監管機構的規則；
3. IBKR“公司內部”要求。
雖然有多種計算保證金要求的方法，但這些方法大致可被分爲兩類，即基于規則的保證金要求或基于風險的保證金要求。基于規則的保證金通常會對同類型的産品應用相同的保證金比例，不同産品之間不能相互抵消風險，且會以類似的方式對待衍生品和其底層産品。從這個角度上來看，這種方法計算簡單、其假設也易于執行，但這種假設往往會高估或低估一種産品相對于其歷史業績的風險。基于規則的保證金的一個常見的例子是美國的Reg. T保證金要求。
相反，基于風險的保證金計算方法往往試圖使保證金能反映産品的歷史業績，承認産品間風險的相互抵消，且力求通過數學定價模型測定衍生品的非綫性風險。這些方法雖然是直覺式的，但往往涉及客戶自己難以複製的計算過程。此外，計算過程的輸入變量可能依賴于觀察到的市場行爲，這可能導致計算結果快速、大幅波動。基于風險的保證金計算方法包括TIMS和SPAN。
不論計算方法基于規則還是基于風險，大部分經紀商都會應用“公司內部”保證金要求。當經紀商認爲特定情况的風險敞口大于法定或基礎保證金能够保障的部分，“公司內部”保證金將提出比基礎保證金更高的要求。下文概述了最常見的基于風險的保證金計算方法和基于規則的保證金計算方法。
方法概述
基于風險的保證金
a. 投資組合保證金（TIMS） – “理論市場間保證金系統”（TIMS）是期權清算公司（OCC）創造的一種基于風險的保證金計算方法，該方法會假設一系列市場情境，在這些市場情境下投資組合中證券的價格會發生變動、持倉的價值會被重估，基于此來計算投資組合的價值。該方法會使用期權定價模型來重估期權的價值，幷通過敝公司在OCC情境基礎上假設的一系列更爲嚴苛的情境來評估投資組合的風險，這些更嚴苛的情境旨在捕捉諸如極端市場波動、集中持倉或期權隱含波動率變動等額外的風險。此外，某些證券（如粉單、OTCBB或小市值股票）可能無法進行保證金交易。估算出每種情境下的投資組合價值後，預計損失最大的情境將被用于計算保證金要求。
TIMS方法適用的持倉包括美國股票、ETF、期權、個股期貨、以及滿足美國證監會現成市場測試的非美國股票和期權。
由于這種方法的計算過程比基于規則的方法複雜得多，它往往能更準確地估計風險，進而提供更高的杠杆。鑒于TIMS能够提供更高的杠杆且保證金要求會上下浮動幷快速響應不斷變化的市場情况，這種方法主要面向成熟的交易者且要求賬戶的淨清算價值不少于110,000美元方可啓用，後期也需要將淨清算價值維持在100,000美元以上。該方法下的股票保證金要求通常在15%-30%。如果投資組合內的股票分散程度高、歷史波動性較低且常常有期權做對沖，則投資組合可能還能享受更優惠的保證金比例。
b. SPAN – “標準投資組合風險分析”（SPAN）是芝加哥商品交易所（CME）專門針對期貨和期貨期權設計的一種基于風險的保證金要求計算方法。與TIMS類似，SPAN會假設一系列市場情境，在這些情境下底層證券的價格和期權的隱含波動率會發生變動，在此基礎上估算投資組合的價值，進而確定保證金要求。同樣，IBKR會在這些假設中納入公司內部的情境，以預防極端的價格波動，以及此類波動可能對深度價外期權産生的特定影響。損失最大的情境估算的值將作爲保證金要求。有關SPAN保證金系統的詳細介紹，請見知識庫文章563。
基于規則的保證金
a. Reg. T – 美國的中央銀行聯邦儲備委員會的職能是負責維護金融系統的穩定及防範金融市場可能出現的系統性風險。在一定程度上，這一職能是通過監管自營經紀商可向客戶提供的貸款數額來實現的（客戶可通過保證金貸款買入證券）。
具體而言，即通過法規T（常被稱爲Reg. T）來監管。Reg.T規定了客戶須開立保證金賬戶，幷給出了初始保證金要求及對某些證券交易應用的支付規則。比如，對于買入股票，Reg. T目前要求客戶存入相當于其買入價值50%的初始保證金，幷允許經紀商通過貸款提供剩餘50%的資金。比如，賬戶持有人如要買入價值1000美元的證券，則必須存入500美元，但可以借入500美元以持有這些證券。
Reg. T只規定了初始保證金要求，而維持保證金要求（即開倉後繼續持有該倉位所需的資金）是由交易所規定的（對于股票，維持保證金要求是25%）。Reg. T也未規定期權的保證金要求，因爲這属于期權産品上市的交易所的管轄範圍，須經美國證監會批准。Reg.T賬戶中持有的期權還須應用基于規則的方法，即空頭被當成股票等價物處理、價差交易可减免保證金要求。最後，符合要求的投資組合保證金賬戶中的持倉無需滿足Reg. T要求。
更多信息
2020 年美國大選保證金增加
考慮到即將發生的美國總統選舉帶來的潛在市場波動，盈透證券將針對所有在美國交易的股
指期貨、衍生品及在大阪證券交易所（OSE.JPN）上市的道瓊斯期貨提高保證金要求。
客戶如持有美國股指期貨及其衍生品及/或在大阪證券交易所上市的道瓊斯期貨頭寸，請知
悉，保證金要求預計將在正常水準上提高35%左右。保證金要求將在20 個自然日內逐步提
高，其中維持保證金將從2020年10月5日起提高，直至2020年10月30日。
下表列舉了一些常見產品預計發生的保證金變動
| 期貨代碼 | 描述 | 上市交易所 | 交易類型 | 當前比例（價 格掃描範圍） * |
預計比例（價 格掃描範圍） |
| ES | E-mini S&P500 | GLOBEX | ES | 7.13 | 9.63 |
| YM | Mini DJIA | ECBOT | YM | 6.14 | 8.29 |
| RTY | Russel 200 | GLOBEX | RTY | 6.79 | 9.17 |
| NQ | NASDAQ E-mini | GLOBEX | NQ | 6.57 | 8.87 |
| DJIA | OSE 道瓊斯 工業平均 |
OSE.JPN | DJIA | 5.14 | 6.94 |
*截至2020年10月2日開市。
注：IBKR 的風險漫遊工具能幫助您評估最新的維持保證金要求對您現有的投資組合或您想
構建或測試的其它投資組合有何影響。有關“替代保證金計算器”的更多信息，請見知識庫
文章2957：風險漫遊：替代保證金計算器，並在風險漫遊的保證金模式設置下選擇“美國
大選保證金”。
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.
