SEC Tick Size Pilot Program

Background

Effective October 3, 2016, securities exchanges registered with the SEC will operate a Tick Size Pilot Program ("Pilot") intended to determine what impact, if any, widening of the minimum price change (i.e., tick size) will have on the trading, liquidity, and market quality of small cap stocks.  The Pilot will last for 2 years and it will include approximately 1,200 securities having a market capitalization of $3 billion or less, average daily trading volume of 1 million shares or less, and a volume weighted average price of at least $2.00.

For purposes of the Pilot, these securities will be organized into groups that will determine a minimum tick size for both quote display and trading purposes. For example, Test Group 1 will consist of securities to be quoted in $0.05 increments and traded in $0.01 increments and Test Group 2 will include securities both quoted and traded in $0.05 increments.  Test Group 3 will include also include securities both quoted and traded in $0.05 increments, but subject to Trade-at rules (more fully explained in the Rule). In addition, there will be a Control Group of securities that will continue to be quoted and traded in increments of $0.01. Details as to the Pilot and securities groupings are available on the FINRA website.

 

Impact to IB Account Holders 

In order to comply with the SEC Rules associated with this Pilot, IB will change the way that it accepts orders in stocks included in the Pilot.  Specifically, starting October 3, 2016 and in accordance with the phase-in schedule, IB will reject the following orders associated with Pilot Securities assigned to Test Groups:

  • Limit orders having an explicit limit that is not entered in an increment of $0.05;
  • Stop or Stop Limit orders having an explicit limit that is not entered in an increment of $0.05; and
     
  • Orders having a price offset that is not entered in an increment of $0.05.  Note that this does not apply to offsets which are percentage based and which therefore allow IB to calculate the permissible nickel increment

 Clients submitting orders via the trading platform that are subject to rejection will receive the following pop-up message:

 

 The following order types will continue to be accepted for Pilot Program Securities:

  • Market orders;
  • Benchmark orders having no impermissible offsets (e.g., VWAP, TVWAP);
  • Pegged orders having no impermissible offsets ;
  • Retail Price Improvement Orders routed to the NASDAQ-BX and NYSE as follows:
    - Test Group 1 in .001

      - Test Group 2 and 3 in .005

     
 

Other Items of Note

  • GTC orders entered prior to the start of the Pilot that would be rejected if entered afterwards will be cancelled upon start of the Pilot.
  • Clients generating orders via third-party software (e.g., signal provider), order management system, computer to computer interfaces (CTCI) or through the API, should contact their vendor or review their systems to ensure that all systems recognize the Pilot restrictions.
  • Incoming orders to IB that are marked with TSP exception codes from other Broker Dealers will not be acted upon by IB. For example, IB will not accept incoming orders marked with the Retail Investor Order or Trade-At ISO exception codes.
  • The SEC order associated with this Pilot is available via the following link: https://www.sec.gov/rules/sro/nms/2015/34-74892-exa.pdf
  • For a list of Pilot Program related FAQs, please see KB2750

 

Please note that the contents of this article are subject to revision as further regulatory guidance or changes to the Pilot Program are issued.

 

 

Allocation of Partial Fills

Title:

How are executions allocated when an order receives a partial fill because an insufficient quantity is available to complete the allocation of shares/contracts to sub-accounts?

 

Overview:

From time-to-time, one may experience an allocation order which is partially executed and is canceled prior to being completed (i.e. market closes, contract expires, halts due to news, prices move in an unfavorable direction, etc.). In such cases, IB determines which customers (who were originally included in the order group and/or profile) will receive the executed shares/contracts. The methodology used by IB to impartially determine who receives the shares/contacts in the event of a partial fill is described in this article.

 

Background:

Before placing an order CTAs and FAs are given the ability to predetermine the method by which an execution is to be allocated amongst client accounts. They can do so by first creating a group (i.e. ratio/percentage) or profile (i.e. specific amount) wherein a distinct number of shares/contracts are specified per client account (i.e. pre-trade allocation). These amounts can be prearranged based on certain account values including the clients’ Net Liquidation Total, Available Equity, etc., or indicated prior to the order execution using Ratios, Percentages, etc. Each group and/or profile is generally created with the assumption that the order will be executed in full. However, as we will see, this is not always the case. Therefore, we are providing examples that describe and demonstrate the process used to allocate partial executions with pre-defined groups and/or profiles and how the allocations are determined.

Here is the list of allocation methods with brief descriptions about how they work.

·         AvailableEquity
Use sub account’ available equality value as ratio. 

·         NetLiq
Use subaccount’ net liquidation value as ratio

·         EqualQuantity
Same ratio for each account

·         PctChange1:Portion of the allocation logic is in Trader Workstation (the initial calculation of the desired quantities per account).

·         Profile

The ratio is prescribed by the user

·         Inline Profile

The ratio is prescribed by the user.

·         Model1:
Roughly speaking, we use each account NLV in the model as the desired ratio. It is possible to dynamically add (invest) or remove (divest) accounts to/from a model, which can change allocation of the existing orders.

 

 

 

Basic Examples:

Details:

CTA/FA has 3-clients with a predefined profile titled “XYZ commodities” for orders of 50 contracts which (upon execution) are allocated as follows:

Account (A) = 25 contracts

Account (B) = 15 contracts

Account (C) = 10 contracts

 

Example #1:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 10 am (ET) the order begins to execute2but in very small portions and over a very long period of time. At 2 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 7 of the 50 contracts are filled or 14%). For each account the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 14% of 25 = 3.5 rounded down to 3

Account (B) = 14% of 15 = 2.1 rounded down to 2

Account (C) = 14% of 10 = 1.4 rounded down to 1

 

To Summarize:

A: initially receives 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: initially receives 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. Account C which currently has a ratio of 0.10).

A: final allocation of 3 contracts, which is 3/25 of desired (fill ratio = 0.12)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 2 contract, which is 2/10 of desired (fill ratio = 0.20)

The execution(s) received have now been allocated in full.

 

Example #2:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be filled3 but in very small portions and over a very long period of time. At 1 pm (ET) the order is canceled prior being executed in full. As a result, only a portion of the order is executed (i.e., 5 of the 50 contracts are filled or 10%).For each account, the system initially allocates by rounding fractional amounts down to whole numbers:

 

Account (A) = 10% of 25 = 2.5 rounded down to 2

Account (B) = 10% of 15 = 1.5 rounded down to 1

Account (C) = 10% of 10 = 1 (no rounding necessary)

 

To Summarize:

A: initially receives 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: initially receives 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: initially receives 1 contract, which is 1/10 of desired (fill ratio = 0.10)

The system then allocates the next (and final) contract to an account with the smallest ratio (i.e. to Account B which currently has a ratio of 0.067).

A: final allocation of 2 contracts, which is 2/25 of desired (fill ratio = 0.08)

B: final allocation of 2 contracts, which is 2/15 of desired (fill ratio = 0.134)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

Example #3:

CTA/FA creates a DAY order to buy 50 Sept 2016 XYZ future contracts and specifies “XYZ commodities” as the predefined allocation profile. Upon transmission at 11 am (ET) the order begins to be executed2  but in very small portions and over a very long period of time. At 12 pm (ET) the order is canceled prior to being executed in full. As a result, only a portion of the order is filled (i.e., 3 of the 50 contracts are filled or 6%). Normally the system initially allocates by rounding fractional amounts down to whole numbers, however for a fill size of less than 4 shares/contracts, IB first allocates based on the following random allocation methodology.

 

In this case, since the fill size is 3, we skip the rounding fractional amounts down.

 

For the first share/contract, all A, B and C have the same initial fill ratio and fill quantity, so we randomly pick an account and allocate this share/contract. The system randomly chose account A for allocation of the first share/contract.

 

To Summarize3:

A: initially receives 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: initially receives 0 contracts, which is 0/15 of desired (fill ratio = 0.00)

C: initially receives 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

Next, the system will perform a random allocation amongst the remaining accounts (in this case accounts B & C, each with an equal probability) to determine who will receive the next share/contract.

 

The system randomly chose account B for allocation of the second share/contract.

A: 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: 0 contracts, which is 0/10 of desired (fill ratio = 0.00)

 

The system then allocates the final [3] share/contract to an account(s) with the smallest ratio (i.e. Account C which currently has a ratio of 0.00).

A: final allocation of 1 contract, which is 1/25 of desired (fill ratio = 0.04)

B: final allocation of 1 contract, which is 1/15 of desired (fill ratio = 0.067)

C: final allocation of 1 contract, which is 1/10 of desired (fill ratio = 0.10)

 

The execution(s) received have now been allocated in full.

 

Available allocation Flags

Besides the allocation methods above, user can choose the following flags, which also influence the allocation:

·         Strict per-account allocation.
For the initially submitted order if one or more subaccounts are rejected by the credit checking, we reject the whole order.

·         “Close positions first”1.This is the default handling mode for all orders which close a position (whether or not they are also opening position on the other side or not). The calculation are slightly different and ensure that we do not start opening position for one account if another account still has a position to close, except in few more complex cases.


Other factor affects allocations:

1)      Mutual Fund: the allocation has two steps. The first execution report is received before market open. We allocate based onMonetaryValue for buy order and MonetaryValueShares for sell order. Later, when second execution report which has the NetAssetValue comes, we do the final allocation based on first allocation report.

2)      Allocate in Lot Size: if a user chooses (thru account config) to prefer whole-lot allocations for stocks, the calculations are more complex and will be described in the next version of this document.

3)      Combo allocation1: we allocate combo trades as a unit, resulting in slightly different calculations.

4)      Long/short split1: applied to orders for stocks, warrants or structured products. When allocating long sell orders, we only allocate to accounts which have long position: resulting in calculations being more complex.

5)      For non-guaranteed smart combo: we do allocation by each leg instead of combo.

6)      In case of trade bust or correction1: the allocations are adjusted using more complex logic.

7)      Account exclusion1: Some subaccounts could be excluded from allocation for the following reasons, no trading permission, employee restriction, broker restriction, RejectIfOpening, prop account restrictions, dynamic size violation, MoneyMarketRules restriction for mutual fund. We do not allocate to excluded accountsand we cancel the order after other accounts are filled. In case of partial restriction (e.g. account is permitted to close but not to open, or account has enough excess liquidity only for a portion of the desired position).

 

 

Footnotes:

1.        Details of these calculations will be included in the next revision of this document.

2.        To continue observing margin in each account on a real-time basis, IB allocates each trade immediately (behind the scenes) however from the CTA and/or FA (or client’s) point of view, the final distribution of the execution at an average price typically occurs when the trade is executed in full, is canceled or at the end of day (whichever happens first).

3.       If no account has a ratio greater than 1.0 or multiple accounts are tied in the final step (i.e. ratio = 0.00), the first step is skipped and allocation of the first share/contract is decided via step two (i.e. random allocation).

 

SEC Tick Size Pilot Program FAQs

Tick Size Pilot ("TSP" or "Pilot") Program:

Under the TSP Program,  if IB receives any order in a Pilot Security that does not conform to the designated pricing increment (e.g., a limit price in a $0.01 increment for a security designated as trading $0.05 increments), IB will REJECT that order, subject to limited exceptions. IB strongly encourages a thorough review of your software or your vendor’s software to understand the criteria for what causes an order in a Pilot Security to be rejected to permit you or your vendor to make changes to correctly handle orders in Test Group Pilot Securities.
 

FREQUENTLY ASKED QUESTIONS:

Q: What is the Tick Size Pilot?
A: On May 6, 2015 the SEC approved an amended TSP NMS Plan. The Pilot will be two years in length. Data collection for the Pilot began on April 4, 2016, 6 months prior to the implementation of the trading and quoting rules for the Pilot. Implementation of the trading and quoting rules for the Pilot will begin on October 3, 2016.

The Pilot will be conducted using a Control Group and three Test Groups where variations in quoting and trading rules exist between each group. Please see the TSP NMS Plan for additional information.

 

Q: Will the Pilot quoting and trading rules apply during regular market hours, pre-market hours and post market hours?
A: The Pilot rules apply during all operational hours (pre-market, regular hours, and post market hours trading).

 

Q: Will the Pilot quoting and trading rules apply to odd-lot and mixed-lot sizes?
A: Yes, the Pilot rules to all order sizes.

 

Q: Will orders in Control Group Securities be accepted in price increments of less than $0.05?
A: Yes, orders submitted in price increments of less than $0.05 will continue to be accepted in Control Group securities.

 

Q: Will orders in a Test Group 1, 2 or 3 Pilot Securities be accepted in price increments of less than $0.05?
A: No, unless covered by an exception, orders submitted in price increments of less than $0.05 will be rejected.

 

Q: Which Pilot Security Orders in Test Groups will Interactive Brokers accept at other than $0.05 increments?
        Midpoint orders with no explicitly stated limit price or impermissible offsets will be accepted
        VWAP orders which do not have an explicitly stated limit price or impermissible offsets will be accepted.
        Interactive Brokers will accept Exchange operated Retail Price Improvement orders as follows:
                  Test Group 1 in $0.001 price increments
                  Test Groups 2 and 3 in $0.005 price increments.

 

Q: Will there be any changes to the Opening / Closing processes on Exchanges?
A: Please refer to each of the exchange rules for details but in general there will be no changes to the Opening / Closing process. All orders entered and eligible to participate in Exchange Opening / Closing Cross will be accepted in increments of $0.05. The Exchanges will begin publishing all quotes in increments of $0.05; however, Net Order Imbalance Indicator prices may be published in increments of $0.025.

 

Q: What will happen to my GTC order that was placed prior to October 3rd in a Pilot Stock that was priced in impermissible tick increments?
A: Interactive Brokers will cancel all outstanding GTC orders in Pilot stocks in Test Groups that are not in permissible tick increments with respect to limit, stop and offset prices.

 

Q: What will happen to my GTC order placed after October 3rd that was placed and accepted in a nickel tick increment but the Pilot Stock moves from a Test Group to the Control Group which permits non-nickel increments?
A: The GTC order will automatically be able to be revised by the user in non-nickel increments on the date the Pilot stock moves from the Test Group to the Control Group. Similarly, if a stock gets added to Test Group due to a corporate action, IB will cancel the GTC order if it is priced in impermissible increments.

 

Q: Where can I find out more information?

A: See KB2752 or the FINRA website for additional details regarding the Pilot Program: http://www.finra.org/industry/tick-size-pilot-program

Additional Information Regarding the Use of Stop Orders

U.S. equity markets occasionally experience periods of extraordinary volatility and price dislocation. Sometimes these occurrences are prolonged and at other times they are of very short duration. Stop orders may play a role in contributing to downward price pressure and market volatility and may result in executions at prices very far from the trigger price. 

Investors may use stop sell orders to help protect a profit position in the event the price of a stock declines or to limit a loss. In addition, investors with a short position may use stop buy orders to help limit losses in the event of price increases. However, because stop orders, once triggered, become market orders, investors immediately face the same risks inherent with market orders – particularly during volatile market conditions when orders may be executed at prices materially above or below expected prices.
 
While stop orders may be a useful tool for investors to help monitor the price of their positions, stop orders are not without potential risks.  If you choose to trade using stop orders, please keep the following information in mind:
 
·         Stop prices are not guaranteed execution prices. A “stop order” becomes a “market order” when the “stop price” is reached and the resulting order is required to be executed fully and promptly at the current market price. Therefore, the price at which a stop order ultimately is executed may be very different from the investor’s “stop price.” Accordingly, while a customer may receive a prompt execution of a stop order that becomes a market order, during volatile market conditions, the execution price may be significantly different from the stop price, if the market is moving rapidly.
 
·         Stop orders may be triggered by a short-lived, dramatic price change. During periods of volatile market conditions, the price of a stock can move significantly in a short period of time and trigger an execution of a stop order (and the stock may later resume trading at its prior price level). Investors should understand that if their stop order is triggered under these circumstances, their order may be filled at an undesirable price, and the price may subsequently stabilize during the same trading day.
 
·         Sell stop orders may exacerbate price declines during times of extreme volatility. The activation of sell stop orders may add downward price pressure on a security. If triggered during a precipitous price decline, a sell stop order also is more likely to result in an execution well below the stop price.
 
·         Placing a “limit price” on a stop order may help manage some of these risks. A stop order with a “limit price” (a “stop limit” order) becomes a “limit order” when the stock reaches or exceeds the “stop price.” A “limit order” is an order to buy or sell a security for an amount no worse than a specific price (i.e., the “limit price”). By using a stop limit order instead of a regular stop order, a customer will receive additional certainty with respect to the price the customer receives for the stock. However, investors also should be aware that, because a sell order cannot be filled at a price that is lower (or a buy order for a price that is higher) than the limit price selected, there is the possibility that the order will not be filled at all. Customers should consider using limit orders in cases where they prioritize achieving a desired target price more than receiving an immediate execution irrespective of price.
 
·         The risks inherent in stop orders may be higher during illiquid market hours or around the open and close when markets may be more volatile. This may be of heightened importance for illiquid stocks, which may become even harder to sell at the then current price level and may experience added price dislocation during times of extraordinary market volatility. Customers should consider restricting the time of day during which a stop order may be triggered to prevent stop orders from activating during illiquid market hours or around the open and close when markets may be more volatile, and consider using other order types during these periods.
 
·         In light of the risks inherent in using stop orders, customers should carefully consider using other order types that may also be consistent with their trading needs.

Notice of Special Margin Requirements Relating to UK Referendum (BrExit)

NOTICE DATED 16 June 2016

On 23 June 2016, the UK will vote on a referendum (i.e., BrExit) to decide whether to remain a part of the European Union. This vote is expected to create substantial market volatility in the days leading up to the vote and perhaps even greater volatility should the final vote be for the UK to separate from the EU. The market consensus suggests that separation would lead to a weaker GBP, lower equity prices in the short term, and a possible secondary adverse effect on the EUR due to the precedent setting event of a country leaving the EU.

In anticipation of this volatility, IB will be increasing margin across a range of products, including the following:


• GBP currency/assets: maintenance margin 7.5% (now 2.5%), initial margin 12% (now 9%)
• EUR currency/assets: maintenance margin 5% (now 3.0%), initial margin 5% (now 4%)
• GBP/EUR currency futures: same margins as for spot FX above
• GBP/EUR currency options: scanning range for maintenance margin will increase to 7%.
• FTSE index derivatives: scanning range for maintenance margin will increase from 5.6% to 8%
• GBP denominated stocks: portfolio margin maintenance of 20% (already in place)
• CFDs on GBP denominated stocks: same as the underlying stock
• UK linked stocks (for example, ADRs on UK stocks: portfolio margin maintenance will increase to 20%
 

Changes are to be implemented in steps over a 4 business days period starting 16 June, 2016. IB urges all clients with substantial positions in products that are considered exposed to the BrExit vote, in particular those with net short option positions, to prepare for substantially higher upcoming margin requirements and adjust their risk and/or capital positions accordingly.
 

Investissements admissibles dans des comptes REER ou CELI

L'Agence du revenu du Canada restreint le type de positions qui peuvent être détenues dans des comptes REER ou CELI et seuls les investissements dits "admissibles" sont acceptés. Les positions détenues sur ces comptes qui ne remplissent pas les conditions d'éligibilité sont désignées comme "investissements non-admissibles". Ces derniers sont taxés par l'Agence du revenu du Canada à hauteur de 50 % de la juste valeur de propriété au moment de l'acquisition ou au moment de la non-admissibilité.

Les investissements admissibles comprennent les instruments suivants : un investissement dans des propriétés, y compris fiduciaire, des certificats de placement garantis (CPG), des obligations d'État et d'entreprise, ou des fonds communs de placement et actions cotées sur une Bourse désignée. Veuillez noter que certains investissements, bien qu'admissibles, peuvent ne pas être offerts par IB si le type de produit ou la Bourse ne sont pas pris en charge.1

Les investissements non-admissibles comprennent toute propriété qui n'est inclut dans la catégorie Investissement admissible. Il peut s'agir par exemple de trading d'actions sur le NEX au Canada ou des actions sur le PINK ou OTCBB aux États-Unis.

Pour plus d'informations, veuillez vous référer aux liens ci-dessous du site de l'Agence du revenu du Canada :

 http://www.cra-arc.gc.ca/tx/ndvdls/tpcs/rrsp-reer/glssry-eng.html 

 http://www.cra-arc.gc.ca/tx/ndvdls/tpcs/ntvdnc/nnqlfdnvst-eng.html

 1 Veuillez noter que bien qu'IB n'offre pas d'accès au Canadian Securities Exchange (CNSX), les actions cotées sur les Bourses désignées peuvent être transférées et détenues dans un compte REER ou CELI détenu à IB mais devront être transférées ailleurs pour le débouclage.

 

Delivery Settings for Shareholder Materials

IB’s default setting for distributing shareholder communications, such as proxy materials and annual reports, is to deliver these materials to the account holder via postal mail. Account holders who wish to avail themselves of the benefits of electronic delivery of these materials (e.g., advance delivery, security, environmentally friendly) may request that their setting be changed from postal to electronic by submitting a webticket through the Message Center in Account Management. 

Once the electronic delivery setting has been set by our processing agent, Mediant Communications, the account holder will receive an email notice when information becomes available for a security they hold. This notification will provide the necessary links for accessing the information and voting through the Internet in lieu of receiving these documents via postal service. The technology which you will need to secure the information includes access to the Internet and a web browser supporting secure connections. In addition, you will need to be able to read the documents online and print a copy provided your system supports documents in a PDF format.
 
Other items of note:
 
-  Changes in delivery settings are not applied to shareholder materials where the record date has already been sent. Account holders may, therefore, continue to receive postal deliveries for certain securities for a period of 2 – 4 weeks after requesting a change to electronic delivery.
 
-  We recomend that you add the following addresses to your email address book to minimize the possibility of communications being routed to your junk folder or rejected by your email provider as spam: InteractiveBrokers@proxydocs.com, InteractiveBrokers@investorelections.com, InteractiveBrokers@proxypush.com, InteractiveBrokers@prospectusdocs.com.
 
-  Issuers reserve the right, and are sometimes required by regulation, to send certain shareholder communications via postal mail regardless of the account holder’s preference for electronic delivery. This will most often be the case for interim or special meetings or for contested voting matters.
 
-  Account holders may withdraw their consent to electronic delivery and revert to postal deliver at any time by submitting a request through the Message Center located with Account Management.
 

-  The information above applies solely to shareholder communications associated with U.S. and Canadian issuers. The delivery of communications for securities issued outside of these two countries is typically electronic, but managed directly by the issuer or its agent (i.e., not Mediant).

 

 

See also: Non-Objecting Beneficial Owner (NOBO)

併購套利:交易涉及待定兼併/收購之公司股票

交易涉及已宣布但尚未完成之併購的公司之股票的行為被稱為“併購套利”。

當一家公司決定接管一家上市公司時,收購公司必須同意支付給目標公司每股價格通常會高於公開交易所的現行價格。這種價格差被稱為“收購溢價”。

收購條款公佈後,目標公司的股價會上揚,但通常會繼續徘徊在收購條款中指定的價格下方。

舉例:A公司同意收購B公司。在宣布收購前,B公司在紐交所的股價為每股$20.00美元。交易條款明確指出A公司將以現金形式向B公司每股支付$25.00美元。交易公佈不久,一般會看到B公司股價達到$24.90美元——高於其之前的交易價格,但仍然對比約定交易價格仍然有40個基點折扣。

這種折扣存在有兩個主要原因:

  1. 出於比如監管、業務或融資困難等原因,儘管宣布收購,但可能永遠無法完成;以及
  2. 持有目標公司股票的利息成本。

如果收購公司是一家上市公司,收購交易還可能以“固定比率”的方式進行,即收購公司以其股票的固定比率支付給目標公司。一旦固定比率收購交易宣布,目標公司的股價將成為收購公司股價的一個應變量。

舉例:C公司(股價為$10.00美元)同意收購D公司(股價為$15.00美元)。交易條款明確指出C公司兩股換D公司一股。交易公佈不久,一般會看到D公司在交易所的股價達到$19.90美元,儘管C公司兩股的價格當前價值$20.00美元現金。

與現金交易一樣,由於可能存在交易障礙和利息成本,目標公司的交易價格通常會在交易比率隱含的水平上打折扣。這種價差還可能會受所收到股息與交易預期生命週期內應付股息之間差額的影響以及收購方股票借用困難的影響。(有時收購會以股票的浮動比率或浮動換股比率進行。有些併購還採用股票和現金結合的方式,這需要目標公司的股東進行選舉。相對於標準、簡單的“現金”和“固定比率收購交易,這種交易會使得收購公司股價和股票公司股價之間的關係更加複雜), 從而需要非常詳細、特殊的交易策略。

對於現金和固定比率收購交易,目標公司公開市場價格上的折扣會隨著交易結束日期的臨近和交易經歷不同的里程碑(如成功收到融資以及獲得股東和監管批准)而縮小。通常折扣會在收購完成時基本消失。

標準併購套利交易策略試圖捕捉被收購公司當前交易價格和最終交易價格之間的價差。在現金收購中,標準的併購套利交易是在目標公司的公開市場價格低於併購交易價格時買入目標公司的股票,期望併購交易將順利完成且目標公司的股價會上升至交易價格。在固定比率收購中,標準的併購套利交易是在目標公司股票還以收購條款中所確定價格的折扣價(以公司的當前股價和收購交易的約定比率進行計算)進行交易時買入目標公司股票並同時賣空收購公司股票。在兩種情況中,交易者都希望收購交易能順利完成,收購交易價格折扣慢慢消失,從而盈利。

當然,如果交易者認為市場對某項交易的前景太多樂觀,他也可以執行跟以上描述相反的操作——賣空目標公司股票並買入收購公司股票。

與所有交易策略一樣,併購套利策略包含內在風險。

如果收購成功完成,上述多頭併購套利策略則可能盈利;但是,如果收購被延遲或取消——或者甚至傳言將被延遲或取消——這些策略則有虧損的風險,某些情況下虧損會超過初始投資。空頭併購套利策略在交易成功完成的情況下會有虧損的風險,並且如果目標公司獲得誘人要約,損失可能會十分巨大。

該文章僅作信息提供之目的,不構成任何推薦或買賣證券請求。交易涉及已經宣布併購之公司的股票存在內在風險。在做任何交易決定之前,您都需要知曉交易的條款和風險。客戶對其自己的交易決定負全部責任。

并购套利:交易涉及待定兼并/收购之公司股票

交易涉及已宣布但尚未完成之并购的公司之股票的行为被称为“并购套利”。

当一家公司决定接管一家上市公司时,收购公司必须同意支付给目标公司每股价格通常会高于公开交易所的现行价格。这种价格差被称为“收购溢价”。

收购条款公布后,目标公司的股价会上扬,但通常会继续徘徊在收购条款中指定的价格下方。

举例:A公司同意收购B公司。在宣布收购前,B公司在纽交所的股价为每股$20.00美元。交易条款明确指出A公司将以现金形式向B公司每股支付$25.00美元。交易公布不久,一般会看到B公司股价达到$24.90美元——高于其之前的交易价格,但仍然对比约定交易价格仍然有40个基点折扣。

这种折扣存在有两个主要原因:

  1. 出于比如监管、业务或融资困难等原因,尽管宣布收购,但可能永远无法完成;以及
  2. 持有目标公司股票的利息成本。

如果收购公司是一家上市公司,收购交易还可能以“固定比率”的方式进行,即收购公司以其股票的固定比率支付给目标公司。一旦固定比率收购交易宣布,目标公司的股价将成为收购公司股价的一个应变量。

举例:C公司(股价为$10.00美元)同意收购D公司(股价为$15.00美元)。交易条款明确指出C公司两股换D公司一股。交易公布不久,一般会看到D公司在交易所的股价达到$19.90美元,尽管C公司两股的价格当前价值$20.00美元现金。

与现金交易一样,由于可能存在交易障碍和利息成本,目标公司的交易价格通常会在交易比率隐含的水平上打折扣。这种价差还可能会受所收到股息与交易预期生命周期内应付股息之间差额的影响以及收购方股票借用困难的影响。(有时收购会以股票的浮动比率或浮动换股比率进行。有些并购还采用股票和现金结合的方式,这需要目标公司的股东进行选举。相对于标准、简单的“现金”和“固定比率收购交易,这种交易会使得收购公司股价和股票公司股价之间的关系更加复杂),从而需要非常详细、特殊的交易策略。

对于现金和固定比率收购交易,目标公司公开市场价格上的折扣会随着交易结束日期的临近和交易经历不同的里程碑(如成功收到融资以及获得股东和监管批准)而缩小。通常折扣会在收购完成时基本消失。

标准并购套利交易策略试图捕捉被收购公司当前交易价格和最终交易价格之间的价差。在现金收购中,标准的并购套利交易是在目标公司的公开市场价格低于并购交易价格时买入目标公司的股票,期望并购交易将顺利完成且目标公司的股价会上升至交易价格。在固定比率收购中,标准的并购套利交易是在目标公司股票还以收购条款中所确定价格的折扣价(以公司的当前股价和收购交易的约定比率进行计算)进行交易时买入目标公司股票并同时卖空收购公司股票。在两种情况中,交易者都希望收购交易能顺利完成,收购交易价格折扣慢慢消失,从而盈利。

当然,如果交易者认为市场对某项交易的前景太多乐观,他也可以执行跟以上描述相反的操作——卖空目标公司股票并买入收购公司股票。

与所有交易策略一样,并购套利策略包含内在风险。

如果收购成功完成,上述多头并购套利策略则可能盈利;但是,如果收购被延迟或取消——或者甚至传言将被延迟或取消——这些策略则有亏损的风险,某些情况下亏损会超过初始投资。空头并购套利策略在交易成功完成的情况下会有亏损的风险,并且如果目标公司获得诱人要约,损失可能会十分巨大。

该文章仅作信息提供之目的,不构成任何推荐或买卖证券请求。交易涉及已经宣布并购之公司的股票存在内在风险。在做任何交易决定之前,您都需要知晓交易的条款和风险。客户对其自己的交易决定负全部责任。

Перекладываемые платы за ADR

Владельцам счетов с позициями по американским депозитарным распискам (ADR) стоит помнить, что на подобные ценные бумаги налагаются периодические сборы, предназначенные для оплаты попечительских услуг, предоставляемых банком-агентом для ADR. Такие услуги, как правило, включают в себя инвентаризацию иностранных базовых активов ADR, а также управление регистрацией, обеспечением нормативного соответствия и учетом.

Раньше банки-агенты могли взимать плату за хранение, только вычитая ее из дивидендов по ADR, но из-за отсутствия регулярных дивидендов по многим ADR они не получали надлежащих выплат. В результате, в 2009 году Депозитарная трастовая компания (DTC) получила разрешение SEC на начало сборов платы за хранение ADR от имени таких банков. DTC получает необходимые суммы от брокеров-участников (таких же, как IB), у которых имеются клиентские ADR. Такие выплаты называются "перекладываемыми", поскольку брокер, в свою очередь, взимает их с клиентов.

Если у Вас имеются позиции по ADR, за которые Вы получаете дивиденды, вышеупомянутые выплаты как и раньше будут вычитаться из сумм дивидендов. Если же за Ваши позиции по ADR не выплачиваются дивиденды, то эти сборы будут включены в ежемесячную выписку вместе с датой их снятия. Как и в случае с денежными дивидендами, IB постарается указать предстоящие сборы по ADR в разделе "Начисления" выписки со счета. После снятия, сумма сборов будет включена в раздел "Депозиты и снятия" с описанием "Корректировки - Другие" и символом связанного с ней ADR.

Несмотря на то, что, как правило, суммы таких выплат составляют $0,01 - $0,03 за акцию, они отличаются в зависимости от ADR, поэтому мы советуем Вам ознакомиться с соответствующим проспектом для выяснения точной информации.  Интернет-поиск проспекта можно осуществить через инструмент EDGAR Company Search от SEC.

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