Méthode de calcul des taux effectifs

CONTEXTE

Afin de calculer les taux d'intérêts que chaque titulaire de compte paiera sur les soldes de trésorerie créditeurs et ceux appliqués aux soldes débiteurs, chaque devise est assigné un taux de référence (benchmark). Ce taux de référence est déterminé à partir des taux d'intérêts à court terme mais plafonné au-dessus/en dessous des fixings des benchmarks les plus utilisés. Ce document explique de quelle manière les taux effectifs sont déterminés.

 
Taux de référence

Les taux de référence sont déterminés en trois étapes à partir de taux d'intérêts implicites du marché qui sont plafonnés au dessus/en dessous des fixings des benchmarks.

1. Taux d'intérêts implicites
Pour le prix du marché, nous nous basons sur les marchés du swap Forex à court terme. La plupart des transactions impliquant des dollars U.S, les prix du swap Forex des devises vs les dollars U.S seront calculés pour une période prédéterminée que l'on appelle "l'intervalle de fixing" dans le but de représenter les heures liquides et le volume des échanges principal. La durée de remboursement spécifique du swap et l'intervalle de fixing utilisés dépendront de la devise. En utilisant les meilleurs cours acheteur et vendeur parmi un groupe de 12 des plus importantes banques négociant le Forex, les taux à court terme implicites non-USD (généralement l'Overnight (T/T+1, Tom Next (T+1/T+2) ou Spot Next (T+2/T+3) ) seront calculés. Au moment de la fermeture de l'intervalle de fixing, ces calculs seront triés en écartant les plus bas et plus haut et en établissant une moyenne sur le reste afin de déterminer le taux de fixing implicite du marché.

2. Fixation des benchmarks traditionnels
Pour les benchmarks traditionnels nous nous basons sur les fixings. De tels taux sont souvent déterminés soit par l'étude des banques soit par les transactions effectives. Ainsi, le London Inter-Bank Offered Rate (LIBOR) est déterminé par l'étude du taux auquel un panel de banques peut emprunter des fonds auprès d'autres banques à un moment donné de la journée.

3. Taux de référence
Les taux de référence finaux sont alors déterminés en utilisant les taux implicites du marché tel que décrit au point 1 à la différence qu'ils sont plafonnés à hauteur d'un certain montant au dessus ou en dessous du fixing traditionnel du benchmark tel que décrit au point 2 Les plafonds peuvent être modifiés à tout moment sans explication préalable et sont indiqués dans le tableau ci-dessous ainsi que les fixings des devises et benchmarks correspondants.

Exemples
a. Dans l'hypothèse d'un taux de marché overnight implicite de 0.05% pour le GBP. Le fixing Libor overnight pour le GBP est 0.20%. Les taux effectifs sont alors égaux au taux de marché implicite de 0.05% car cela reste dans le cadre du plafond de 0.25% du fixing Libor de 0.20%.
b. Si le taux implicite du marché pour le CNH était par exemple de 1.1% mais que le fixing pour la même période était de 1.5%, alors le taux effectif serait plafonné sous 0.25% du fixing du benchmark à 1.25% (Fixing 1.5% - Plafond 0.25%).

Remarque:  les plafonds peuvent être modifiés à tout moment sans notification préalable

 
Devise Description Benchmark  Plancher2 Plafond2
USD Fed Funds Effective (Overnight Rate)  0.00% 0.00%
USD 11 am GMT USD LIBOR (used only for USD-CFDs, Gold and Silver Borrow Fees)  0.00% 0.00%
AUD RBA Daily Cash Rate Target  1.00% 1.00%
CAD Bank of Canada Overnight Lending Rate  1.00% 1.00%
CHF Swiss Franc LIBOR (Spot-Next rate) 1.00% 1.00%
CNY/CNH CNH HIBOR Overnight Fixing Rate (TMA) 3.00% 3.00%
CZK Prague ON Interbank Offered Rate 1.00% 1.00%
DKK Danish Tom/Next Index 1.00% 1.00%
EUR EONIA (Euro Overnight Index Average) 1.00% 1.00%
GBP GBP LIBOR (Overnight Rate) 1.00% 1.00%
HKD HKD HIBOR (Overnight rate) 1.00% 1.00%
HUF Budapest Interbank Offered Rate 1.00% 1.00%
ILS Tel Aviv Interbank Offered O/N Rate 1.00% 1.00%
INR Central Bank of India Base Rate 0.00% 0.00%
JPY JPY LIBOR (Spot-Next rate) 1.00% 1.00%
KRW Korean Won KORIBOR (1 week) 0.00% 0.00%
MXN Mexican Interbank TIIE (28 day rate) 3.00% 3.00%
NOK Norwegian Overnight Weighted Average 1.00% 1.00%
NZD New Zealand Dollar Official Cash Daily Rate 1.00% 1.00%
PLN WIBOR (Warsaw Interbank Overnight Rate) 1.00% 1.00%
RUB RUONIA (Ruble Overnight Index Average) 3.00% 3.00%
SEK SEK STIBOR (Overnight Rate) 1.00% 1.00%
SGD Singapore Dollar SOR (Swap Overnight) Rate 1.00% 1.00%
TRY TRLIBOR (Turkish Lira Overnight Interbank offered rate) 3.00% 3.00%
ZAR South Africa Benchmark Overnight Rate on Deposits (Sabor) 3.00% 3.00%

  

2 Les plafonds et planchers, ou les écarts du taux effectif permis au dessus ou en-dessous du fixing du benchmark peuvent être modifiés à tout moment sans notification explicite préalable.

Benchmark Interest Calculation - Fixing Component Descriptions

 

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

 

Methodology for Determining Effective Rates

BACKGROUND

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

Reference Rates

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

1. Market implied rates

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

2. Traditional external benchmark reference rates

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

3. IBKR Reference Benchmark Rates

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

Examples

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

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

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

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

  

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

Introduction to Market Implied Rates

BACKGROUND

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

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

 

OVERVIEW

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

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

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

 

AN ALTERNATIVE APPROACH - MARKET IMPLIED RATES

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

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

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

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


NEXT STEPS

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

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

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

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

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

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

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

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

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

Comment déterminer si vous empruntez des fonds à IB

Si le solde de trésorerie total pour un compte donné est débiteur ou négatif, les fonds sont alors empruntés et le prêt est soumis à des intérêts. Un prêt peut cependant exister même si le solde de trésorerie total est créditeur, ou positif, après compensation par calcul d'une position nette ou suite à des différences de timing. Les exemples les plus communs sont les suivants:

 
1.       Soldes de devises créditeurs vs. débiteurs – les titulaires de compte peuvent emprunter du cash libellé dans une devise si ce montant peut être sécurisé par un solde de trésorerie créditeur dans une autre devise. Prenons l'exemple d'un compte dont l'USD est la devise de base qui détient un solde de trésorerie créditeur en USD réglé de 10,000, et un solde de trésorerie en EUR réglé de 5,000, avec un taux de change EUR.USD de 1.38:1. Dans cet exemple, aux fins de reporting et de calcul des intérêts, le solde de trésorerie global est un crédit de 3,088 USD (10,000 – (5,000 * 1.38)). Puisque chaque devise est soumise à un approvisionnement unique et à des accords de réinvestissement, le solde débiteur serait soumis à des coûts de financement basés sur le taux de benchmark et le palier correspondant. Le coût peut être compensé par les intérêts gagnés sur le solde créditeur sur la base du taux de benchmark et palier.
 
2.       Soldes bruts par segment – L'Universal Account IB comporte des sous-comptes ou segments, chacun d'entre eux détient des positions et montants de garantie qui, à des fins réglementaires et de protection des clients, ne peuvent pas êtres amalgamés. Cette distinction ne permet pas la compensation par calcul d'une position nette entres les segments : un crédit dans un segment ne peut par conséquent pas compenser le débit d'un autre. Prenons par exemple le cas d'un compte IB LLC détenant des positions de titres et contrats dont le segment contenant les titres enregistre un solde débiteur de 3,000 USD et le segment contenant les contrats un solde créditeur de 8,000 USD. Bien que le compte enregistre un solde créditeur global net de 5,000 USD, le solde débiteur sera soumis à des charges d'intérêts qui peuvent compenser partiellement les intérêts gagnés sur le solde positif.
 
3.       Ventes à découvert (short) – une vente short est une transaction sur marge par laquelle un titulaire de compte emprunte une action plutôt que du cash. Bien que le produit de la vente short soit crédité sur le solde de trésorerie du compte, un dépôt de garantie doit être constitué auprès du préteur des actions pour garantir leur rendement. Par conséquent, et en reconnaissance du fait que la transaction de prêt est soumise à ses propres conditions de financement, il n'est pas tenu compte du montant de garantie en cash du prêt aux fins de déterminer si un prêt sur marge existe.
 
Prenons l'exemple d'un compte enregistrant une valeur nette liquidative (tous les soldes en USD) de 9,000 dont un solde de trésorerie positif de 4,000, une valeur en actions longue de 10,000 et une valeur en actions short de 5,000. Afin de déterminer si les fonds sont empruntés pour financer la position d'actions longue, la portion cash de 5,000 tenant lieu de dépôt de garantie auprès du prêteur des actions est déduite du solde de trésorerie global de 4,000, engendrant un débit de 1,000. Le débit est soumis à des charges d'intérêts et le cash sous-jacent à l'action emprunte soit une charge d'intérêts dans le cas d'actions difficiles à emprunter, soit une remise sur action short si les actions sont faciles à emprunter et les taux de réinvestissement suffisamment élevés.
 
4.       Fonds non réglés - les emprunts sont déterminés en fonction des fonds réglés et le moment où le paiement est dû ou reçu pour une transaction donnée dépend du produit (par ex. les actions se règlent généralement à 3 jours ouvrables, les devises spot à 2 et les dérivés à 1). Aux fins d'établissement des relevés et de la plateforme de trading, les soldes de trésorerie sont reportés sur la base de la date de transaction plutôt que de la date de règlement, comme si le règlement avait eu lieu.
 
Par conséquent, un compte enregistrant un solde de trésorerie positif peut, en réalité, toujours être l'objet d'un prêt sur marge si ce dernier inclut le produit de la vente de l'action acheté avec les fonds empruntés et en attente de règlement. De la même manière, un compte peut enregistrer un solde débiteur basé sur la date de transaction mais ne pas encore être l'objet d'un prêt sur marge et de charges d'intérêts puisque la transaction n'a pas encore été réglée.
 
Pour plus d'informations concernant le calcul des intérêts, veuillez consulter l'article Comment sont calculés les intérêts.

How to determine if you are borrowing funds from IB

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

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

Aperçu des CFD sur actions émis par IB

L’article qui suit constitue une introduction générale aux CFD (contrat sur différence) sur actions émis par IBKR.

Pour des informations concernant les CFD sur indices IBKR, cliquez ici. Pour les CFD sur Forex, cliquez ici.

Table des matières :

I.    Définition d'un CFD
II.   Comparaison entre les CFD et les actions sous-jacentes
III.  Coûts et marge
IV.  Exemples
V.   Ressources
VI.  Foire aux questions

 

Avertissement concernant les risques

Les CFD sont des instruments complexes associés à un risque élevé de perte financière rapide en raison de l'effet de levier.

67% des comptes d'investisseurs de détail perdent de l'argent lorsqu'ils tradent des CFD avec IBKR (UK).

Vous devez vous assurer que vous comprenez la manière dont fonctionnent les CFD et que vous pouvez vous permettre de courir un risque élevé de perdre de l'argent.

Règles ESMA relatives aux CFD (Pour les clients de détail uniquement)

L'Autorité européenne des marchés financiers (ESMA) a édicté de nouvelles règles relatives aux CFD qui entreront en vigueur à compter du 1er août 2018.

Les règles consistent en: 1) des limites sur les effets de levier à l'ouverture de positions de CFD; 2) une règle de clôture des positions ouvertes par compte basée sur la marge 3) une protection contre les soldes négatifs par compte.

Les mesures de l'ESMA s'appliquent aux clients de détail. Les clients professionnels ne sont pas affectés.

Veuillez vous référer au document Application des règles de l'ESMA sur les CFD à IBKR pour plus d'informations.

I.  Définition d'un CFD sur actions

Les CFD IBKR sont des contrats de gré à gré (OTC) qui offrent le rendement de l’action sous-jacente, y compris les dividendes et les opérations sur titres (en savoir plus sur les Opérations sur titres pour les CFD).

En d’autres termes, il s’agit d’un accord entre l’acheteur (vous) et IBKR visant à échanger la différence entre la valeur actuelle d’une action et sa valeur à une date ultérieure. Si vous détenez une position longue et que la différence est positive, IBKR vous paie. Si la différence est négative, vous payez IBKR.

Les CFD sur actions IBKRsont négociés sur votre compte de marge; vous pouvez donc trader aussi bien des positions longues que courtes avec effet de levier. Le prix des CFD correspond au prix coté sur la Bourse de l’action sous-jacente. Les prix des CFD IBKR sont en fait identiques aux prix "Smart-routed" pour les actions, comme vous pouvez l'observer sur la Trader Workstation. Par ailleurs, IB offre un accès direct au marché (DMA). Comme pour les actions, vos ordres non négociables (par ex. les ordres à cours limité) voient le hedge du sous-jacent directement inscrit dans la profondeur du carnet d’ordres des Bourses où il est négocié.   Cela signifie également que vous pouvez acheter le CFD au cours acheteur du sous-jacent et le vendre au cours vendeur.

Pour comparer le modèle transparent d’IBKR à d’autres modèles disponibles sur le marché, consultez notre Aperçu des modèles du marché CFD.

IBKRoffre actuellement environ 7100 CFD sur actions couvrant les marchés principaux des États-Unis, de l'Europe et d' Asie. Les constituants des indices majeurs mentionnés ci-dessous sont actuellement disponibles sous forme de CFD sur actions IBKR. Dans de nombreux pays, IBKR offre également le trading d’actions liquides de faible capitalisation. Il s’agit d’actions dont la capitalisation boursière ajustée du flottant est de 500 millions d'USD minimum pour une valeur de trading médiane journalière de 600,000 USD minimum.   Pour en savoir plus, consultez notre liste de produits CFD . D’autres pays seront bientôt ajoutés.

États-Unis S&P 500, DJA, Nasdaq 100, S&P 400 (Moy. Cap), Small cap liquides
Royaume-Uni FTSE 350 + Small cap liquides (y compris. IOB)
Allemagne Dax, MDax, TecDax + Small cap liquides
Suisse Portion suisse du STOXX Europe 600 (48 actions) + Small cap liquides
France CAC Large Caps, CAC Mid Caps + Small Cap liquides
Pays-Bas AEX, AMS Mid Cap + Small Cap liquides
Belgique BEL 20, BEL Mid Cap + Small Cap liquides
Espagne IBEX 35 + Small Cap liquides
Portugal PSI 20
Suède OMX Stockholm 30 + Small Cap liquides
Finlande OMX Helsinki 25 + Small Cap liquides
Danemark OMX Copenhagen 30 + Small Cap liquides
Norvège OBX
République Tchèque PX
Japon Nikkei 225 + Small Cap liquides
Hong Kong HSI + Small Cap liquides
Australie ASX 200 + Small Cap liquides
Singapour* STI + Small Cap liquides
Afrique du sud Top 40 + Small Cap liquides

 *non disponible pour les résidents de Singapour

II.   Comparaison entre les CFD et les actions sous-jacentes

Selon vos objectifs et votre style de trading, les CFD offrent un certain nombre d'avantages par rapport aux actions, mais également quelques inconvénients:
 
AVANTAGES des CFD IBKR INCONVÉNIENTS DES CFD IBKR
Pas de droit de timbre ou taxe sur les transactions financières (Royaume-Uni, Belgique, France) Pas de droit de propriété
En général, les commissions et taux de marge sont moins élevés que pour les actions Les opérations sur titres complexes ne peuvent pas toujours être reproduites
Taux de convention fiscale sans la nécessité de récupération L'imposition des gains peut différer des actions (veuillez consulter votre conseiller fiscal)
Exemption des règles de day trading  

III.  Coûts et marge

Les CFD IBKR peuvent être un moyen encore plus efficace de négocier sur les marchés boursiers européens plutôt que d’utiliser l’offre déjà très compétitive d'actions proposée par IB.

Tout d’abord, les CFD IBKR sont soumis à des commissions moins élevées que les actions, tout en offrant les mêmes spreads à faible financement:

EUROPE   CFD ACTION
Commission GBP 0.05% 6.00 + 0.05% GBP*
EUR 0.05% 0.10%
Financement** Benchmark +/- 1.50% 1.50%

*par ordre + 0.05% plus franchise au delà de 50,000 GBP
**Financement CFD sur valeur totale de position, financement action sur montant emprunté

Plus vous négociez et plus les commissions des CFD baissent, jusqu'à 0,02%. Pour les positions portant sur des volumes importants, les frais de financement sont réduits et peuvent être de 0.5% seulement.  Pour en savoir plus, consultez nos commissions CFD et Taux de financement CFD.

De plus, les CFD ont des exigences de marge moindre par rapport aux actions. Les clients de détail sont soumis à des exigences de marge supplémentaires comme l'impose l'ESMA, l'organisme régulateur européen. Veuillez consulter le document  Application des règles de l'ESMA sur les CFD à IBKR pour plus d'informations.

  CFD ACTION
  Tous Standard Portfolio margin
Exigence de marge de maintien*

10%

25% - 50% 15%

*Marge type pour les blue-chips. Les clients de détail sont soumis à une marge initiale minimum de 20%. Marge de maintien standard intraday de 25% pour les actions, 50% overnight.  La marge de portefeuille (Portfolio Margin) indiquée est la marge de maintien (y compris overnight). Les émissions plus volatiles sont soumises à des exigences de marge plus importantes

Veuillez vous référer aux Exigences de marge pour les CFD pour plus d'informations.


IV.  Exemple (Client professionnel)

Examinons l'exemple ci-dessous. Le listing d’Unilever Amsterdam a augmenté de 3.2% au cours du dernier mois (20 jours de trading au 14 mai 2012) et vous pensez que sa performance va se maintenir. , Vous souhaitez créer une exposition de 200,000 EUR et la conserver pendant 5 jours. Vous passez 10 ordres pour développer et 10 ordres pour déboucler. Vos coûts directs seraient comme suit:

ACTION

  CFD ACTION
Position 200,000 EUR   Standard Portfolio margin
Exigence de marge 20,000 100,000 30,000
Commission (Aller Retour) 200.00 400.00 400.00
Taux d'intérêt (Simplifié) 1.50% 1.50% 1.50%
Montant financé 200,000 100,000 170,000
Jours financés  5 5 5
Dépense en intérêts (1.5% Taux simplifié) 41.67 20.83 35.42
Coût total direct (Commission + Intérêt) 241.67 420.83 435.42
Différence de coût   74% plus élevé 80% plus élevé

Remarque: les intérêts des CFD sont calculés sur la position totale tandis que les intérêts des actions sont calculés sur le montant emprunté. Les taux appliqués sont les mêmes pour les CFD et les actions. Les intérêts applicables sont les mêmes pour les actions et pour les CFD

 

Mais supposons que vous n'ayez que 20,000 EUR de disponible pour financer la marge. Si Unilever maintient le même niveau de performance qu'au cours du mois passé, votre gain potentiel serait aux alentours de:  

GAIN EFFET DE LEVIER CFD ACTION
Marge disponible 20,000 20,000 20,000
Total investi 200,000 40,000 133,333
Rendement brut (5 Days) 1,600 320 1,066.66
Commission 200.00 80.00 266.67
Dépense en intérêts (1.5% Taux simplifié) 41.67 4.17 23.61
Coût total direct (Commission + Interest) 241.67 84.17 290.28
Rendement net (Rendement brut moins coût direct) 1,358.33 235.83 776.39
Montant d'investissement du rendement sur marge 0.07 0.01 0.04
Différence   83% moins Gain 43% moins Gain

 

RISQUE EFFET DE LEVIER CFD ACTION
Marge disponible 20,000 20,000 20,000
Total investi 200,000 40,000 133,333
Rendement brut (5 Days) -1,600 -320 -1,066.66
Commission 200.00 80.00 266.67
Dépense en intérêts (1.5% Taux simplifié) 41.67 4.17 23.61
Coût total direct (Commission + Interest) 241.67 84.17 290.28
Rendement net (Rendement brut moins coût direct) -1,841.67 -404.17 -1,356.94
Différence   78% Moins Perte 26% Moins Perte

 

V.   Ressources CFD

Vous trouverez ci-dessous des liens utiles contenant des informations plus détaillées sur l’offre des CFD IBKR:

Spécifications du contrat CFD

Liste des produits CFD

Commissions CFD

Taux de financement CFD

Exigences de marge CFD

CFD - Opérations sur titres

Le tutoriel suivant est également disponible:

Comment passer un ordre de CFD sur la Trader Workstation

 

VI.  Foire aux questions

Quelles actions sont disponibles en tant que CFD?

Les actions de forte et moyenne capitalisation aux États-Unis, en Europe de l'ouest, dans les pays nordiques et au Japon. Les actions de faible capitalisation liquides sont également disponibles sur de nombreux marchés. Veuillez consulter la page Liste de produits CFD pour plus d'informations. D'autres pays seront ajoutés très prochainement.

 

Avez-vous des CFD pour des indices sur actions et Forex?

Oui. Veuillez consulter la page CFD sur indices IBKR - Informations et questions et CFD sur Forex - Informations et questions.

 

Comment sont déterminées les cotations des CFD sur actions?

Le prix des CFD IBKR correspond à la cotation via Smartrouting de l’action sous-jacente. IBKR n'élargit pas le spread ni ne détient de positions en votre défaveur. Pour en savoir plus, veuillez consulter l'aperçu des modèles du marché CFD.

 

Puis-je voir mes ordres à cours limité sur la Bourse?

Oui. IBKRoffre un accès direct au marché (DMA). Comme les actions, les ordres qui ne sont pas négociables (par ex. les ordres à cours limité) bénéficient de la protection du sous-jacent qui est directement inscrit sur le carnet d’ordres des bourses où il est négocié. Cela signifie également que vous pouvez acheter le CFD au cours acheteur du sous-jacent et le vendre au cours vendeur. De plus, vous recevrez peut-être une amélioration de prix si l'ordre d'un autre client peut être croisé au vôtre à un meilleur prix que celui disponible sur les marchés.

 

Comment déterminez-vous les marges des CFD sur actions?

IBKR établit des exigences de marge sur la base de la volatilité historique de chaque action sous-jacente. La marge minimum est de 10%  Ce taux de marge est généralement appliqué à la plupart des CFD IBKR, ce qui rend le trading de CFD plus attractif en termes de marge que le trading du sous-jacent.   Les investisseurs de détail sont soumis à des exigences de marge supplémentaires imposées par ESMA, l'organisme

régulateur européen. Veuillez consulter le document Application des règles de l'ESMA sur les CFD à IBKR pour plus d'informations. Il n'y a pas de compensation de portefeuille entre des positions CFD individuelles ou entre des positions CFD et l'exposition à l’action sous-jacente. Les positions concentrées et portant sur de gros volumes peuvent être soumises à des marges supplémentaires. Pour en savoir plus, veuillez consulter les exigences de marge des CFD.

 

Les CFD sur action courts sont-ils soumis à des rachats forcés ?

Oui. Si l’action sous-jacente devient difficile ou impossible à emprunter, le détenteur de la position sera soumis à un rachat.

 

Comment traitez-vous les dividendes et opérations sur titre?

En règle générale, IBKR reflète l'effet économique de l’opération sur titre pour les détenteurs de CFD comme s'ils détenaient les titres sous-jacent*. Les dividendes sont comptabilisés sous forme d'ajustement de liquidité, tandis que d'autres actions peuvent être comptabilisées sous forme d'ajustement de liquidité, d'ajustement de position ou une combinaison des deux. Par exemple, si les actions d'entreprise se traduisent par un changement du nombre d’actions (par ex. dans le cas de fractionnement d'actions ou fractionnement d'actions inversé), le nombre de CFD est ajusté en conséquence. Lorsque l’action devient une nouvelle entité et qu'IBKR décide de la proposer comme CFD, de nouvelles positions courtes et longues sont créées dans la quantité appropriée. Pour en savoir plus, consultez la page CFD - Opérations sur titre.

*Dans certains cas, il ne sera pas possible d'ajuster de manière exacte le CFD, comme pour une opération sur titres complexe telle qu'une fusion par exemple. Dans ce cas, IBKR pourra clôturer la position de CFD avant la date de détachement.

 

Tout le monde peut-il trader des CFD IBKR?

Tous les clients peuvent trader des CFD IBKR à l'exception des résidents des États-Unis, du Canada et de Hong Kong. Les résidents de Singapour peuvent trader des CFD IBKR à l'exception de ceux basés sur des actions cotées à Singapour. Il n'existe pas d'exemption aux exclusions sur la base de la résidence en fonction du type d'investisseur.

 

Que dois-je faire pour commencer à trader des CFD avec IBKR?

Vous devez mettre en place les autorisations de trading pour les CFD dans la Gestion de compte et accepter les déclarations adéquates. Si vous détenez un compte auprès d'IB LLC, IBKR créera un nouveau segment de compte (identifié avec votre numéro de compte existant par le suffixe “F”). Une fois le segment confirmé, vous pourrez commencer à trader. Vous n'avez pas besoin d'approvisionner le compte "F" séparément, les fonds seront automatiquement transférés en fonction des exigences de marge de votre compte principal.  

Existe t-il des conditions en termes de données de marché?

Les données de marché pour les CFD sur actions IBKR sont les mêmes que les données de marché des actions sous-jacentes. Il est par conséquent nécessaire d'obtenir les autorisations de données de marché pour les Bourses correspondantes. Si vous avez déjà mis en place des autorisations de données de marché pour une Bourse afin de pouvoir trader des actions, aucune autre action n'est requise. Si vous souhaitez trader des CFD sur une Bourse pour laquelle vous n'avez pas actuellement d'autorisation de données de marché, vous pouvez mettre en place des autorisations de trading de la même manière que si vous envisagiez de trader les actions sous-jacentes.

 

Mes transactions de CFD apparaissent-elles dans mes relevés de compte?

Si vous détenez un compte auprès d'IBLLC, vos positions de CFD sont détenues dans un segment de compte distinct identifié par le suffixe "F" et votre numéro de compte principal. Vous pouvez choisir de visualiser les relevés de compte pour ce segment "F" soit séparément, soit de manière consolidée avec votre compte principal. Vous pouvez sélectionner l'option de votre choix dans la fenêtre des relevés de la Gestion de compte. Pour les autres comptes, les CFD sont affichés normalement dans le relevé de compte comme les autres produits de trading.

 

Puis-je transférer mes positions CFD depuis un autre courtier?

IBKR ne permet pas le transfert de positions de CFD à l'heure actuelle.

 

Des graphiques sont-ils disponibles pour les CFD?

Oui.

 Quelles protections de compte s’appliquent au trading de CFD émis pas IBKR?

Les CFD sont des contrats émis par IB UK qui agit en tant que contrepartie. Ils ne sont donc pas négociés sur un marché réglementé et ne sont pas compensés par une chambre de compensation centrale. Étant donné qu’IB UK est votre contrepartie pour les CFD, vous êtes exposé à des risques financiers et commerciaux, y compris le risque de crédit associé à la réalisation de transactions avec IB Royaume-Uni. Veuillez noter cependant que tous les fonds des clients sont toujours totalement ségrégés, y compris ceux des clients institutionnels. IB UK est membre du programme UK Financial Services Compensation Scheme (FSCS). IB UK n'est pas un membre de la U.S. Securities Investor Protection Corporation (“SIPC”). Veuillez consulter la déclaration des risques liés aux CFD IB UK pour davantage d'informations sur les risques liés au trading de CFD.

 

Avec quel type de compte IBKR puis-je négocier des CFD (par ex. compte individuel, institutionnel, Amis et famille, etc.)?  

Tous les comptes de marge sont éligibles au trading de CFD. Les comptes au comptant et SIPP ne sont pas éligibles.

 

Combien de positions maximum puis-je avoir pour un CFD spécifique?

Pas de limite pré-établie. Cependant, rappelez-vous que les positions très importantes peuvent être soumises à une augmentation des exigences de marge. Pour en savoir plus, veuillez consulter les exigences de marge des CFD.

 

Puis-je trader des CFD par téléphone?

Non. Cependant, dans certains cas exceptionnels, nous pouvons accepter de traiter des ordres de fermeture par téléphone mais jamais des ordres d'ouverture.

 

 

 

Overview of IBKR issued Share CFDs

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

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

Topics covered are as follows:

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

 

Risk Warning

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

69% 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.

ESMA Rules for CFDs (Retail Clients only)

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

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

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

Please refer to ESMA CFD Rules Implementation at IBKR for more detail.

I.  Share  CFD Definition

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

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

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

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

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

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

 *not available to Singapore residents

II.   Comparison Between CFDs and Underlying Shares

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

III.  Cost and Margin Considerations

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

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

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

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

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

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

  CFD STOCK
  All Standard Portfolio Margin
Maintenance Margin Requirement*

10%

25% - 50% 15%

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

Please refer to CFD Margin Requirements and for more detail.


IV.  Worked Example (Professional Client)

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

STOCK

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

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

 

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

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

 

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

 

V.   CFD Resources

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

CFD Contract Specifications

CFD Product Listings

CFD Commissions

CFD Financing Rates

CFD Margin Requirements

CFD Corporate Actions

The following video tutorial is also available:

How to Place a CFD Trade on the Trader Workstation

 

VI.  Frequently Asked Questions

What Stocks are available as CFDs?

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

 

Do you have CFDs on Stock Indices and Forex?

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

 

How do you determine your Share CFD quotes?

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

 

Can I see my limit orders reflected on the exchange?

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

 

How do you determine margins for Share CFDs?

IBKR establishes risk-based margin requirements based on the historical volatility of each underlying share. The minimum margin is 10%. Most IBKR CFDs are margined at this rate, making CFDs more margin-efficient than trading the underlying share in most cases.  Retail investors are subject to additional margin requirements mandated by ESMA, the European

regulator. Please see ESMA CFD Rules Implementation at IBKR for details. There are no portfolio off-sets between individual CFD positions or between CFDs and exposures to the underlying share. Concentrated positions and very large positions may be subject to additional margin. Please refer to CFD Margin Requirements for more detail.

 

Are short Share CFDs subject to forced buy-in?

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

 

How do you handle dividends and corporate actions?

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

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

 

Can anyone trade IBKR CFDs?

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

 

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

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

Are there any market data requirements?

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

 

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

If you have an account with IBLLC, your CFD positions are held in a separate account segment identified by your primary account number with the suffix “F”. You can choose to view Activity Statements for the F-segment either separately or consolidated with your main account. You can make the choice in the statement window in Account Management. For other accounts CFDs are shown normally in your account statement alongside other trading products.

 

Can I transfer in CFD positions from another broker?

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

 

Are charts available for Share CFDs?

Yes.

 What account protections apply when trading CFDs with IBKR?

CFDs are contracts with IB UK as your counterparty, and are not traded on a regulated exchange and are not cleared on a central clearinghouse. Since IB UK is the counterparty to your CFD trades, you are exposed to the financial and business risks, including credit risk, associated with dealing with IB UK. Please note however that all client funds are always fully segregated, including for institutional clients. IB UK is a participant in the UK Financial Services Compensation Scheme ("FSCS"). IB UK is not a member of the U.S. Securities Investor Protection Corporation (“SIPC”).Please refer to the IB UK CFD Risk Disclosure for further detail on risks associated with trading CFDs.

 

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

All margin accounts are eligible for CFD trading. Cash or SIPP accounts are not.

 

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

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

 

Can I trade CFDs over the phone?

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

 

 

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

62% 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.

ESMA Ruling

The European Securities and Markets Authority (ESMA) issued temporary product intervention measures effective from 1st August 2018 (ESMA Decision).

The restrictions imposed by the ESMA Decision consist of: 1) leverage limits on the opening of a CFD position; 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.

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


 

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

62% 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.
 

Cash Sweeps

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

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

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

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

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

 

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

 

Stock Yield Enhancement Program FAQs

What is the purpose of the Stock Yield Enhancement Program?
The Stock Yield Enhancement program provides customers with the opportunity to earn additional income on securities positions which would otherwise be segregated (i.e., fully-paid and excess margin securities) by permitting IBKR to lend out those securities to third parties. Customers who participate in the program will receive cash collateral to secure the return of the stock loan at its termination as well as interest on the cash collateral provided by the borrower for any day the loan exists.

 

What are fully-paid and excess margin securities?
Fully-paid securities are securities in a customer’s account that have been completely paid for. Excess margin securities are securities that have not been completely paid for, but whose market value exceeds 140% of the customer’s margin debit balance.

 

How is the income received by a customer on any given Stock Yield Enhancement Program loan transaction determined?
The income which a customer receives in exchange for shares lent depend upon loan rates established in the over-the-counter securities lending market. These rates can vary significantly not only by the particular security loaned but also by the loan date. In general, IBKR pays interest to participants on their cash collateral at a rate that approximates 50% of the amounts earned by IBKR for lending the shares. . For example, assume IBKR earns 15% annualized income from lending shares with a value of $10,000 and it posts $10,000 cash collateral to a participant’s account. The normal daily interest rate IB would pay to a participant on the cash collateral would be $2.08

 

How is the amount of cash collateral for a given loan determined?
The cash collateral underlying the security loan and used for determining interest payments is determined using standard industry convention whereby the closing price of the stock is multiplied by 102% and then rounded up to the nearest whole dollar. For example, a loan of 100 shares of a stock which closes at $59.24 would be equal to $6,100 ($59.24 * 1.02 = $60.4248; round to $61, multiply by 100).

 

How do long sales, transfers of securities lent via the IBKR Stock Yield Enhancement Program or un-enrollment affect interest?

Interest ceases to accrue on the next business day after the trade date (T+1). Interest also ceases to accrue on the next business day after the transfer input or un-enrollment date.

 

What are the eligibility requirements for participation in the IBKR Stock Yield Enhancement Program?
All IB LLC, IB UK, IB HK, and IB Canada margin accounts or IB LLC, IB UK (excluding SIPP accounts), IB HK and IB Canada cash accounts with equity over $50,000 at the time of application are eligible. IB Japan, IB Australia and IB India customers are not eligible. Japanese and Indian clients maintaining accounts with IB LLC are eligible.


In addition, Financial Advisor client accounts, fully disclosed IBroker clients and Omnibus Brokers who meet the above requirements can participate. In the case of Financial Advisors and fully disclosed IBrokers, the clients themselves must sign the agreements. For Omnibus Brokers, the broker signs the agreement.

 

Are IRA accounts eligible to participate in the Stock Yield Enhancement Program?
Yes.

 

Are partitions of IRA accounts managed by Interactive Brokers Asset Management eligible to participate in the Stock Yield Enhancement Program?
No.

 

Are UK SIPP accounts eligible to participate in the Stock Yield Enhancement Program?
No.

 

How do I enroll in the IBKR Stock Yield Enhancement Program?
Clients who are eligible and who wish to enroll in the Stock Yield Enhancement Program may do so by selecting Settings followed by Account Settings. Click the gear icon next to the words Trading Permissions. Check the box at the top of the page under Trading Programs that says Stock Yield Enhancement. Click CONTINUE and fill out any required agreements/disclosures.

 

What happens if equity in a participating cash account falls below the $50,000 qualifying threshold?
The cash account must meet this minimum equity requirement solely at the point of signing up for the program. If the equity falls below that level thereafter there is no impact upon existing loans or the ability to initiate new loans.

 

How does one terminate Stock Yield Enhancement Program participation?

Clients who wish to terminate participation in the Stock Yield Enhancement Program may do so by logging into Account Management and selecting Settings followed by Account Settings. Click the gear icon next to the words Trading Permissions. Remove the check from the box in the Trading Programs section titled Stock Yield Enhancement Program". Click CONTINUE and fill out any required agreements/disclosures. Requests to terminate are typically processed at the end of the day.

 

If an account signs up and un-enrolls at a later time, when can it be re-enrolled into the program?
After un-enrollment, the account may not re-enroll for 90 calendar days.

 

What types of securities positions are eligible to be lent?
Eligible securities include U.S. common stocks (exchange listed, PINK and OTCBB) and Canadian common stocks (exchange listed), ETFs, preferred stocks and corporate bonds. Municipal bonds, non-U.S. and non-Canadian securities are not eligible.

 

Is there any restriction on lending stocks which are trading in the secondary market following an IPO?
No, as long as IBKR is not part of the selling group.

 

How does IBKR determine the amount of shares which are eligible to be loaned?
The first step is to determine the value of securities, if any, which IBKR maintains a margin lien upon and can lend without client participation in the Stock Yield Enhancement Program. A broker who finances client purchases of securities via margin loan is allowed by regulation to loan or pledge as collateral that client’s securities in an amount up to 140% of the cash debit balance. For example, if a client maintaining a cash balance of $50,000 buys securities having a market value of $100,000, the debit or loan balance will be $50,000 and the broker holds a lien on 140% of that balance or $70,000 of securities. Any securities held by the client in excess of that amount are referred to as excess margin securities ($30,000 in this example) and are required to be segregated unless the client provides IB the authorization to lend through the Stock Yield Enhancement Program.

The debit balance is determined by first converting all non-USD denominated cash balances to USD and then backing out any short stock sale proceeds (converted to USD as necessary). If the result is negative then we free up 140% of that negative number. In addition, cash balances maintained in the commodities segment or for spot metals and CFDs are not considered.

EXAMPLE 1: Customer is long EUR 100,000 in a USD Base Currency account with a EUR.USD rate of 1.40. Customer purchases USD denominated stock valued at $112,000 (EUR 80,000 equivalent). All securities are deemed fully-paid as cash balance as converted to USD is a credit.

Component EUR USD Base (USD)
Cash 100,000 (112,000) $28,000
Long Stock   $112,000 $112,000
NLV     $140,000

EXAMPLE 2: Customer holds long USD of 80,000, long USD denominated stock of $100,000 and short USD denominated stock of $100,000. Long securities totaling $28,000 are deemed margin securities and the remainder of $72,000 excess margin securities. This is determined by subtracting the short stock proceeds from the cash balance ($80,000 - $100,000) and multiplying the resultant debit by 140% ($20,000 * 1.4 = $28,000)

Component Base (USD)
Cash $80,000
Long Stock $100,000
Short Stock ($100,000)
NLV $80,000

 

Will IBKR lend out all eligible shares?
There is no guarantee that all eligible shares in a given account will be loaned through the Stock Yield Enhancement Program as there may not be a market at an advantageous rate for certain securities, IBKR may not have access to a market with willing borrowers or IBKR may not want to loan your shares.

 

Are Stock Yield Enhancement Program loans made only in increments of 100?
No. Loans can be made in any whole share amount although externally we only lend in multiples of 100 shares. Thus the possibility exists that we would lend 75 shares from one client and 25 from another should there be external demand to borrow 100 shares.

 

How are loans allocated among clients when the supply of shares available to lend exceeds the borrow demand?
In the event that the demand for borrowing a given security is less than the supply of shares available to lend from participants in our Yield Enhancement Program, loans will be allocated on a pro rata basis (e.g. if aggregate supply is 20,000 and demand is 10,000, each client will be eligible to have 50% of his/her shares lent)

 

Are shares loaned only to other IBKR clients or to other third parties?
Shares may be loaned to any counterparty and is not limited solely to other IBKR clients.

 

Can the Stock Yield Enhancement Program participant determine which shares IBKR can lend?
No. The program is entirely managed by IBKR who, after determining those securities, if any, which IBKR is authorized to lend by virtue of a margin loan lien, has the discretion to determine whether any of the fully-paid or excess margin securities can be loaned out and to initiate the loans.

 

Are there any restrictions placed upon the sale of securities which have been lent through the Stock Yield Enhancement Program?
Loaned shares may be sold at any time, without restriction. The shares do not need to be returned in time to settle your sale of the share and proceeds from the sale are credited to the client’s account on the normal settlement date. In addition, the loan will be terminated on the open of the business day following the security sale date.

 

Can a client write covered calls against stock which has been loaned out through the Stock Yield Enhancement Program and receive the covered call margin treatment?
Yes. A loan of stock has no impact upon its margin requirement on an uncovered or hedged basis since the lender retains exposure to any gains or losses associated with the loaned position.

 

What happens to stock which is the subject of a loan and which is subsequently delivered against a call assignment or put exercise?
The loan will be terminated on T+1 of the action (trade, assignment, exercise) which closed or decreased the position.

 

What happens to stock which is the subject of a loan and which is subsequently halted from trading?
A halt has no direct impact upon the ability to lend the stock and as long as IBKR can continue to loan the stock, such loan will remain in place regardless of whether the stock is halted.

 

Can the cash collateral from a loan be swept to the commodities segment to cover margin and/or variation?
No. The cash collateral securing the loan never impacts margin or financing.

 

What happens if a program participant initiates a margin loan or increases an existing loan balance?
If a client maintains fully-paid securities which have been loaned through the Stock Yield Enhancement Program and subsequently initiates a margin loan, the loan will be terminated to the extent that the securities do not qualify as excess margin securities. Similarly, if a client maintaining excess margin securities which have been loaned through the program increases the existing margin loan, the loan may again be terminated to the extent that the securities no longer qualify as excess margin securities.

 

Under what circumstances will a given stock loan be terminated?
In the event of any of the following, a stock loan will be automatically terminated:

- If the client elects to terminate program participation
- Transfer of shares
- Borrowing of a certain amount against the shares
- Sale of shares
- Call assignment/put exercise
- Account closure

 

Do participants in the Stock Yield Enhancement Program receive dividends on shares loaned?
Yes. Stock Yield Enhancement Program shares that are lent out are segregated and IBKR will pay the dividend and not payment in lieu (PIL).

 

Do participants in the Stock Yield Enhancement Program retain voting rights for shares loaned?

No. The borrower of the securities has the right to vote or provide any consent with respect to the securities if the Record Date or deadline for voting, providing consent or taking other action falls within the loan term.

 

Do participants in the Stock Yield Enhancement Program receive rights, warrants and spin-off shares on shares loaned?

Yes. The lender of the securities will receive any rights, warrants, spin-off shares and distributions made on loaned securities.

 

How are loans reflected on the activity statement?

Loan collateral, shares outstanding, activity and income is reflected in the following 6 statement sections:


1. Cash Detail – details starting cash collateral balance, net change resulting from loan activity (positive if new loans initiated; negative if net returns) and ending cash collateral balance.

 

2. Net Stock Position Summary – for each stock details total Shares at IBKR, the number of Shares Borrowed, the number of Shares Lent and the Net Shares (=Shares at IBKR + Shares Borrowed - Shares Lent). 

 

3. IB Managed Securities Lent – lists for each stock loaned through the Stock Yield Enhancement Program the Quantity of shares loaned, the Interest Rate (%). 

 

4. IB Managed Securities Lent Activity – details the loan activity for each security including Loan Return Allocations (i.e., terminated loans); New Loan Allocations (i.e., initiated loans); the share Quantity; the Net Interest Rate (%); Interest Rate on Customer Collateral (%) and the Collateral Amount. 

 

5. IB Managed Securities Lent Activity Interest Details – details on an individual loan basis including the Interest Rate Earned by IBKR (%); the Income Earned by IBKR (represents the total income IBKR earns from the loan which is equal to {Collateral Amount * Interest Rate}/360); the Interest Rate on Customer Collateral (represents about half of the income IB earns on the loan) and Interest Paid to Customer (represents the interest income earned on a client’s collateral)

Note: This section will only be displayed if the interest accrual earned by the client exceeds USD 1 for the statement period.   

 

6. Interest Accruals – the interest income is accounted for here as an interest accrual and is treated as any other interest accrual (aggregated but only displayed as an accrual when exceeding $1 and posted to cash monthly). For year-end reporting purposes, this interest income will be reported on Form 1099 issued to U.S. taxpayers.

 

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