Расчет ставок-ориентиров - Принципы фиксинга

 

Принцип фиксинга Описание
Fed Funds Effective (только USD) Взвешенное по объему среднее от транзакций, произведенных через Federal Reserve между банками-участниками. Предположительно дает лучшую оценку деятельности межбанковского финансирования для членов Reserve Bank и является ориентиром для множества краткосрочных транзакций активного рынка капиталов.
LIBOR (несколько валют) Аббревиатура London Inter-Bank Offered Rate. Ежедневный фиксинг для депозитов со сроком от 1 дня до 1 года, который определяется группой крупных банков Лондона. Это самая широко используемая мера определения процентных ставок по большинству валют за пределами внутренних рынков.
EONIA (только EUR) Мировой стандарт для депозитов в евро-валюте со сроком до начала следующего рабочего дня. Определяется на основе взвешенного среднего по настоящим транзакциям между главными банками континентальной Европы, посредником которых является Европейский центральный банк (European Central Bank).
HIBOR (только HKD) Ежедневный фиксинг на основе группы крупных банков Гонконга. Используются методы и сроки, схожие с используемыми для валют LIBOR.
KORIBOR (только KRW) Среднее от ведущих процентных ставок на KRW, определяемое группой крупных банков Кореи. Данный ориентир использует KORIBOR со сроком в 1 неделю.
STIBOR (только SEK) Ежедневный фиксинг на основе группы крупных банков Швеции. Используются те же методы и сроки, как и для валют LIBOR.
RUONIA (RUB) Взвешенная ставка суточных рублевых ссуд. RUONIA вычисляется Банком России.
PRIBOR (CZK) Средняя процентная ставка срочных вкладов, предлагаемых основными банками.
BUBOR (HUF) Средняя процентная ставка срочных вкладов, предлагаемых основными банками.
TIIE (только MXN) "Сбалансированная" межбанковская ставка, основанная на данных, предоставленных банками денежного рынка, и рассчитанная Mexican Central Bank. Эталон TIIE базируется на 28-дневных депозитах, поэтому является нетипичным для оценки краткосрочных капиталов (для большинства валют используется суточный (overnight) или другой схожий ориентир).
Overnight (O/N) Является самым широко используемым краткосрочным ориентиром и представляет из себя ставку для остатков средств от сегодняшнего и до начала следующего рабочего дня.
Spot-Next (S/N) Ставка для остатков средств от следующего рабочего дня до рабочего дня после него. В связи с разницей часовых поясов и наличием других факторов, коэффициенты Spot-Next иногда используются как краткосрочный ориентир.
RBA Daily Cash Target (AUD) Ссылается на однодневную ставку, устанавливаемую Reserve Bank of Australia, оказывающую влияние на краткосрочные процентные ставки.
NZD Daily Cash Target (NZD) Ссылается на однодневную ставку, устанавливаемую Reserve Bank of New Zealand и оказывающую влияние на краткосрочные процентные ставки.
Ставки CNH HIBOR за ночное установление Рассчитывая проценты, IB следует правилам рынка и не включает установки, сделанные в государственные праздники CNH, CNY или HKD.
Календарное соглашение: Компания IB следует международным стандартам начисления процентов, согласно которым ставки для большинства валют выражены на основе 360-дневного календарного года, а для других валют (например, GBP) за основу расчетов берется 365-дневный год.

 

Методика вычисления действующих ставок

ВВОДНАЯ ИНФОРМАЦИЯ

При вычислении процентов, которые владельцы счетов получают по кредитным и выплачивают по дебетовым остаткам, каждой валюте присваивается ориентир или справочная ставка. Справочная ставка основывается на тарифах рынка краткосрочного капитала, но ее предел находится выше/ниже широко используемых ориентиров. Данный документ разъясняет процесс расчета действующих ставок.

 

Справочные ставки

Определение справочных тарифов состоит из трех этапов и основывается на подразумеваемых рыночных ставках, пределы которых находятся выше/ниже традиционных твердых ставок-ориентиров.

1. Подразумеваемые рыночные ставки
За рыночными расценками мы обращаемся к краткосрочным рынкам валютных свопов. Поскольку большинство транзакций связаны с американским долларом, цены свопа иностранных валют с американским долларом отбираются для предопределенного периода, который называется “Временной промежуток фиксинга” - он предназначен для отражения часов ликвидности и основного оборота. Используемые сроки свопа и промежутки фиксинга зависят от валюты. На основе лучшего бида и аска в группе, состоящей максимум из 12 крупнейших банков Forex, рассчитываются подразумеваемые краткосрочные ставки неамериканских валют (как правило, сутки (T/T+1, Tom Next (T+1/T+2) или Spot Next (T+2/T+3) ). По окончании временного промежутка фиксинга эти расчеты претерпят сортировку с отсеиванием наибольшего и наименьшего показателя, а остаток будет усреднен для определения подразумеваемой рыночной ставки.

2. Традиционная тарификация ориентиров
В случае традиционных ориентиров мы обращаемся к фиксингам. Как правило, такие ставки определяются на основе банковских показателей или текущих транзакций. Ставка предложения на лондонском межбанковском рынке (LIBOR), например, вычисляется путем опроса группы банков касательно ставки, по которой они могли бы производить заем средств у других банков в конкретное время каждого дня.

3. Справочные ставки
Окончательные справочные тарифы определяются с использованием подразумеваемой рыночной ставки образом, описанным в пункте 1, но ограничиваются несколько выше/ниже по сравнению с традиционным ориентиром, как описано в пункте 2. Пределы могут меняться в любой момент без предварительного уведомления - их, а также актуальный валютный фиксинг и ориентир, можно найти в таблице 5 ниже.

Примеры
а. Предположим, что подразумеваемая рыночная ставка GBP составляет 0.05% в сутки. Фиксированный суточный тариф Libor для GBP равен 0.20%. Тогда действующая ставка равна подразумеваемой рыночной ставке в 0.05%, поскольку находится в пределах 0.25% с учетом тарифа Libor в 0.20%.
б. Если, к примеру, подразумеваемая рыночная ставка CNH составляет 1.1%, но фиксинг за этот же период равен 1.5%, то ограничение действующего процента будет ниже фиксинга-ориентира на 0.25% и составит 1.25% (фиксинг 1.5% - ограничение 0.25%).

Примечание: Пределы (могут меняться в любой момент без предварительного уведомления)

 
Валюта Описание ориентира Ограничение (выше)2 Ограничение (ниже)2
USD Fed Funds Effective (суточная ставка)  0.00% 0.00%
USD 11 am GMT USD LIBOR (используется только для сборов по займу USD-CFD, золота и серебра)  0.00% 0.00%
AUD Целевая дневная ставка RBA  1.00% 1.00%
CAD Суточная кредитная ставка банка Канады  1.00% 1.00%
CHF LIBOR швейцарского франка (ставка Spot-Next) 1.00% 1.00%
CNY/CNH Суточная твердая ставка CNH HIBOR (TMA) 3.00% 3.00%
CZK Предлагаемая межбанковская ставка Праги 1.00% 1.00%
DKK Датский индекс Tom/Next 1.00% 1.00%
EUR EONIA (средний суточный индекс евро) 1.00% 1.00%
GBP GBP LIBOR (суточная ставка) 1.00% 1.00%
HKD HKD HIBOR (суточная ставка) 1.00% 1.00%
HUF Предлагаемая межбанковская ставка Будапешта 1.00% 1.00%
ILS Предлагаемая суточная межбанковская ставка Тель Авива 1.00% 1.00%
INR Базовая ставка Центрального банка Индии 0.00% 0.00%
JPY JPY LIBOR (ставка Spot-Next) 1.00% 1.00%
KRW Корейский вон KORIBOR (1 неделя) 0.00% 0.00%
MXN Мексиканская межбанковская TIIE (28-дневная ставка) 3.00% 3.00%
NOK Взвешенное суточное среднее Норвегии 1.00% 1.00%
NZD Официальная дневная ставка новозеландского доллара 1.00% 1.00%
PLN WIBOR (суточная межбанковская ставка Варшавы) 1.00% 1.00%
RUB RUONIA (средний суточный индекс рубля) 3.00% 3.00%
SEK SEK STIBOR (суточная ставка) 1.00% 1.00%
SGD Ставка сингапурского доллара SOR (суточный своп) 1.00% 1.00%
TRY TRLIBOR (Предлагаемая межбанк. ставка турецкой лиры) 3.00% 3.00%
ZAR Суточная ставка-ориентир по южноафр. депозитам (Sabor) 3.00% 3.00%

  

2 Пределы или допустимое отклонение от действующей ставки (выше/ниже фиксинга) может меняться в любой момент без предварительного уведомления.

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.

Обзор предлагаемых IBKR CFD на акции

Данная статья содержит вводную информацию о контрактах на разницу (CFD) акций, предлагаемых в IBKR.

Информацию о CFD IBKR на индексы можно найти здесь. Сведения о Forex CFD доступны здесь.

Список тем:

I.    Определение CFD
II.   Сравнение CFD с базисными активами
III.  Особенности сборов и маржи
IV.  Пример
V.   Материалы по CFD
VI.  Часто задаваемые вопросы

 

Предупреждение о рисках

CFD - это комплексные контракты, несущие высокий риск денежных потерь ввиду кредитного плеча.

67% счетов розничных инвесторов терпят убытки, торгуя CFD через IBKR (UK).

Вам следует убедиться, что Вы понимаете принцип работы CFD и можете позволить себе подвергнуть Ваш капитал такому риску.

Правила ESMA по CFD (только для розничных клиентов)

Европейская служба по ценным бумагам и рынкам (ESMA) ввела новые правила для CFD, вступившие в силу 1 августа 2018 года.

В эти правила входят: 1) ограничения кредитного плеча при открытии позиции по CFD; 2) правило ликвидации согласно марже конкретного счета; и 3) защита счета от отрицательного баланса.

Решение ESMA касается только розничных клиентов. Оно не распространяется на профессиональных клиентов.

Подробнее можно узнать на странице Ввод правил ESMA по CFD в IBKR.

I.  Определение CFD на акции

CFD IBKR - это внебиржевые (OTC) контракты, которые дают право на доходность базовой акции, включая дивиденды и корпоративные действия (подробнее о корпоративных действиях по CFD).

Другими словами, это договор между покупателем (Вами) и IBKR на обмен разницей между текущей и будущей стоимостью акции. Если у Вас длинная позиция и разница положительная, то IBKR платит Вам. Если она отрицательная, то Вы платите IBKR.

Торговля CFD IBKR на акции происходит с Вашего маржевого счета, а поэтому Вы можете устанавливать длинные и короткие позиции с кредитными плечом. Цена CFD - это биржевая котировка стоимости базисной акции. Более того, котировки CFD IBKR идентичны Smart-маршрутизированным котировкам акций, которые Вы можете увидеть в Trader Workstation, а IBKR обеспечивает прямой рыночный доступ (DMA) к ним. Подобно акциям, базовый хедж Ваших нерыночных (т.е. лимитных) ордеров будет напрямую отражаться в углубленных данных (deep book) бирж, на которых он находится.  Это также значит, что Вы можете размещать ордера на покупку CFD по биду и продавать по аску андерлаинга.

Для сравнения прозрачной модели CFD IBKR с другими, доступными на рынке, ознакомьтесь с Обзором рыночных моделей CFD.

На данный момент IBKR предлагает примерно 7100 CFD на акции, охватывая основные рынки США, Европы и Азии.  Составляющие нижеперечисленных крупных индексов также доступны в качестве CFD IBKR на акции. Помимо этого во многих странах компания IBKR поддерживает торговлю ликвидными акциями с низкой капитализацией. Это акции со скорректированной на свободный оборот рыночной капитализацией, составляющей как минимум USD 500 млн., и средней дневной стоимостью от USD 600 тыс.   Подробнее на странице Списки продуктов CFD. Скоро будут добавлены и другие страны.

США S&P 500, DJA, Nasdaq 100, S&P 400 (средн. кап.), ликвидн. средн. кап.
Великобритания FTSE 350 + ликв. низк. кап. (вкл. IOB)
Германия Dax, MDax, TecDax + ликв. низк. кап.
Швейцария Швейцарская часть STOXX Europe 600 (48 акций) + ликв. низк. кап.
Франция CAC высок. кап., CAC средн. кап. + ликв. низк. кап.
Нидерланды AEX, AMS средн. кап. + ликв. низк. кап.
Бельгия BEL 20, BEL средн. кап. + ликв. низк. кап.
Испания IBEX 35 + ликв. низк. кап.
Португалия PSI 20
Швеция OMX Stockholm 30 + ликв. низк. кап.
Финляндия OMX Helsinki 25 + ликв. низк. кап.
Дания OMX Copenhagen 30 + ликв. низк. кап.
Норвегия OBX
Чехия PX
Япония Nikkei 225 + ликв. низк. кап.
Гонконг HSI + ликв. низк. кап.
Австралия ASX 200 +ликв. низк. кап.
Сингапур* STI + ликв. низк. кап.
Южная Африка Top 40 + ликв. низк. кап.

 *недоступно жителям Сингапура

II.   Сравнение CFD с базисными активами

В зависимости от Ваших торговых целей и стиля торговли у CFD может быть как ряд преимуществ, так и некоторые минусы по сравнению с акциями:
 
ПРЕИМУЩЕСТВА CFD IBKR НЕДОСТАТКИ CFD IBKR
Нет гербовых сборов или налога на финансовые транзакции (Британия, Франция, Бельгия) Нет права владения
Более низкие комиссии и ставки маржи, чем у акций Комплексные корпоративные действия не всегда повторимы
Налоговые льготы по международному соглашению без необходимости требования о возврате Налог с прибыли может отличаться от акций (уточните у своего налогового консультанта)
Не действуют правила дневного трейдинга  

III.  Особенности сборов и маржи

CFD IBKR могут оказаться еще более эффективным способом торговли на Европейских фондовых рынках, чем экономичные предложения IBKR по акциям.

Во-первых, по сравнению с акциями, у CFD IBKR низкие комиссии и такие же низкие спреды финансирования:

ЕВРОПА   CFD АКЦИИ
Комиссии GBP 0.05% GBP 6.00 + 0.05%*
EUR 0.05% 0.10%
Финансирование** Бенчмарка +/- 1.50% 1.50%

*За ордер + 0.05% при превышении GBP 50,000
**При финансирование CFD - на основе общей стоимости позиции; при финансировании акций - на основе занятой суммы

Чем больше Вы торгуете, тем меньше становятся комиссии по CFD (могут опуститься до 0.02%). Ставки финансирования понижаются для более крупных позиций (плоть до 0.5%).  См. Комиссии CFD и Ставки финансирования CFD.

Во-вторых, маржинальные требования CFD ниже, чем у акций. Для розничных клиентов действуют дополнительные маржинальные требования, предписанные европейским надзорным органом ESMA. См. Ввод правил ESMA по CFD в IBKR.

  CFD АКЦИИ
  Все Стандарт Маржевый портфель
Минимальные маржинальные требования*

10%

25% - 50% 15%

*Типичная маржа "голубых фишек". Для розничных клиентов действует минимум начальной маржи в 20%. Стандартная внутридневная минимальная маржа 25%; ночью 50%.  Отображаемая маржа портфеля - это минимальная маржа (вкл. ночную). Для более волатильных активов действуют повышенные требования.

Подробнее на странице Маржинальные требования CFD.


IV.  Рабочий пример (для профессиональных клиентов)

Рассмотрим пример. Доходность Unilever’s Amsterdam за прошлый месяц составила 3.2% (20 торговых дней до 14-го мая 2012), и Вы считаете, что результативность сохранится. Вам нужно открыть позицию в 200,000 EUR и сохранять ее 5 дней. Вы совершаете 10 сделок для ее образования и 10 для закрытия. Ваши затраты составят:

АКЦИИ

  CFD АКЦИИ
Позиция EUR 200,000   Стандарт Маржевый портфель
Маржинальное требование 20,000 100,000 30,000
Комиссия (в обе стороны) 200 400 400
Процентная ставка (упрощенная) 1.50% 1.50% 1.50%
Профинансированные объем 200,000 100,000 170,000
Профинансированные дни  5 5 5
Процентные затраты (упрощенная ставка 1.5%) 41.67 20.83 35.42
Общая прямая стоимость (комиссии + процент) 241.67 420.83 435.42
Разница стоимости   74% выше 80% выше

Примечание: Процентные сборы по CFD рассчитываются на основе всей позиции, а по акциям согласно занятой сумме. Для акций и CFD действуют одинаковые ставки.

 

Тем не менее предположим, что для обеспечения маржи у Вас есть только 20,000 EUR. Если показатели Unilever останутся такими же, как в прошлом месяце, то Ваша потенциальная прибыль составит:  

ВЫГОДА КРЕДИТНОГО ПЛЕЧА CFD АКЦИИ
Доступная маржа 20,000 20,000 20,000
Общее вложение 200,000 40,000 133,333
Валовая прибыль (5 дней) 1,600 320 1,066.66
Комиссии 200 80.00 266.67
Процентные затраты (упрощенная ставка 1.5%) 41.67 4.17 23.61
Общая прямая стоимость (комиссии + процент) 241.67 84.17 290.28
Чистая прибыль (валовая прибыль минус прямая стоимость) 1,358.33 235.83 776.39
Сумма дохода по маржинальным инвестициям 0.07 0.01 0.04
Разница   83% меньше прибыли 43% меньше прибыли

 

РИСК КРЕДИТНОГО ПЛЕЧА CFD АКЦИИ
Доступная маржа 20,000 20,000 20,000
Общее вложение 200,000 40,000 133,333
Валовая прибыль (5 дней) -1,600 -320 -1,066.66
Комиссии 200 80.00 266.67
Процентные затраты (упрощенная ставка 1.5%) 41.67 4.17 23.61
Общая прямая стоимость (комиссии + процент) 241.67 84.17 290.28
Чистая прибыль (валовая прибыль минус прямая стоимость) -1,841.67 -404.17 -1,356.94
Разница   78% меньше убытков 26% меньше убытков

 

V.   Материалы по CFD

Ниже Вы найдете полезные ссылки на более подробную информацию о предлагаемых IBKR CFD:

Характеристики CFD

Список инструментов CFD

Комиссии CFD

Ставки финансирования CFD

Маржинальные требования CFD

Корпоративные действия по CFD

Также доступен следующий видеоурок:

Как создать сделку с CFD в Trader Workstation

 

VI.  Часто задаваемые вопросы

Какие акции доступны в качестве CFD?

Акции с высоким или средним уровнем капитализации в США, Северной и Западной Европе, Японии.  На многих рынках также доступны ликвидные акции с низкой капитализацией. Подробнее на странице Списки продуктов CFD. Скоро будут добавлены и другие страны.

 

У Вас есть CFD на биржевые и валютные индексы?

Да. См. Индексные CFD IBKR: Факты и частые вопросы и Forex CFD: Факты и частые вопросы.

 

Как устанавливаются котировки CFD на акции?

Котировки CFD IBKR идентичны Smart-маршрутизированным котировкам базисной акции. IBKR не расширяет спред и не открывает противонаправленные позиции. Подробнее в статье Обзор рыночных моделей CFD.

 

Могу ли я видеть свои лимитные ордера на бирже?

Да. IBKR обеспечивает прямой рыночный доступ (DMA), благодаря которому базовый хедж Ваших нерыночных (т.е. лимитных) ордеров будет напрямую отражаться в углубленных данных (deep book) бирж, где он находится. Это также значит, что Вы можете размещать ордера на покупку CFD по биду и продавать по аску андерлаинга. Улучшение цены возможно при наличии аналогичного ордера другого клиента с ценой, которая выгоднее доступной на открытых рынках.

 

Как рассчитывается маржа CFD на акции?

IBKR устанавливает рисковую маржу на основе исторической волатильности каждого базового актива. Минимальная маржа составляет 10%. Большинство CFD IBKR маржируются по этой ставке, зачастую делая CFD выгоднее базовых акций в этом плане/  Для розничных клиентов действуют дополнительные маржинальные требования, предписанные европейским надзорным органом
ESMA. См. Ввод правил ESMA по CFD в IBKR. Отдельные позиции по CFD, а также воздействие на CFD базисных акций не компенсируются портфелем. Концентрированные и особо крупные позиции могут подлежать дополнительной марже. Подробнее на странице Маржинальные требования CFD.

 

Подлежат ли короткие позиции по CFD на акции вынужденному выкупу?

Да. При сложности/невозможности займа базисной акции обладатель короткой CFD-позиции станет объектом выкупа.

 

Как поступают с дивидендами и корпоративными действиями?

Экономический эффект от корпоративного действия для владельцев CFD передается таким же образом, как при владении базисным активом. Дивиденды выражаются в виде денежных корректировок, в то время как прочие процессы могут вылиться в корректировку средств, позиции или и того, и другого. Например, если корпоративное действие приводит к изменению количества акций (скажем, обычный или обратный сплит), то в число CFD будет внесена надлежащая поправка. Если в результате действия формируется новое юр. лицо с котирующимися акциями, которые IBKR решает предлагать в качестве CFD, то создаются новые длинные или короткие позиции на соответствующие суммы. Дополнительные сведения можно найти в разделе Корпоративные действия по CFD.

*Обращаем внимание, что в некоторых случаях точная корректировка CFD для комплексных корпоративных действий может быть невозможна. Тогда IBKR может аннулировать CFD до экс-дивидендной даты.

 

Все ли могут торговать CFD в IBKR?

Торговля CFD IBKR доступна всем клиентам, кроме резидентов США, Канады, Гонконга. Жители Сингапура могут торговать всеми CFD, кроме базирующихся на андерлаингах, которые котируются в Сингапуре. Правила доступности на основе места жительства действуют для всех, независимо от типа инвестора.

 

Что нужно сделать, чтобы начать торговать CFD через IBKR?

Разрешение на торговлю CFD необходимо активировать в "Управлении счетом", подтвердив прочтение соответствующих уведомлений. Если Ваш счет находится в IBKR LLC, то IBKR создаст новый сегмент счета (с тем же номером и дополнительной приставкой “F”). Получив подтверждение, Вы сможете начать торговлю. F-счет не нужно финансировать отдельно - средства для поддержания маржи CFD будут автоматически переводиться с основного сегмента.  

Обязательны ли какие-либо рыночные данные?

Рыночные данные по CFD IBKR на акции - это данные по базисным активам. Поэтому наличие разрешений на получение рыночных данных от соответствующих бирж обязательно. Если у Вас уже есть необходимые разрешения, ничего делать не нужно. При желании торговать CFD на бирже, на рыночные данные которой у Вас пока нет прав, Вы можете активировать их точно так же, как сделали бы для торговли базовыми акциями

 

Как мои сделки и позиции по CFD отражаются в выписках?

Если Ваш счет находится в IBKR LLC, то его позиции по CFD хранятся на обособленном сегменте, отличающемся от номера основного счета приставкой “F”. Наша система поддерживает как раздельные, так и совмещенные выписки. Вы можете изменить настройки в соответствующем разделе "Управления счетом". CFD на других счетах отображаются в выписке вместе с другими инструментами.

 

Можно ли перевести CFD-позиции от другого брокера?

IBKR с радостью поможет Вам с переводом позиций по CFD при согласии Вашего стороннего брокера. Поскольку процесс перевода CFD сложнее, чем перевод акций, мы, как правило, требуем, чтобы позиция составляла как минимум 100 000 USD (или эквивалент в другой валюте).

 

Доступны ли графики для CFD по акциям?

Да.

 Какой вид защиты счета действует при торговле CFD в IBKR?

CFD - это контракты, контрагентом которых является IB UK. Торговля ими не ведется на регулируемой бирже, а клиринг не производится в центральной клиринговой палате. Имея IB UK в качестве второй стороны Ваших сделок с CFD, Вы подвергаетесь финансовым и деловым рискам, включая кредитный риск, характерный торговле через IB UK. Стоит помнить, что средства клиентов, в том числе и институциональных, всегда полностью сегрегируются. Компания IB UK участвует в Программе Великобритании по компенсации в сфере финансовых услуг ("FSCS"), а также IB UK не является участницей Корпорации защиты фондовых инвесторов (“SIPC”). Дополнительную информацию о рисках торговли CFD можно найти в Уведомлении IB UK о рисках CFD.

 

Какие типы счетов IBKR поддерживают торговлю CFD (напр., частный, "Друзья и семья", институциональный и т.д.)? 

Все маржевые счета поддерживают торговлю CFD. Наличиные и SIPP-счета - нет.

 

Каковы максимальные позиции, которые у меня могут быть по конкретному CFD?

Хотя предустановленного лимита нет, помните, что для особо крупных позиций могут действовать повышенные маржинальные требования. Подробнее на странице Маржинальные требования CFD.

 

CFD можно торговать по телефону?

Нет. В исключительных случаях мы можем согласиться обработать ордер на закрытие по телефону, но ни в коем случае не открытие.

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.

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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