Factor Certificates Tutorial

Introduction
Factor certificates employ a daily leverage factor that multiplies the daily performance of the underlying instrument. Unlike knock-out warrants and mini-futures, factor certificates do not have a knock-out barrier. To avoid a loss greater than the investment, the calculation resets intraday if the performance of the underlying threatens to render the certificate worthless.

Daily Leverage
The performance of the certificate is calculated daily, without reference to previous days’ values. If the underlying returns 1% on the day, the value of 3x certificate increases by 3%, a 5x by 5%. The next day the process is repeated, referencing the prior day’s underlying close.

As such, factor certificates are particularly suitable for day-traders.

However, for a period of more than one day, the cumulative performance of the underlying cannot be simply multiplied by a factor of 3 as the previous day’s price always forms the new basis of calculating each day’s performance for the certificate. To illustrate with an example:

Cumulatively, the factor certificate has returned less than 3x the performance of the underlying.

Intraday Reset
If an underlying for a factor certificate loses more than a certain percentage of its value intraday, the calculation is reset by simulating a new day. The reset threshold varies depending on the leverage factor.

Let’s assume a long factor certificate with a 10x leverage factor. According to the terms of the certificate, a reset will be triggered if the underlying loses more than 9.5% during the calculation day.

Let’s now assume that the underlying loses 12% of its value during a particular day. The reset
and final performance will be as follows:

Overview of Central Bank of Ireland CFD Rules Implementation for Retail Clients at IBIE

Overview: 

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

66.3% of retail investor accounts lose money when trading CFDs with IBKR.

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

The Central Bank of Ireland (CBI) enacted new rules applicable to retail clients trading CFDs, effective 1st August 2019. Professional clients are unaffected.

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

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

The following sections detail how IBKR has implemented the CBI Decision.

1 Leverage Limits

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

  • 3.33% for major currency pairs; Major currency pairs are any combination of USD; CAD; EUR; GBP; CHF; JPY
  • 5% for:
    • Non-major currency pairs are any combination that includes a currency not listed above, e.g., USD.CNH
    • Major indices are IBUS500; IBUS30; IBUST100; IBGB100; IBDE40; IBEU50; IBFR40; IBJP225; IBAU200
    • Gold
  • 10% for non-major equity indices; IBES35; IBCH20; IBNL25; IBHK50
  • 20% for individual equities

 1.2 Applied Margins - Standard Requirement

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

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

1.2.1 Applied Margins - Concentration Minimum

A concentration charge is applied if your portfolio consists of a small number of CFD and/or Stock positions, or if the three largest positions have a dominant weight. We stress the portfolio by applying a 30% adverse move on the three largest positions and a 5% adverse move on the remaining positions. The total loss is applied as the maintenance margin requirement if it is greater than the standard requirement for the combined Stock and CFD positions. Note that the concentration charge is the only instance where CFD and Stock positions are margined together.

1.3 Funding of Initial Margin Requirements

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

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

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

2 Margin Close Out Rule

2.1 Maintenance Margin Calculations & Liquidations

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

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

2.1.1 Example

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

 

Cash

Equity*

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Pre Trade

2000

2000

 

 

 

 

 

 

2000

 

Post Trade 1

2000

2000

50

100

5000

0

1000

500

1000

No

Post Trade 2

2000

2000

100

100

10000

0

2000

1000

0

No

 *Equity equals Cash plus Unrealized P&L

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

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

3000

100

110

11000

1000

2000

1000

0

No

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

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

1500

100

95

9500

(500)

2000

1000

0

No

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

 

Cash

Equity

Position

Price

Value

Unrealized P&L

IM

MM

Available Cash

MM Violation

Change

2000

500

100

85

8500

(1500)

2000

1000

0

Yes

 3 Negative Equity Protection

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

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

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

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

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

 

IBKR对零售客户的CFD集中保证金要求

Background: 

如果您的投资组合包含一小部分CFD头寸,或者如果最大的两种头寸占据了绝大多数份额,则您的账户将应用集中保证金。我们会通过对最大的两种头寸假设60%的跌幅、对其余头寸假设10%的跌幅来对您的投资组合进行压力测试。如果总亏损额高于标准要求,则将用总亏损额作为初始保证金要求。

但是为了避免对相对较小的头寸应用过高的初始保证金要求,我们会将初始集中保证金减少10万美元(最终结果不能为负);
应用的集中保证金要求 = 取最大值(计算所得的集中保证金要求 – 100k,0)。

根据ESMA规定,维持保证金为应用的集中保证金要求的50%。

减少10万美元的作用在于消除对低于25万美元等值的集中头寸收取集中保证金。之后的保证金则会逐步增加,如50万美元的集中头寸其初始保证金是40%,100万美元的集中头寸其初始保证金则是50%。以上例子均假设客户最多只有两种头寸;如果还有其它头寸,总的保证金会降低。

举例(应用的保证金以粗体显示)

仅限集中头寸

1. 较小头寸免除集中保证金
初始保证金   集中保证金   标准保证金  
头寸 USD USD % USD %
1 100,000 60,000 60% 20,000 20%
2 50,000 30,000 60% 15,000 30%
总计 150,000 90,000 60% 35,000 23%
减免后   0 0%    
 2. 按减免后的要求应用集中保证金

初始保证金   集中保证金   标准保证金  
头寸 USD USD % USD %
1 250,000 150,000 60% 50,000 20%
2 150,000 90,000 60% 45,000 30%
总计 400,000 240,000 60% 95,000 24%
减免后   140,000 35%    

其它头寸

3. 有其它头寸会进一步降低集中保证金

初始保证金   集中保证金   标准保证金  
头寸 USD USD % USD %
1 250,000 150,000 60% 50,000 20%
2 150,000 90,000 60% 45,000 30%
3 100,000 10,000 10% 20,000 20%
4 50,000 5,000 10% 10,000 20%
5 50,000 5,000 10% 10,000 20%
6 50,000 5,000 10% 10,000 20%
总计 650,000 265,000 41% 145,000 22%
减免后   165,000 25%    

风险警告

差价合约属于复杂金融产品,其交易存在高风险,由于杠杆的作用,可能会出现迅速亏损。

在通过IBKR(UK)交易差价合约时,有67%的零售投资者账户出现了亏损。

您应考虑自己是否理解差价合约的运作机制以及自己是否能够承受亏损风险。

ESMA差价合约新规推行概述 - 仅限零售客户

Overview: 


差价合约属于复杂金融产品,其交易存在高风险,由于杠杆的作用,可能会出现迅速亏损。

在通过IBKR交易差价合约时,有63.7%的零售投资者账户出现了亏损。

您应考虑自己是否理解差价合约的运作机制以及自己是否能够承受亏损风险。

 

欧洲证券与市场管理局(ESMA)颁布了适用于交易差价合约(CFD)的零售客户的新法规,自2018年8月1日起生效。专业客户不受影响。

法规包含:1) 杠杆限制;2) 以单个账户为单位的保证金平仓规则;3) 以单个账户为单位的负余额保护规则;4) 对交易差价合约激励措施的限制;以及 5) 标准的风险警告。

大多数客户(受监管的实体除外)一开始都会被分类为零售客户。某些情况下,IBKR可能会同意将零售客户重新分类为专业客户或将专业客户重新分类为零售客户。更多详细信息,请参见MiFID分类

以下板块详细说明了IBKR(英国)是如何贯彻ESMA规定的。

1 杠杆限制

1.1 ESMA保证金
ESMA针对不同的底层证券设置了不同的杠杆限制:

  • 货币对为3.33%;主要货币对为美元、加元、欧元、英镑、瑞郎、日元间的任意组合
  • 非主要货币对及主要指数为5%;
    • 非主要货币对为包括上方未列出的货币的任意组合,如美元/离岸人民币
    • 主要指数为IBUS500、IBUS30、IBUST100、IBGB100、IBDE40、IBEU50、IBFR40、IBJP225、IBAU200
  • 非主要股票指数为10%,包括IBES35、IBCH20、IBNL25、IBHK50
  • 个股为20%

 1.2应用的保证金 - 标准保证金要求

除ESMA的保证金要求外,IBKR(英国)还基于底层证券的历史波动率及其它因素实施其自有的保证金要求(IB保证金) 如果IB的保证金率高于ESMA规定的比例,则应用IB的保证金率。

点此可查看适用的IB和ESMA保证金要求详情。

1.2.1应用的保证金 - 最低集中保证金要求

如果您的投资组合包含一小部分CFD头寸,或者如果最大的两种头寸占据了绝大多数份额,则您的账户将应用集中保证金。我们会通过对最大的两种头寸假设30%的跌幅、对其余头寸假设5%的跌幅来对您的投资组合进行压力测试。如果总亏损额高于标准要求,则将用总亏损额作为维持保证金要求。

1.3可用于初始保证金的资金

您只可使用现金作为初始保证金开立差价合约头寸。已实现的差价合约盈利将包括在现金中且立即可用;现金无需先结算。然而,未实现的盈利不得用于满足初始保证金要求。

1.4自动转移资金以满足初始保证金要求(账户F账户段)

IBKR(英国)会自动将您主账户中的资金转移至账户的F账户段,用于满足差价合约的初始保证金要求。

然而,需注意的是,系统不会转移资金用于满足差价合约维持保证金要求。因此,如符合条件的资产(参照下方定义)不足以满足保证金要求,则即使您的主账户中有足够的资金,账户仍会被清算。如您想避免被清算,您必须在账户管理中将多余的资金转移至账户的F账户段。

2 保证金平仓规则

2.1维持保证金计算与清算

如果符合条件的资产跌至开仓初始保证金的50%以下,ESMA要求IBKR最后清算差价合约仓位。如果我们的风险观更为保守,IBKR可能会更早平仓仓位。符合条件的资产包括F账户段下的现金(不包括账户任何其它账户段下的现金)及未实现的差价合约盈亏(盈利及亏损)。

计算的基础为开立差价合约头寸时存入的初始保证金。 换言之,当差价合约头寸的价值发生变动时,初始保证金的金额不会变化,这与非差价合约头寸适用的保证金计算方式不同。

2.1.1举例

您的差价合约账户中有2000欧元现金。您想以100欧元的限价买入100份XYZ的差价合约。首先成交了50份合约,然后再成交其余的50份。随着您的交易成交,您的可用现金如下减少:

  现金 净资产* 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
交易前 2000 2000             2000  
第一次交易后 2000 2000 50 100 5000 0 1000 500 1000
第二次交易后 2000 2000 100 100 10000 0 2000 1000 0

*净资产等于现金加未实现盈亏

价格上涨至110。您的净资产现为3000,但由于您的可用现金仍为0,且在ESMA规则下初始保证金和维持保证金不变,您不得开立新的头寸:

  现金 股票 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
变化 2000 3000 100 110 11000 1000 2000 1000 0

 然后价格下跌至95。您的净资产跌至1500,但鉴于净资产仍大于1000,无需追加保证金:

  现金 股票 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
变化 2000 1500 100 95 9500 (500) 2000 1000 0

价格进一步跌至85,导致保证金不足并触发清算:

  现金 股票 头寸 价格 价值 未实现盈亏 初始保证金 维持保证金 可用现金 维持保证金不足
变化 2000 500 100 85 8500 (1500) 2000 1000 0

 

3 负资产保护

ESMA规则规定,您交易差价合约的损失以划拨的专项资金为上限。不得清算其它金融产品(如股票或期货)来填补差价合约的保证金缺口。*

因此,您主账户证券和大宗商品账户段的资产,以及F账户段中持有的非差价合约资产不列入差价合约交易的风险资本。但是,F账户段中的所有现金都可用以弥补差价合约交易产生的亏损。

由于负资产保护对IBKR来说意味着要承担额外风险,对于隔夜持有的差价合约头寸我们会向零售客户额外收取1%的融资息差。您可在此处查看详细的差价合约融资利率。

*我们无法清算非差价合约头寸来弥补差价合约不足,但可以清算差价合约头寸来弥补非差价合约不足。

4 交易差价合约的激励措施

ESMA规定对与差价合约交易相关的金钱及某些非金钱激励均予以禁止。IBKR不对交易差价合约提供任何奖金或其它激励。

 

差价合约市场模型概述

场外交易差价合约(CFD)市场通常有三种模型:直接市场接入(DMA)、代理经纪商或做市商模型。

IB运营的是DMA模型,在三种模型中透明度最高。在该模型中,供应商会立即在底层现货市场对冲差价合约定单,而差价合约则以对冲的价格执行。这旨在提高价格透明度,供应商的酬金通常完全来自于佣金,而非加价或减价。

通过DMA模型,专业IB客户可在交易所定单册添加报价,方法与交易股票时一样。因IB会为所有差价合约定单立即匹配一个对冲定单,非适销的差价合约定单便会在交易所为底层股票创建一个对应的非适销定单。客户可在2级定单册查看“他们的定单”。

此外,所有定单,无论适销还是非适销,均采用IB智能传递(SmartRouting)技术,该技术通过在多个底层市场(LSE、CHI-X、Turquoise、BATS或以其它客户定单为对家内部传递)中选择一个来传递定单以确保最佳执行。

代理经纪商模型与DMA模型非常相似,定单直接通过底层现货市场进行对冲。但该模型下,参与者无法在交易所看到自己的限价定单,因为这些定单均由供应商暂存,只在变为适销后才会传递出来。

相反,在传统的做市商模型下,差价合约供应商会将所有定单纳入其定单册,并可自行决定交易如何对冲或抵消,使用期权、权证、期货或直接通过底层市场。供应商常常会通过免除佣金进行促销。这里,价格根据供应商自己的定价模型确定,该等定价模型在买卖价差中并入了盈利。该模型常常与动荡市场逐渐扩大的价差以及出现重新报价的可能性相关联。

 

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

Overview: 


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

66.3% of retail investor accounts lose money when trading CFDs with IBKR.

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

 

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

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

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

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

1 Leverage Limits

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

  • 3.33% for major currency pairs; Major currency pairs are any combination of USD; CAD; EUR; GBP; CHF; JPY
  • 5% for non-major currency pairs and major indices;
    • Non-major currency pairs are any combination that includes a currency not listed above, e.g. USD.CNH
    • Major indices are IBUS500; IBUS30; IBUST100; IBGB100; IBDE40; IBEU50; IBFR40; IBJP225; IBAU200
  • 10% for non-major equity indices; IBES35; IBCH20; IBNL25; IBHK50
  • 20% for individual equities

 1.2 Applied Margins - Standard Requirement

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

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

1.2.1 Applied Margins - Concentration Minimum

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

1.3 Funds Available for Initial Margin

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

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

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

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

2 Margin Close Out Rule

2.1 Maintenance Margin Calculations & Liquidations

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

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

2.1.1 Example

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

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

*Equity equals Cash plus Unrealized P&L

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

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

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

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

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

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

 

3 Negative Equity Protection

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

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

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

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

4 Incentives Offered to trade CFDs

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

 

CFD Accounting Methods: Open Trade Equity vs. Variation Margin

Risk Warning

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

66.3% 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.

INTRODUCTION

Open Trade Equity (OTE) and Variation Margin (VM) are two methods by which brokers report CFDs to clients. While account equity and position P/L are identical under the two methods, they are represented differently for statement reporting purposes. An overview of each method is provided below for a sample position.

SAMPLE POSITION

Assume a position in which the client has a starting cash balance of $2,500 and purchases 100 CFD contracts of hypothetical contract "ABC" at a price of $100. Further assume that the closing price of ABC is $100 on Day 1, $110 on Day 2, $95 on Day 3 and $105 on Day 4.

VM MODEL

In the VM model we calculate variation margin as the difference between the closing price of the day and the closing price on the previous day with the difference applied to cash.

The realized profit is the difference between the price at which you opened the position and the price when closed, however, as both the Trade and Position Variation are booked to cash, the Cash Balance equals Account Equity.
 

In this example:

  Day 1 Day 2
Day 3
Day 4
Price $100 $110 $95 $105
Traded Size 100 0 0 (100)
Position VM
$0 $1,000 ($1,500) $0
Trade VM $0 $0 $0 $1,000
Realized P&(L) $0 $0 $0 $500
Starting Cash $2,500 $2,500 $3,500 $2,000
Ending Cash $2,500 $3,500 $2,000 $3,000
Account Equity $2,500 $3,500 $2,000 $3,000


 

OTE MODEL

In the OTE model, the accumulated P&L is carried as OTE, which is the difference between the closing price of the day and the price at which you opened the position. OTE is a component of equity, but not cash. Equity therefore is Cash + OTE, and consistent with the VM model above.

The realized profit is again the difference between the price at which you opened the position and the price when closed it, however, since the running P/(L) is booked as OTE it is only the applied to the Cash Balance once realized.

  Day 1 Day 2
Day 3
Day 4
Price $100 $110 $95 $105
Traded Size 100 0 0 (100)
OTE
$0 $1,000 ($500) $0
Realized P&(L) $0 $0 $0 $500
Starting Cash $2,500 $2,500 $2,500 $2,500
Ending Cash $2,500 $2,500 $2,500 $3,000
Account Equity $2,500 $3,500 $2,000 $3,000

 

IBKR发行的伦敦金属交易所(LME)场外期货 – 事实和常见问题

下文旨在对IBKR发行的伦敦金属交易所(LME)场外期货进行总体介绍。
 
注:美国、加拿大、香港和以色列居民不得交易IBKR LME场外期货。

 

简介

IBKR LME场外期货使客户得以用合成的方式交易伦敦金属交易所的产品——伦敦金属交易所是一家端对端(peer to peer)的交易所,通常不对非成员投资者开放。

LME场外期货是以IB英国(IBUK)作为对手方的场外衍生品合约。LME场外期货在价格、交易单位、类型和合约参数方面均参照对应的LME期货,但该产品自身不是注册的合约。不允许实物交割。

IBKR LME场外期货需通过您的保证金账户交易,因此您既可提交多头头寸,也可提交带杠杆的空头头寸。保证金率与LME设置的比例相同。与其他期货一样,LME场外期货的保证金率基于风险(SPAN),因此比例可变。视合约不同,当前保证金率在6到9%之间。

合约

IBKR就以下金属提供以第三个星期三为到期日的场外期货:

金属 IB代码 价格 美元/ 倍数
高级原铝 AH 公吨 25
A级铜 CA 公吨 25
初级镍 NI 公吨 6
标准铅 PB 公吨 25
SNLME 公吨 5
特等锌 ZSLME 公吨 25

第三个星期三到期

LME提供一系列能满足实物交易者和对冲者需求的合约。其中比较主要的有每日发行的3个月远期期货,实物交易者通过此类期货可精确地满足对冲需求。

第三个星期三到期的合约是以月为单位的合约,也能很好地满足金融交易者的需求。正如其名称所表明的,此类合约在每月的第三个星期三到期,尽管在LME以实物交割,但在IBKR严格以现金交割。第三个星期三到期的合约越来越受欢迎,占LME未平仓合约的65%。

报价及市场数据

IBKR从LME(二级市场数据)获取实时报价,且不会扩大报价价差。每个客户定单会先在交易所被对冲,然后LME场外定单将以对冲时的价格成交。

现金流

IBKR LME场外期货的每日保证金波动及已实现盈亏每天以现金结算,与标准期货一样。相反,底层LME合约的现金流仅当合约到期后才结算。

保证金

IBKR LME场外期货的保证金要求与LME底层合约的保证金要求相同。LME使用标准投资组合风险分析法(SPAN)计算初始保证金。

与其它期货合约一样,保证金率对于每份合约均为一个绝对值,且通常每月更新一次。

交易许可

您需要在账户管理中设置“英国金属”的交易许可。

市场数据

您需要订阅伦敦金属交易所二级数据,目前定价为1.00英镑。

LME场外产品相关资源

产品列表及合约详情链接
佣金
保证金要求

常见问题

开始交易LME场外期货前需要做什么?
您需要在账户管理中设置“英国金属”的交易许可。如果您的账户在IB LLC开立,或是由IB LLC提供服务的IB UK账户,则我们将设置一个新的账户板块(即您当前的账户号码加上后缀“F”)。设置确认后您便可以开始交易了。您无需单独为F账户注资,资金会从您的主账户自动转入以满足保证金要求。

LME场外期货交易与头寸在报表中如何反映?
您的头寸持有在单独的账户板块中,该账户板块以您的主账户号码加上后缀“F”加以区分。您可以选择单独查看F板块的活动报表,也可以选择与主账户合并查看。您可在账户管理的报表窗口进行选择。

交易LME场外期货适用哪些账户保护条款?
LME场外期货以IB英国作为您的交易对方,不是在受监管的交易所进行交易,也不是在中央结算所进行结算。因IB英国是您交易的对手方,您会面临与IB英国交易相关的财务和商业风险,包括信用风险。但请注意,所有客户资金永远都是完全隔离的,包括对机构客户。IB英国是英国金融服务补偿计划(“FSCS”)参与者。IB英国不是美国证券投资者保护公司(“SIPC”)成员。

我能否通过电话交易LME场外期货? 不能。在极端情况下我们可能同意通过电话处理平仓定单,但绝不会通过电话处理开仓定单。

IBKR OTC Futures on LME Metals – Facts and Q&A

The following article is intended to provide a general introduction to LME-based OTC Futures issued by IBKR.
 
Note: Residents of the US, Canada, Hong Kong, and Israel cannot trade IBKR LME OTC Futures.

 

Introduction

IBKR LME OTC Futures provide clients synthetic access to the London Metal Exchange, a peer to peer exchange not generally available to non-member investors.

The LME OTC Futures are OTC derivative contracts with IBUK as the counterparty. The LME OTC Futures reference the corresponding LME future in terms of price, lot size, type and specification but are themselves not registered contracts. Physical delivery is not permitted.

IBKR LME OTC Futures are traded through your margin account, and you can therefore enter long as well as short leveraged positions. Margin rates equal those established by the LME. Like other futures they are risk-based (SPAN), and therefore variable. Current margins range between 6 and 9% depending on the contract.

Contracts

IBKR offers OTC Futures on the 3rd Wednesday expirations for the following metals:

Metal IBKR Symbol Price USD/ Multiplier
High Grade Primary Aluminium AH Metric Ton 25
Copper Grade A CA Metric Ton 25
Primary Nickel NI Metric Ton 6
Standard Lead PB Metric Ton 25
Tin SNLME Metric Ton 5
Special High Grade Zinc ZSLME Metric Ton 25

3rd Wednesday Expirations

The LME features a range of contracts adapted to the needs of physical traders and hedgers. The principal among them are daily 3-month forwards used by physical traders to precisely match their hedges to their needs.

The 3rd Wednesday contracts are monthly contracts, like futures, and as such better adapted to the needs of financial traders. As the name suggests, they expire on the 3rd Wednesday of each month and, although physically settled on the LME, are strictly cash-settled at IBKR. The 3rd Wednesday contracts have become increasingly popular and account for 65% of open interest on the LME.

Quotes and Market Data

IBKR streams quotes from the LME (L2 market data) and does not widen the quote. Every client order is first hedged on exchange and the LME OTC order filled at the price of the hedge.

Cash Flows

Daily variation margin and realized P&L for the IBKR LME OTC Futures are cash-settled daily, like a standard future. By contrast, cash flows for the underlying LME contract are only settled after the contract has expired.

Margins

The margin requirements for the IBKR LME OTC Futures equal the requirement for the underlying contract on the LME. LME uses Standard Portfolio Analysis of Risk (SPAN) to calculate Initial Margin.

Like for other futures, the margin rates are established as an absolute value per contract and usually updated monthly.

Trading Permissions

You will need to set up permissions for United Kingdom Metals in Client Portal.

Market Data

You will need a subscription for Level II London Metal Exchange, currently GBP 1.00.

LME OTC Resources

Product Listings & Links to Contract Details
Commissions
Margin Requirements

Frequently asked Questions

What do I need to do to start trading LME OTC Futures?
You need to set up trading permission for United Kingdom Metals in Client Portal. If you have an IB LLC or an IB UK account carried by IB LLC we will 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 segment separately; funds will be automatically transferred from your main account to meet margin requirements.

How are my LME OTC Futures trades and positions reflected in my statements?
Your 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 Client Portal.

What account protections apply when trading LME OTC Futures?
LME OTC Futures 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 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”).

Can I trade LME OTC Futures over the phone?
No. In exceptional cases we may agree to process closing orders over the phone, but never opening orders.

Overview of Forex CFDs issued by IB Australia - Facts and Q&A

Overview: 

The following article is intended to provide a general introduction to forex-based Contracts for Differences (CFDs) issued by IB Australia (IBA).

Background: 

IBA Forex CFDs are available for 85 tradable currency pairs , with low commissions and margin rates. Forex CFDs feature a contract-style highly competitive financing model detailed below.

For information on IBA Share CFDs click here. For Index CFDs click here.

Transparent DMA Quotes: IBA ensures tight spreads and substantial liquidity as a result of combining quotation streams from 14 of the world's largest foreign exchange dealers which constitute more than 70% of market share in the global interbank market*. This results in displayed quotes as small as 0.1 PIP. IBA does not mark up the quotes, rather passes through the prices that it receives and charges a separate low commission.

*Source: Euromoney FX survey FX Poll 2016.

Carry Interest: Forex CFDs are rolled over reflecting the benchmark interest rate differential of the relevant currency pair. This is in principle similar to the TOM Next rolls used by other brokers, but offers greater stability as benchmark rates generally are less volatile than swap rates. In addition IBA applies a low financing spread that for major pairs starts at just 1.0% and can be as low as 0.5% for large balances. More volatile pairs have higher financing spreads.

The carry interest for IBA Forex CFDs is based on a currency-pair specific benchmark and a spread. The benchmark is the difference between the IBA benchmark rates for the two currencies. It is calculated as + BM Base currency – BM Quote currency.

For example, April 21, 2016 the GBP benchmark rate was 0.483%, the USD rate was 0.37%. The applicable benchmark rate is:

GBP.USD BM +0.48% - 0.37% = +0.113%

The applicable customer rate is Pair BM – IBA spread for long positions, BM + spread for short positions:

GBP.USD Long Rate +0.113% - 1.00% = -0.887%

GBP.USD Short Rate +0.113% + 1.00% = +1.113%

It is important to note that the long rate is applied as a credit, the short rate as a debit. Consequently for a long position a positive rate means a credit, a negative rate a charge. However for short positions a positive rate means a charge, a negative rate a credit.

Interest is calculated on the contract value expressed in the quote currency, and credited or debited in that currency if it is either AUD or USD. Interest in other currencies is converted into the base currency of your account and then credited or debited.

For example:

Daily Interest
  Position GBP.USD Close USD Value Rate USD
GBP.USD -20,000 1.43232 -28,646.40 1.113% -0.89

Interest on Forex CFD balances is calculated on a stand-alone contract basis, and not combined or netted with other currency exposures, including Spot FX. Although IBA does not directly reference swap rates, IBA reserves the right to apply higher spreads in exceptional market conditions, such as during spikes in swap rates that can occur around fiscal year-ends.
Detailed interest schedules can be viewed here.

Trading: IBA Forex CFDs can be traded either in classical TWS or in the IBA FX Trader, with over 20 available order types and algos. To find the contract you want to trade in classical TWS or FX Trader, enter the currency pair (i.e. EUR.USD) and choose Sec Type CFD in the Contract Selection pop-up.

Margin: IBA Forex CFD margins are determined for each currency pair on a per contract basis without regard to other Forex balances held in the account. Margins start as low as 2.5% of contract value for major currency pairs. Details for all currency pairs can be found here.

Commissions: IBA passes through the prices that it receives and charges a separate low commission. We do this in the interest of providing a transparent pricing structure instead of marking up our quotes and charging nothing in commissions as is the practice with many forex brokers. Commissions are tiered based on monthly traded value, and range from 0.20 basis points to 0.08 basis points.

Details are found here.

Trading Permissions: In order to trade Forex CFDs, you must set up the trading permission for Forex CFDs in Account Management. The suitability criteria are the same as those for Leverage FX. Share and Index CFDs are a separate trading permission.

Trading Example

Opening the position

You purchase 10 lots (200000) EUR.CHF CFDs at $1.16195 for CHF 232,390, which you then hold for 5 days.

EUR.CHF Forex CFDs – New Position
Reference Underlying Price 1.16188 - 1.16195
CFDs Reference Price 1.16188 - 1.16195
Action Buy
Quantity 200,000
Trade Value CHF 232,390.00
Margin (3% x 232,390) AUD 9,100

 

Interest Charged (on CHF 232,390 over 5 days)
Tier I (Pair BM 0.42% - IB Spread 1%) CHF 232,390.00 -0.58% (CHF 18.72)

Closing the position

Exit CFD Position
  Profit Scenario Loss Scenario
Reference Underlying Price 1.16840 - 1.16848 1.15539 - 1.15546
CFDs Reference Price 1.16840 - 1.16848 1.15539 - 1.15546
Action Sell Sell
Quantity 200,000 200,000
Trade Value CHF 233,680.00 CHF 231,078.00
Trade P&L CHF 1,290.00 (CHF 1,312.00)
Financing (CHF 18.72) (CHF 18.72)
Entry Commission 0.002% (CHF 4.65) (CHF 4.65)
Entry Commission 0.002% (CHF 4.67) (CHF 4.62)
Total P&L CHF 1,261.96 (CHF 1,339.99)
Total P&L @ AUD.CHF 0.770855 AUD 1,637.09 (AUD 1,738.32)

 

CFD Resources

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

Contract Specifications

CFD Product Listings

CFD Commissions

CFD Financing Rates

CFD Margin Requirements

Frequently Asked Questions

What is the difference between IBA Forex CFDs and other forms of forex trading?

IBA Forex CFDs are differentiated mainly by their their exceptionally tight spreads resulting from that IBA a) combines quotation streams from 14 of the world's largest foreign exchange dealers which constitute more than 70% of market share in the global interbank market*. This results in displayed quotes as small as 0.1 PIP, and b) IBA does not mark up the quotes, rather passes through the prices that it receives and charges a separate low commission.

*Source: Euromoney FX survey FX Poll 2016.

IBA Forex CFDs also offer a unique financing model for positions held overnight. IBA uses a pair benchmark rate which is the difference between the benchmark rates for the two underlying currencies. This is in principle similar to the TOM Next rolls used by other brokers, but offers greater stability as benchmark rates generally are less volatile than swap rates.

Please see the Carry Interest section above for a detailed example.

Are there any market data requirements?

The market data for IBA Forex CFDs is the same as for Leverage FX. It is a global permission and free of charge.

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