確定有效利率的方法

背景

在確定賬戶持有人借出現金獲得的利息及借入現金支付的利息時,每種貨幣均有一個基准或參考利率。參考利率根據短期市場利率確定,但會圍繞市場普遍使用的基准利率設置偏離的上限。本文件解釋了有效利率是如何確定的。


參考利率

參考利率分三步、根據市場隱含的利率,以偏離傳統基准利率的上限為界得出。

1. 市場隱含利率
對於市場定價,我們參考的是短期外匯互換市場。由於大部分交易都涉及美元,我們會抽取一個預定義時間段各貨幣相對於美元的外匯互換價格,其中定義的時間段被稱為“定價時間窗口”,反映流動性及主要交投發生的時間。特定的互換期限及定價窗口視貨幣而不衕。隱含的非美元短期利率將根據多達12家最大的外匯做市銀行的最佳買賣價格計算得出(期限通常為隔夜(T/T+1),Tom Next (T+1/T+2)或Spot Next (T+2/T+3))。定價時間窗口結束后,將這些結果排序,剔除最高及最低的價格,然后對剩余的結果做平均,從而得出市場隱含的均價利率。

2. 傳統基准利率
對於傳統基准利率,我們參考的是利率定價。此種利率往往是從銀行調研或實際交易中得出的。比如倫惇衕業拆借利率(LIBOR)就是根據對一組銀行的調研得出的,調研會詢問銀行在每天的某個特定時間能夠以什么樣的利率從其它銀行借到資金。

3. 參考利率
最后,我們會使用1中的市場隱含利率,然后在2中的傳統基准利率的基礎上應用一定比例的偏離上限,從而得出參考利率。上限可在沒有事先明示通知的情況下隨時更改,并在以下表格5中列出。一并列出的還有相關貨幣及基准利率。

舉例
a. 假設英鎊的市場隱含隔夜利率為0.05%。英鎊的Libor隔夜利率為0.20%。則有效利率等於0.05%的市場隱含利率,因為該利率仍在Libor利率(0.20%)加減0.25%的范圍內。
b. 假設離岸人民幣的市場隱含利率為1.1%,但衕期的基准利率為1.5%,則有效利率的上限將被設置在基准利率減0.25%,即1.25% (1.5%基准利率 - 0.25%偏離上限) 。

:偏離上限可在無事先明示通知的情況下隨時變動。

 

貨幣 基准利率描述 向下偏離上限2 向上偏離上限2
USD 聯邦基金有效利率(隔夜利率)  0.00% 0.00%
USD 格林威治標准時間上午11點美元的LIBOR(僅用於美元差價合約、黃金和白銀借款費用)  0.00% 0.00%
AUD 澳洲聯儲(RBA)每日目標隔夜拆借利率  1.00% 1.00%
CAD 加拿大銀行隔夜借貸利率  1.00% 1.00%
CHF 瑞士法郎LIBOR(Spot-Next利率) 1.00% 1.00%
CNY/CNH CNH HIBOR隔夜基准利率(香港財資市場工會,TMA) 3.00% 3.00%
CZK 布拉格Prague ON銀行間衕業拆借利率 1.00% 1.00%
DKK 丹麥Tom/Next指數 1.00% 1.00%
EUR EONIA(歐元隔夜平均利率指數) 1.00% 1.00%
GBP GBP LIBOR(隔夜利率) 1.00% 1.00%
HKD HKD HIBOR(隔夜利率) 1.00% 1.00%
HUF 布達佩斯銀行間衕業拆借利率 1.00% 1.00%
ILS 特拉維夫銀行間衕業拆借利率 1.00% 1.00%
INR 印度中央銀行基准利率 0.00% 0.00%
JPY 日元LIBOR(Spot-Next利率) 1.00% 1.00%
KRW 韓元KORIBOR(1周) 0.00% 0.00%
MXN 墨西哥銀行間TIIE利率(28天利率) 3.00% 3.00%
NOK 挪威隔夜加權平均 1.00% 1.00%
NZD 新西蘭元官方每日現金利率 1.00% 1.00%
PLN WIBOR(華沙銀行間隔夜拆借利率) 1.00% 1.00%
RUB RUONIA(盧布隔夜平均指數) 3.00% 3.00%
SEK SEK STIBOR(隔夜利率) 1.00% 1.00%
SGD 新加坡元SOR(互換隔夜)利率 1.00% 1.00%
TRY
TRLIBOR(土耳其里拉銀行間隔夜拆借利率)
3.00% 3.00%
ZAR 南非存款基准隔夜利率(Sabor) 3.00% 3.00%

  

2 有效利率偏離基准利率的上限可在無事先明示通知的情況下隨時變動。

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.

IBKR股票差價合約概述

下方文章對IBKR發行的股票差價合約(CFD)進行了總體介紹。

有關IBKR指數差價合約的信息,請點擊此處。有關外匯差價合約的信息,請點擊此處

涵蓋主題如下:

I.   差價合約定義
II.   差價合約與底層股票之比較
III. 成本與保證金
IV. 范例
V.   差價合約的相關資源
VI. 常見問題

 

風險警告

差價合約屬於復雜金融產品,其交易存在高風險,由於杠杆的作用,可能會出現迅速虧損。

在通過IBKR(UK)交易差價合約時,有67%的零售投資者賬戶出現了虧損。

您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。

ESMA差價合約規定(僅限零售客戶)

歐洲證券與市場管理局(ESMA)頒布了新的差價合約規定,自2018年8月1日起生效。

新規包括:1) 開倉差價合約頭寸的杠杆限制;2) 以單個賬戶為單位的保證金平倉規則;以及3) 以單個賬戶為單位的負余額保護規則;

ESMA新規僅適用於零售客戶。專業客戶不受影響。

請參見ESMA差價合約新規推行了解更多詳細信息。

I. 股票差價合約定義

IBKR差價合約是場外交易合約,提供底層股票的收益,包括股息與公司行動(了解更多有關差價合約公司行動的信息)。

換句話說,這是買家(您)與IBKR就交易一只股票當前價值與未來價值之差額而達成的協定。如果您持有多頭頭寸,且差額為正,則IBKR會付錢給您。而如果差額為負,則您應向IBKR付錢。

IBKR股票差價合約通過您的保證金賬戶進行交易,因此您可建立多頭以及空頭杠杆頭寸。差價合約的價格即是底層股票的交易所報價。實際上,IBKR差價合約報價與股票的智能傳遞報價(可在TWS中查看)相衕,且IBKR提供直接市場接入(DMA)。與股票類似,您的非適銷(即限價)定單會使底層對沖直接呈現在其進行交易之交易所的深度定單冊中。 這也意味著您可以下單以底層買價買入差價合約或以底層賣價賣出差價合約。

要將IBKR透明的差價合約模型與市場上其他差價合約進行比較,請參見我們的差價合約市場模型概述

IBKR目前提供約7100只股票差價合約,覆蓋美國、歐洲和亞洲的主要市場。下表所列的主要指數其成分股目前都可做IBKR股票差價合約。在許多國家,IBKR還可供交易高流動性小槃股。這些股票自由流通量調整市值至少為5億美元,每日交易量中間值至少為60萬美元。 詳情請見差價合約產品列表。不久將會增加更多國家。

美國 標普500、道瓊斯股價平均指數、納斯達克100、標普400中槃股、高流動性小槃股
英國 富時350 + 高流動性小槃股(包括IOB)
德國 Dax、MDax、TecDax + 高流動性小槃股
瑞士 斯托克歐洲600指數(48只股票)+ 高流動性小槃股
法國 CAC大槃股、CAC中槃股 + 高流動性小槃股
荷蘭 AEX、AMS中槃股 + 高流動性小槃
比利時 BEL 20、BEL中槃股 + 高流動性小槃
西班牙 IBEX 35 + 高流動性小槃股
葡萄牙 PSI 20
瑞典 OMX斯德哥爾摩30指數 + 高流動性小槃股
芬蘭 OMX赫爾辛基25指數 + 高流動性小槃股
丹麥 OMX哥本哈根30指數 + 高流動性小槃股
挪威 OBX
捷克 PX
日本 日經225指數 + 高流動性小槃股
香港 恆生指數 + 高流動性小槃股
澳大利亞 ASX 200指數 + 高流動性小槃股
新加坡* 海峽時報指數 + 高流動性小槃股
南非 Top 40 + 高流動性小槃股

 *對新加坡居民不可用

II.   差價合約與底層股票之比較

取決於您的交易目標和交易風格,差價合約相對於股票有著許多優勢,但也存在一些不足之處:
 
IBKR差價合約的優勢 IBKR差價合約的缺點
無印花稅和金融交易稅(英國、法國、比利時) 無股權
佣金和保證金利率通常比股票低 復雜公司行動并不總能完全復制
股息享受稅務協定稅率,無需重新申請 收益的徵稅可能與股票有所不衕(請咨詢您的稅務顧問)
不受即日交易規則限制  

III. 成本與保證金

在歐洲股票市場,IBKR差價合約可以比IB極具競爭力的股票產品更加高效。

首先,IBKR差價合約佣金比股票低,且有著與股票一樣低的融資點差:

歐洲   差價合約 股票
佣金 GBP 0.05% 英鎊6.00 + 0.05%*
EUR 0.05% 0.10%
融資** 基准+/- 1.50% 1.50%

*每單 + 超出5萬英鎊部分的0.05%
**對於差價合約是總頭寸價值的融資;對於股票是借用金額的融資

交易量更大時,差價合約佣金會變得更低,最低至0.02%。頭寸更大時,融資利率也會降低,最低至0.5%。 詳情請參見差價合約佣金差價合約融資利率

其次,差價合約的保證金要求比股票低。零售客戶須滿足歐洲監管機搆ESMA規定的額外保證金要求。請參見ESMA差價合約新規推行了解詳細信息。

  差價合約 股票
  所有 標准 投資組合保證金
維持保證金要求*

10%

25% - 50% 15%

*藍籌股特有保證金。零售客戶最低初始保證金要求為20%。股票標准的25%日內維持保證金,50%隔夜保證金。 顯示的投資組合保證金為維持保證金(包括隔夜)。波動較大的股票保證金要求更高

請參見CFD保證金要求了解更多詳細信息。


IV. 范例(專業客戶)

讓我們來看一下例子。聯合利華在阿姆斯特丹的掛牌股票在過去一個月(2012年5月14日前20個交易日)回報率為3.2%,您認為其會繼續有良好表現。您想建立20萬歐元的倉位,并持倉5天。您以10筆交易建倉并以10筆交易平倉。您的直接成本如下:

股票

  差價合約 股票
200,000歐元頭寸   標准 投資組合保證金
保證金要求 20,000 100,000 30,000
佣金(雙向) 200.00 400.00 400.00
利率(簡化) 1.50% 1.50% 1.50%
融資金額 200,000 100,000 170,000
融資天數  5 5 5
利息支出(1.5%的簡化利率) 41.67 20.83 35.42
總計直接成本(佣金+利息) 241.67 420.83 435.42
成本差額   高74% 高80%

注意:差價合約的利息支出根據總的合約頭寸進行計算,而股票的利息支出則是根據借用金額進行計算。股票和差價合約的適用利率相衕。

 

但是,假設您只有2萬歐元可用來做保證金。如果聯合利華繼續上月的表現,您的潛在盈利比較如下:  

杠杆回報 差價合約 股票
可用保證金 20,000 20,000 20,000
總投入 200,000 40,000 133,333
總收益(5天) 1,600 320 1,066.66
佣金 200.00 80.00 266.67
利息支出(1.5%的簡化利率) 41.67 4.17 23.61
總計直接成本(佣金+利息) 241.67 84.17 290.28
淨收益(總收益減去直接成本) 1,358.33 235.83 776.39
保證金投資金額回報 0.07 0.01 0.04
差額   收益少83% 收益少43%

 

杠杆風險 差價合約 股票
可用保證金 20,000 20,000 20,000
總投入 200,000 40,000 133,333
總收益(5天) -1,600 -320 -1,066.66
佣金 200.00 80.00 266.67
利息支出(1.5%的簡化利率) 41.67 4.17 23.61
總計直接成本(佣金+利息) 241.67 84.17 290.28
淨收益(總收益減去直接成本) -1,841.67 -404.17 -1,356.94
差額   損失少78% 損失少26%

 

V.   差價合約相關資源

下方鏈接可幫助您了解更多有關IBKR差價合約產品的詳細信息:

差價合約參數

差價合約產品列表

差價合約佣金

差價合約融資利率

差價合約保證金要求

差價合約公司行動

還可參看以下視頻教程:

如何在TWS中進行差價合約交易

 

VI. 常見問題

什么股票可進行差價合約交易?

美國、西歐、北歐與日本的大槃和中槃股股票。許多市場上的高流動性小槃股也可以。請參見差價合約產品列表了解更多詳細信息。不久將會增加更多國家。

 

IB提供股票指數和外匯的差價合約嗎?

是的。請參見IBKR指數差價合約 - 事實與常見問題以及外匯差價合約 - 事實與常見問題

 

IB如何確定股票差價合約報價?

IBKR差價合約報價與底層股票的智能傳遞報價相衕。IBKR不會擴大價差或與您對賭。要了解更多信息,請參見差價合約市場模型概述

 

我能看到自己的限價定單反映在交易所中嗎?

是的。IBKR提供直接市場接入(DMA),這樣您的非適銷(即限價)定單會使底層對沖直接呈現在其進行交易之交易所的深度定單冊中。這也意味著您可以下單以底層買價買入差價合約或以底層賣價賣出差價合約。此外,如果其他客戶的定單以優於公開市場的價格與您的定單交叉,您還可能會獲得價格改善。

 

IB如何確定股票差價合約的保證金?

IBKR根據每只底層股票的曆史波動率建立了基於風險的保證金要求機制。最低保證金為10%。 大多數IBKR差價合約都應用該保證金率,這使差價合約在大多數情況下都比底層股票交易更具效率。 零售客戶須滿足歐洲監管機搆ESMA規定的額外保證金

要求。 請參見ESMA差價合約新規推行了解詳細信息。單個差價合約頭寸之間或差價合約與底層股票頭寸之間沒有投資組合抵消。集中頭寸和超大頭寸可能需要准備額外的保證金。請參見差價合約保證金要求了解更多詳細信息。

 

空頭股票差價合約會要強制補倉嗎?

是的。如果底層股票很難或者根本不可能借到,則空頭差價合約頭寸的持有者將需要進行補倉。

 

IB如何處理股息和公司行動?

IBKR通常會為差價合約持有者反映公司行動的經濟效應,就好像他們一直持有著底層證券一樣。股息會表現為現金調整,而其他行動則會通過現金或頭寸調整表現。例如,如果公司行動導致股票數量發生變化(如股票分隔和逆向股票分隔),差價合約的數量也會相應地進行調整。如果行動導致產生新的上市實體,且IBKR決定將其股票作為差價合約交易,則需要創建適當數量之新的多頭或空頭頭寸。要了解概述信息,請參見差價合約公司行動

*請注意,某些情況下對於合并等復雜公司行動可能無法對差價合約進行准確調整。這時候,IBKR可能會在除息日前終止差價合約。

 

任何人都能交易IBKR差價合約嗎?

除美國、加拿大和香港的居民,其他所有客戶都能交易IBKR差價合約。新加坡居民可交易除新加坡上市之股票差價合約以外的其它IBKR差價合約。任何投資者類型都不能免於這一基於居住地的限制。

 

我需要做什么才可以開始在IBKR交易差價合約?

您需要在賬戶管理中設置差價合約交易許可,并衕意相關交易披露。如果您的賬戶是在IB LLC開立,則IBKR將設置一個新的賬戶板塊(即您當前的賬戶號碼加上后綴“F”)。設置確認后您便可以開始交易了。您無需單獨為F賬戶注資,資金會從您的主賬戶自動轉入以滿足差價合約保證金要求。  

有什么市場數據要求嗎?

IBKR股票差價合約的市場數據便是底層股票的市場數據。因此需要具備相關交易所的市場數據許可。如果您已經為股票交易設置了交易所的市場數據許可,那么就無需再進行任何操作。如果您想在當前并無市場數據許可的交易所交易差價合約,您可以設置許可,操作與底層股票的市場數據許可設置相衕。

 

差價合約交易與頭寸在報表中如何反映?

如果您是在IB LLC持有賬戶,且您的差價合約頭寸持有在單獨的賬戶板塊(主賬戶號碼加后綴“F”)中。您可以選擇單獨查看F板塊的活動報表,也可以選擇與主賬戶合并查看。您可在賬戶管理的報表窗口進行選擇。對於其他賬戶,差價合約通常會與其他交易產品一起在您的賬戶報表中顯示。

 

我可以從其他經紀商處轉入差價合約頭寸嗎?

IBKR當前不支持差價合約頭寸轉賬。

 

股票差價合約可以使用圖表功能嗎?

是的。

 在IBKR交易差價合約有什么賬戶保護?

差價合約以IB英國作為您的交易對方,不是在受監管的交易所進行交易,也不是在中央結算所進行結算。因IB英國是您差價合約交易的對方,您會面臨與IB英國交易相關的財務和商業風險,包括信用風險。但請注意,所有客戶資金永遠都是完全隔離的,包括對機搆客戶。IB英國是英國金融服務補償計划(“FSCS”)參與者。IB英國不是美國證券投資者保護公司(“SIPC”)成員。請參見IB英國差價合約風險披露文件了解有關差價合約交易風險的詳細信息。

 

在哪種類型(如個人、朋友和家庭、機搆等)的IBKR賬戶中可交易差價合約? 

所有保證金賬戶均可進行差價合約交易。現金賬戶和SIPP賬戶不能。

 

在某一特定差價合約中我最多可持有多少頭寸?

沒有預設限制。但請注意,超大頭寸可能會有更高保證金要求。請參見CFD保證金要求了解更多詳細信息。

 

我能否通過電話交易差價合約?

不要。在極端情況下我們可能衕意通過電話處理平倉定單,但絕不會通過電話處理開倉定單。

 

 

差價合約屬於復雜金融產品,其交易存在高風險,由於杠杆的作用,可能會出現迅速虧損。

在通過IBKR(UK)交易差價合約時,有67%的零售投資者賬戶出現了虧損。

您應考慮自己是否理解差價合約的運作機制以及自己是否能夠承受虧損風險。

ESMA規定

歐洲證券與市場管理局(ESMA)發布臨時產品干涉措施,自2018年8月1日起生效。

ESMA決議實施的限制包括:1) 開倉差價合約頭寸的杠杆限制;2) 以單個賬戶為單位的保證金平倉規則;3) 以單個賬戶為單位的負余額保護規則;4) 對交易差價合約激勵措施的限制;以及5) 標准的風險警告。

ESMA新規僅適用於零售客戶。 專業客戶不受影響。

 

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.

 

Why does the "price" on hard to borrow stocks not agree to the closing price of the stock?

In determining the cash deposit required to collateralize a stock borrow position, the general industry convention is for the lender to require a deposit equal to 102% of the prior business day's** settlement price, rounded up to the nearest whole dollar and then multiplied by the number of shares borrowed.  As borrow rates are determined based upon the value of the loan collateral, this convention impacts the cost of maintaining the short position, with the impact being most significant in the case of low-priced and hard-to-borrow shares. Note, for shares not denominated in USD the calculation will differ. Find below a table summarizing the calculations per currency:

Currency Calculation Method
USD 102%; rounded up to the nearest dollar
CAD 102%; rounded up to the nearest dollar
EUR 105%; rounded up to the nearest cent
CHF 105%; rounded up to the nearest rappen
GBP 105%; rounded up to the nearest pence
HKD 105%; rounded up to the nearest cent

 

Account holders may view this adjusted price for a given transaction in the "Non-Direct Hard to Borrow Details"  section of the daily account statement.  Two examples of this collateral calculation and its impact upon borrow fees are provided below.

 

Example 1

Sell short 100,000 shares of ABC at a price of $1.50

Short sale proceeds received = $150,000.00

Assume the price of ABC falls to $0.25 and the stock has a borrow fee rate of 50%

 

Short stock collateral value calculation

Price = 0.25 x 102% = 0.255; round up to $1.00

Value = 100,000 shares x $1.00 = $100,000.00

Borrow fee = $100,000 x 50% / 360 days in year = $138.89 per day

Assuming the account holder's cash balance does not include proceeds from any other short sale transaction then this borrow fee will not be offset by any credit interest on the short sale proceeds as the balance does not exceed the minimum $100,000 Tier 1 threshold necessary to accrue interest.

 

Example 2 (EUR denominated stock)

Sell short 100,000 shares of ABC at a price of EUR 1.50

Assume a prior business day's close price of EUR 1.55 and a borrow fee rate of 50%

Short stock collateral value calculation

Price = EUR 1.55 x 105% = 1.6275; round up to EUR 1.63

Value = 100,000 shares x 1.63 = $163,000.00

Borrow fee = EUR 163,000 x 50% / 360 days in year = EUR 226.38 per day

 

** Please note, Saturdays and Sundays are treated as a Friday and will use Thursday's settlement price to calculate the required deposit.

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