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Margin Requirement on Leveraged ETF Products

(2009-11-27 12:03:50) 下一個

Margin Requirement on Leveraged ETF Products (margin_change_20091201.1)

Overview: 

Effective December 1, 2009, FINRA has implemented increased customer margin requirements for leveraged Exchange Traded Funds (ETFs) and uncovered options underlying leveraged ETFs (see NASD Rule 2520 and NYSE Rule 431). 

Leveraged ETFs are a subset of ETFs which are intended to generate performance in multiples of that of the underlying index or benchmark (e.g. 200%, 300% or greater). In addition certain of these ETFs seek to a generate performance which is not only a multiple of but also the inverse of the underlying index or benchmark (e.g., a short ETF). These leveraged funds typically include among their holdings derivative instruments such as options, futures or swaps which are intended to provide the desired leverage and/or inverse performance. 

The regulatory objective with respect to this margin increase is to recognize the leverage embedded in these instruments and establish a margin rate which is commensurate with that level of leverage (not to exceed 100% of the ETF value). Thus, for example, whereas the base strategy-based maintenance margin requirement for a non-leveraged long ETF will remain at 25% and a short non-leveraged ETF at 30%, examples of the maintenance margin change for leveraged ETFs are as follows:

1. Long an ETF having a 200% leverage factor: 50% (= 2 x 25%) 

2. Short an ETF having a 300% leverage factor: 90% (= 3 x 30%) 

A similar scaling in margin will also take effect for options. Thus, for example, whereas the base strategy-based maintenance margin requirement for a non-leveraged listed and uncovered broad based ETF index option will remain at 100% of the option premium plus 15% of the ETF market value less any out-of-the-money amount (to a minimum of 10% of ETF market value in the case of calls and 10% of the option strike price in the case of puts), that 15% rate will increase by the leverage factor of the ETF. 

In the case of portfolio margin accounts, the effect will be similar, with the scan ranges by which the leveraged ETF positions will be stress tested increasing by the ETF leverage factor. 

Clients maintaining positions in these ETFs should be aware that IB's standard liquidation policies will remain in effect upon the implementation of this new margin requirement and thereafter and any account which reports a margin deficit is subject to immediate liquidation. 

A list of the leveraged ETF products impacted by this change are outlined below

SYMBOLMULTIPLIERDESCRIPTION
QLD200%PROSHARES ULTRA QQQ
QID-200%PROSHARES ULTRASHORT QQQ
SSO200%PROSHARES ULTRA S&P500
SH-100%PROSHARES SHORT S&P500
SDS-200%PROSHARES ULTRASHORT S&P500
PSQ-100%PROSHARES SHORT QQQ
MVV200%PROSHARES ULTRA MIDCAP400
MYY-100%PROSHARES SHORT MIDCAP 400
MZZ-200%PROSHARES ULTRASHORT MIDCAP400
DDM200%PROSHARES ULTRA DOW30
DOG-100%PROSHARES SHORT DOW30
DXD-200%PROSHARES ULTRASHORT DOW30
UWM200%PROSHARES ULTRA RUSSELL2000
RWM-100%PROSHARES SHORT RUSSELL2000
TWM-200%PROSHARES ULTRASHORT RUSSELL20 
SAA200%PROSHARES ULTRA SMALLCAP600
SBB-100%PROSHARES SHORT SMALLCAP600
SDD-200%PROSHARES ULTRASHORT SMALLCAP6
UVG200%PROSHARES ULTRA RUSSELL1000 VA
SJF-200%PROSHARES ULTRASHORT RUSSELL10 
UKF200%PROSHARES ULTRA RUSSELL1000 GR
SFK-200%PROSHARES ULTRASHORT RUSSELL10
UVU200%PROSHARES ULTRA RUSSELL MIDCAP 
SJL-200%PROSHARES ULTRASHORT RUSSELL M
UKW200%PROSHARES ULTRA RUSSELL MIDCAP
SDK-200%PROSHARES ULTRASHORT RUSSELL M 
UVT200%PROSHARES ULTRA RUSSELL2000 VA
SJH-200%PROSHARES ULTRASHORT RUSSELL20  
UKK200%PROSHARES ULTRA RUSSELL2000 GR
SKK-200%PROSHARES ULTRASHORT RUSSELL20
UYM200%PROSHARES ULTRA BASIC MATERIAL
SMN-200%PROSHARES ULTRASHORT BASIC MAT
UGE200%PROSHARES ULTRA CONSUMER GOODS
SZK-200%PROSHARES ULTRASHORT CONSUMER 
UCC200%PROSHARES ULTRA CONSUMER SERVI
SCC-200%PROSHARES ULTRASHORT CONSUMER
URE200%PROSHARES ULTRA REAL ESTATE
SRS-200%PROSHARES ULTRASHORT REAL ESTA
ROM200%PROSHARES ULTRA TECHNOLOGY
REW-200%PROSHARES ULTRASHORT TECHNOLOG
UPW200%PROSHARES ULTRA UTILITIES
SDP-200%PROSHARES ULTRASHORT UTILITIES
UYG200%PROSHARES ULTRA FINANCIALS
SKF-200%PROSHARES ULTRASHORT FINANCIAL
RXL200%PROSHARES ULTRA HEALTH CARE
RXD-200%PROSHARES ULTRASHORT HEALTHCAR
UXI200%PROSHARES ULTRA INDUSTRIALS
SIJ-200%PROSHARES ULTRASHORT INDUSTRIA
DIG200%PROSHARES ULTRA OIL & GAS
DUG-200%PROSHARES ULTRASHORT OIL & GAS
USD200%PROSHARES ULTRA SEMICONDUCTORS
SSG-200%PROSHARES ULTRASHORT SEMICONDU
EFZ-100%PROSHARES SHORT MSCI EAFE
EFU-200%PROSHARES ULTRASHORT MSCI EAFE
FXP-200%PROSHARES ULTRASHORT FTSE/XINH
DXSP-100%DB X-TRACKERS DJ ES 50 SHORT
EUM-100%PROSHARES SHORT MSCI EMERGING
EEV-200%PROSHARES ULTRASHORT MSCI EMER
EWV-200%PROSHARES ULTRASHORT MSCI JAPA
RMM200%RYDEX 2X S&P MIDCAP 400 ETFLCAP
RMS-200%RYDEX INVERSE 2X S&P MIDCAP
RSU200%RYDEX 2X S&P 500 ETF
RSW-200%RYDEX INVERSE 2X S&P 500 ETF
RRY200%RYDEX 2X RUSSELL 2000 ETFALLCAP
RRZ-200%RYDEX INVERSE 2X RUSS 2000
LTL200%PROSHARES ULTRA TELECOMMUNICAT
TLL-200%PROSHARES ULTRASHORT TELECOMMU
PST-200%PROSHARES ULTRASHORT LEHMAN 7-
TBT-200%PROSHARES ULTRASHORT LEHMAN 20
SEF-100%PROSHARES SHORT FINANCIALS
BGU300%LARGE CAP BULL 3X SHARES
BGZ-300%LARGE CAP BEAR 3X SHARES
TNA300%SMALL CAP BULL 3X SHARES
TZA-300%SMALL CAP BEAR 3X SHARES
RHM200%RYDEX 2X HEALTH CARE
RHO-200%RYDEX INV 2X HEALTH CARE
RFL200%RYDEX 2X FINANCIAL
RFN-200%RYDEX INV 2X FINANCIAL
RTG200%RYDEX 2X TECHNOLOGY
RTW-200%RYDEX INV 2X TECHNOLOGY
REC-200%RYDEX INV 2X S&P ENERGY
REA200%RYDEX 2X ENERGY
DDG-100%PROSHARES SHORT OIL & GAS
ERX300%ENERGY BULL 3X SHARES
UMM300%MACROSHARES MAJ MET HOU UP
ERY-300%ENERGY BEAR 3X SHARES
TBF-100%PROSHARES SHORT 20+ TREASURY
DXSN-100%DB X-TRACKERS SHORTDAX ETF
RTR250%REVENUESHARES ADR FUND
X4S-100%DBXT CAC 40 SHORT
EUO-200%PROSHARES ULTRASHORT EURO
ULE200%PROSHARES ULTRA EURO
ULE200%PROSHARES ULTRA EURO
EUO-200%PROSHARES ULTRASHORT EURO
YCL200%PROSHARES ULTRA YEN
YCS-200%PROSHARES ULTRASHORT YEN
XUKS-100%DB X-TRACKERS FTSE 100 SHORT ETF
XUKS-100%DB X-TRACKERS FTSE 100 SHORT ETF
XSPS-100%DB X-TRACKERS S&P 500 SHORT
DXSR-100%DB X-TR II TRX EUR 5Y SH TR
XSPS-100%DB X-TRACKERS S&P 500 SHORT
DXSR-100%DB X-TR II TRX EUR 5Y SH TR
XSPD-100%DB X-TRACKERS S&P 500 SHORT
DXST-100%DB X-TR II TRX CRS 5Y SH TR
UGL200%PROSHARES ULTRA GOLD
GLL-200%PROSHARES ULTRASHORT GOLD
AGQ200%PROSHARES ULTRA SILVER
ZSL-200%PROSHARES ULTRASHORT SILVER
DZK300%DIREXION DEVELOP MKT BULL 3X
DPK-300%DIREXION DEVELOP MKT BEAR 3X
EDC300%DIREXION EMERG MKT BULL 3X
EDZ-300%DIREXION EMERG MKT BEAR 3X
TYH300%DIREXION TECHNOLOGY BULL 3X
TYP-300%DIREXION TECHNOLOGY BEAR 3X
MWJ300%DIREXION MID CAP BULL 3X
FAS300%DIREXION DAILY FIN BULL 3X
SCO-200%PROSHRE U/S DJ-AIG CRUDE OIL
UCO200%PROSHRE ULT DJ-AIG CRUDE OIL
UCD200%PROSHRE ULT DJ-AIG COMMODITY
CMD-200%PROSHRE U/S DJ-AIG COMMODITY
DES2-200%ETFX DAX 2X SHORT FUND  
DTO-200%POWERSHARES DB OIL 2X SHORT
DGP200%DB GOLD DOUBLE LONG ETN
DZZ-200%DB GOLD DOUBLE SHORT ETN
BDD200%POWERSHARES DB METALS 2X
BOS-100%POWERSHARES DB METALS SHORT
BOM-200%POWERSHARES DB MTLS 2X SHORT
SZO-100%POWERSHARES DB CRUDE SHORT
DEE-200%DB COMMODITY DOUBLE SHORT
DDP-100%PWRSHS DB COMMODITY SHORT
DYY200%DB COMMODITY DOUBLE LONG ETN
DAG200%DB AGRICULTURE DOUBLE LONG
AGA-200%DB AGRI DOUBLE SHORT ETN
ADZ-100%DB AGRICULTURE SHORT ETN
DGZ-100%DB GOLD SHORT ETN
PTM-100%E-TRACS UBS LONG PLATIN ETN
PTD-100%E-TRACS UBS SHORT PLATIN ETN
SHC-100%LYXOR SHORT CAC 40
SHA-100%LYXOR ETF SHORT AEX
DGU200%DB GOLD DOUBLE LONG ETN
DGJ-200%DB GOLD DOUBLE SHORT ETN
DAA200%DB AGRICULTURE DOUBLE LONG
DAD-200%DB AGRI DOUBLE SHORT ETN
DOE-200%POWERSHARES DB OIL 2X SHORT
SAGR-100%ETFS SHORT AGRICUL DJ-AIGCI
SALU-100%ETFS SHORT ALUMINIUM
SCOC-100%ETFS SHORT COCOA
SWEA-100%ETFS SHORT WHEAT
SCFE-100%ETFS SHORT COFFEE
SCTO-100%ETFS SHORT COTTON
SSYO-100%ETFS SHORT SOYBEAN OIL
SCOR-100%ETFS SHORT CORN
SGAS-100%ETFS SHORT GASOLINE
SCOP-100%ETFS SHORT COPPER
SBUL-100%ETFS SHORT GOLD
SLHO-100%ETFS SHORT LEAN HOGS
SLCT-100%ETFS SHORT LIVE CATTLE
SOIL-100%ETFS SHORT CRUDE OIL
SHEA-100%ETFS SHORT HEATING OIL
SNIK-100%ETFS SHORT NICKEL
SSOB-100%ETFS SHORT SOYBEANS
SSIL-100%ETFS SHORT SILVER
SNGA-100%ETFS SHORT NATURAL GAS
SPLA-100%ETFS SHORT PLATINUM
SLEA-100%ETFS SHORT LEAD
STIM-100%ETFS SHORT TIN
SSUG-100%ETFS SHORT SUGAR
SHE-100%LYXOR SHORT EUROPE
DXS8-100%DB X-TRACKERS DJ STOXX 600 B
DXS9-100%DB X-TRACKERS DJ STOXX 600 H
DX2A-100%DB X-TRACKERS DJ STOXX 600 O
DX2B-100%DB X-TRACKERS DJ STOXX 600 T
DX2C-100%DB X-TRACKERS 600 TELECOM SH
DX2K-100%DB X-TRACKERS FTSE 100 SHORT ETF
9GA7-100%ETFS SHORT CRUDE OIL 
TYD300%DIREXION DLY 10-Y TR BULL 3X
TMF300%DIREXION DLY 30-Y TR BULL 3X
TYO-300%DIREXION DLY 10-Y TR BEAR 3X
TMV-300%DIREXION DLY 30-Y TR BEAR 3X
4RTQ-100%ETFS SHORT COCOA 
9GA3-100%ETFS SHORT COFFEE 
9GA5-100%ETFS SHORT CORN 
9GA6-100%ETFS SHORT COTTON 
4RTG-100%ETFS SHORT SOYBEAN OIL 
4RTH-100%ETFS SHORT SOYBEANS 
4RTK-100%ETFS SHORT WHEAT 
4RTJ-100%ETFS SHORT SUGAR 
9GAZ-100%ETFS SHORT PETROLEUM DJ-AIGC
EFO200%PROSHARES ULTRA MSCI EAFE
EET200%PROSHARES ULT MSCI EMER MKTS
XPP200%PROSHARES ULT FTSE/XIN CH 25
EZJ200%PROSHARES ULTRA MSCI JAPAN
4RTD-100%ETFS SHORT NATURAL GAS 
BZQ-200%PROSHARES ULTRASHORT MSCI BR
EPV-200%PROSHARES ULTRASHORT MSCI EU
SMK-200%PROSHARES ULTRASHORT MSCI ME
JPX-200%PROSHARES ULTRASHORT MSCI PA
MWN-300%DIREXION DLY MID CAP BEAR 3X
UPRO300%PROSHARES ULTRAPRO S&P 500
SPXU-300%PROSH ULTRAPRO SHORT S&P 500
UWC200%PROSHARES ULTRA RUSSELL 3000
TWQ-200%PROSHARES ULTRASHORT RUSSELL
FAZ-300%DIREXION DAILY FINL BEAR 3X
DRV-300%DIREXION DAILY REAL EST BEAR
DRN300%DIREXION DAILY REAL EST-BULL
DMM-300%MACROSHARES MAJ MET HOU DOWN
SALL-100%ETFS SHORT ALL COMM DJ-AIGCI
SNRG-100%ETFS SHORT ENERGY DJ-AIGCI
SNEY-100%ETFS SHORT EX-ENERGY DJ-AIGC
SGRA-100%ETFS SHORT GRAINS DJ-AIGCI
SIMT-100%ETFS SHORT INDUSTRIAL METALS
SLST-100%ETFS SHORT LIVESTOCK DJ-AIGC
SPET-100%ETFS SHORT PETROLEUM DJ-AIGC 
SPMT-100%ETFS SHORT PRECIOUS MTLS
SSFT-100%ETFS SHORT SOFTS DJ-AIGCI
SZIC-100%ETFS SHORT ZINC
DEL2200%ETFX DAX 2X LONG FUND
DL2P200%ETFX DAX 2X LONG FUND
SEU2-200%ETFX DJ EURO ST 50 DBL SH 2X
SE2P-200%ETFX DJ EURO ST 50 DBL SH 2X
LEU2200%ETFX DJ EURO STOXX 50 LEV 2X
DS2P-200%ETFX DAX 2X SHORT FUND
LE2P200%ETFX DJ EURO STOXX 50 LEV 2X
LUK2200%ETFX FTSE 100 LEVERAGED 2X
SUK2-200%ETFX FTSE 100 SUP SHRT ST 2X
DES2-200%ETFX DAX 2X SHORT FUND
XC4S-100%DBXT CAC 40 SHORT
XSKS-100%DB X-TRACKERS 600 TELECOM SH
XSPS-100%DB X-TRACKERS S&P 500 SHORT
XSDX-100%DB X-TRACKERS SHORTDAX ETF
XS8S-100%DB X-TRACKERS DJ STOXX 600 T
XSSX-100%DB X-TRACKERS DJ ES 50 SHORT
XS7S-100%DB X-TRACKERS DJ STOXX 600 B
XSDS-100%DB X-TRACKERS DJ STOXX 600 H
XSES-100%DB X-TRACKERS DJ STOXX 600 O
DEL2200%ETFX DAX 2X LONG FUND  
DNO-100%UNITED STATES SHORT OIL FUND
EZC-200%EASYETF CAC40 DOUBLE SHORT
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DT_ES 回複 悄悄話 ETF大全,以後找ETF來這裏行了,留個記號。
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