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Margin Requirements- US Bonds 债券 

 

 

总括 

股票 

期 权  

债券 

基金

投资组合

保证金

即日交易

利率对比

Canadian Stock & Index Options Requirements

 

以下規則對 Reg T 保證金, 和組合投資保證金。債券的購買不可以使用保證金賬戶進行交易。 FINRA和NYSE規定要限制較小投資者的每日交易。被這些機構認定為典型每日交易者的客戶在交易美國證券時將面臨特殊的单日交易限制。

债券类型

初始保证金要求

维持保证金要求

币种

政府

美国国库券

六个月以下到期

1% * 市场价值

1% * 市场价值

美元

一年以下到期

2% * 市场价值

2% * 市场价值

美元

一年至三年以下到期

3% * 市场价值

3% * 市场价值

美元

三年至五年以下到期

4% * 市场价值

4% * 市场价值

美元

五年至十年以下到期

5% * 市场价值

5% * 市场价值

美元

十年至二十年以下到期

7% * 市场价值

7% * 市场价值

美元

二十年或以上到期

9% * 市场价值

9% * 市场价值

美元

五年或以上到期的零息票债券

3% * 合同本金金额

3% * 合同本金金额

美元

German T-Bills

All

3% * Market Value

% * Market Value

EUR

Municipal

Municipal Bonds

100% * Bond Market Value

USD


Corporate Bonds 公司债券

The margin for the following types of corporate bonds is determined using a proprietary Value At Risk (VAR) methodology[1]:

以下級別的公司債券的保證金是由專有的風險價值方法計算[1]:

   Investment Grade 投資級別

   NYSE-listed Speculative Grade 紐約證券交易所投機級別

   NYSE-listed Junk Grade  垃圾級別

The theoretical price of each bond is calculated over a range of interest rate offsets to the prevailing Treasury yield curve. The result of such a calculation is illustrated in the following figure. As the interest rate offset increases, the bond price decreases. The upward curvature of the line is indicative of the "convexity" of the bond. 每种債券的理論價格是通過一系列的利息抵消從而生成宅券收益曲線。計算結果在以下圖表加以說明。隨著利率抵消的增加,債券價格下降。向上的曲線曲率顯示着債券的凸性質。

The VAR is the loss (in the worst case) in the bond price over a specified range of underlying interest rate changes. The scanning ranges are listed in the table below. 

Bond Type

Basis Points

Investment Grade (Moody's Aaa to Baa3)

200 basis points

NYSE-Listed Speculative Grade (Moody's Ba1 to B3)

300 basis points

NYSE-Listed Junk Grade (Moody's Caa1 to C)

400 basis points

Within the Value At Risk calculation, bonds that contain embedded options (calls or puts) are subjected to stress tests that separately increase and decrease the interest rate period volatilities used to calculate the theoretical price of the bond by 15% of their values. Under each volatility change scenario, another theoretical price curve is calculated over the same range of interest rate offsets to the prevailing Treasury yield curve. The VAR for bonds with embedded options is taken as the loss (in the worst case) on the appropriate interest rate scanning range across each of the unchanged, up and down volatility scenarios.

The regulatory minimum margin of 10% of market value applies to investment grade bonds. The regulatory minimum of the larger of 20% of market value and 7% of face value applies to non-investment grade, NYSE-listed bonds.

Non-NYSE-Listed Speculative and Junk Bonds are margined as follows:

Bond Type

Initial Margin

Maintenance Margin

Currency

Non-NYSE-Listed Speculative Grade

50% * Bond Market Value

50% * Bond Market Value

USD

Non-NYSE-Listed Junk Grade

70% * Bond Market Value

70% * Bond Market Value

USD

Bonds that have defaulted or that are not rated are not eligible for margin treatment.

Special Margin Bonds

Place Trade may reduce the collateral value of securities (reduces marginability) for a variety of reasons, including:

   small market capitalization or small issue size

   low liquidity in the collective primary/secondary exchanges

   involvement in tenders and other corporate action

Changes in marginability are generally considered for a specific security. However, in cases of concerns about the viability or liquidity of a company, marginability reductions will apply to all securities issued by, or related to, the affected company, including bonds, derivatives, depository receipts, etc.

In addition, please see discussions on special risk management algorithms, for example, large position and position concentration algorithms which may affect the margin rate applied to a given security within an account and may vary between accounts.

  

  

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