Haircut of Canadian treasury bills used as collateral
- Thread starter M.W.
- Start date
I called IB customer service, they say USD t-bills can also be used to meet margins for EUR futures but I don't believe that. I drilled further saying are you sure? Interests charges are calculated currency by currency and excess in one currency does not offset negative balances in another. I went through some example (e.g. I got USD 100k in t-bills, 0 EUR, and EUR futures positions that require a 10k EUR margin, will you charge me EUR interests on 10k yes or no?) and I did not get satisfactory answers (eg "yes you can still open the position" - they make the same confusion between margin loan and margin for futures that was made in this thread initially), so let's wait for some definitive answers from @def
Yes, I would say sweep to securities is usually preferred if you have a combined account and a positive total cash balance.
def
Sponsor
It took a while to get all the ducks in order to implement a long-term solution, but you should see a reduced margin requirement now for many of the highly rated gov't bonds. Please take a look as I am not sure the initial implementation was for UK/Euro bonds or if it included Canada (which I'm checking).
I'm not def; but I noticed that IB recently introduced European FOPs on /ES (but not cash settled) expiring on third Fridays.
I think everybody reading this thread now understands that the issue is government bonds as a substitute for cash as futures collateral, which is an issue different from the margin requirement of said government bonds. def, how are we supposed to take a look and check this (even for EUR government bonds / EUREX futures)? Can you please let us know the rules, the government bonds that qualify, etc.? It would be very hard for us customers to reverse-engineer the rules using "trial and error".
Thanks in advance!
def
Sponsor
I see a list of nearly 70 Euro gov't bonds with sovereign rating that provide offset. Mostly French, German and UK. The rules will be similar to the US Gov't bonds. I think the best way to check the impact on your portfolio is via risk navigator or right click to check margin impact on an order.
def
Sponsor
Where precisely can we see which government bonds provide what I think in your terminology is "margin offset" for futures collateral? Risk navigator only shows the margin requirement of bonds and other things, but not if they can replace cash as futures collateral, and not the effect on interested earned or charged on cash.
On Apr 29 you wrote "Currently we aren't offering offset on German Gov't bonds. It however, it is up for review."
You then indicated a few days ago that something was implemented/changed; but it looks like myself and others can't figure out how to identify which bonds actually can serve as futures collateral or offset futures collateral, after the change. Can you please educate me, like a 3-year old, please? Where can I see which bonds qualify for margin offset / affect futures collateral?
It is impossible to know that unless you tell us. Thanks in advance!