So, just choose a bond as pointed out by def and create an order and check margin impact without submitting the order. Easy enough, no?
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Haircut of Canadian treasury bills used as collateral
- Thread starter M.W.
- Start date
So, just choose a bond as pointed out by def and create an order and check margin impact without submitting the order. Easy enough, no?
My question has nothing, but absolutely nothing to do with with the margin impact of a bond. You are not familiar with futures collateral, and I'm not sure how you can interpret my question that way, which is clearly about futures, had you actually read my comment.
I was not asking for collateral for a bond, but I was asking for government bonds that can serve as futures collateral. In USD, only T-bills can serve that function, and that fact is not even documented anywhere that I know of on IB's help pages.
"I am looking for EUR denominated government bonds or any other instruments that can serve as futures collateral in lieu of cash (similar to U.S. T-bills), to avoid having a too high cash drag in the futures segment of the account, as IB pays 0% interest on cash-based futures maintenance margin. Thanks for looking into this."
That's exactly what my suggestion will help you with, to figure out the haircut and hence available collateral that can be used for trading other assets such as futures. With IB not only tbills can function as collateral.
And don't be an asshole.
And don't be an asshole.
My question has nothing, but absolutely nothing to do with with the margin impact of a bond. You are not familiar with futures collateral, and I'm not sure how you can interpret my question that way, which is clearly about futures, had you actually read my comment.
I was not asking for collateral for a bond, but I was asking for government bonds that can serve as futures collateral. In USD, only T-bills can serve that function, and that fact is not even documented anywhere that I know of on IB's help pages.
"I am looking for EUR denominated government bonds or any other instruments that can serve as futures collateral in lieu of cash (similar to U.S. T-bills), to avoid having a too high cash drag in the futures segment of the account, as IB pays 0% interest on cash-based futures maintenance margin. Thanks for looking into this."
That's exactly what my suggestion will help you with, to figure out the haircut and hence available collateral that can be used for trading other assets such as futures. With IB not only tbills can function as collateral.
And don't be an asshole.
For USD, only T-bills and absolutely no other bond can serve as futures collateral.
Again: My question has nothing, absolutely nothing to do with the marginability of bonds, as the marginability of bonds is completely unrelated to the requirements of IB as to which securities can effectively replace cash as futures collateral. For USD, only T-bills can. I am curious if there is any EUR based security to achieve the same effect for EUR denominated futures.
"I am looking for EUR denominated government bonds or any other instruments that can serve as futures collateral in lieu of cash (similar to U.S. T-bills), to avoid having a too high cash drag in the futures segment of the account, as IB pays 0% interest on cash-based futures maintenance margin. Thanks for looking into this."
You seem a little slow in your head. I repeat a last time what everyone knows who is familiar with this. Not only tbills but US treasury bonds can function as well as collateral. To prove this is correct you follow the procedure I outlined my my earlier post. And to see whether eur denominated bonds can be used as well (I have not checked myself) you also follow identical procedure.
For USD, only T-bills and absolutely no other bond can serve as futures collateral.
Again: My question has nothing, absolutely nothing to do with the marginability of bonds, as the marginability of bonds is completely unrelated to the requirements of IB as to which securities can effectively replace cash as futures collateral. For USD, only T-bills can. I am curious if there is any EUR based security to achieve the same effect for EUR denominated futures.
"I am looking for EUR denominated government bonds or any other instruments that can serve as futures collateral in lieu of cash (similar to U.S. T-bills), to avoid having a too high cash drag in the futures segment of the account, as IB pays 0% interest on cash-based futures maintenance margin. Thanks for looking into this."
JGB is not available and the only German Bond that was offering margin was the 2030 which is ~10% IMR. However, a number of additional German Gov Bonds have just being added overnight. The symbol is "DE" and margin will dependent on duration (further maturity, the higher the margin). Please use TWS margin check to get specific figures. Thanks
@def I was looking at this 6 bln € German Gov Bond issue with maturity < 1year: DE0001104859
How is it possible initial margin is 100%? My account is in EUR, so there is basically no risk from this position. Thanks
Do you use portfolio margin? But no matter what it probably means is that EUR denominated sovereigns are currently not eligible to function as collateral. Not that it makes sense but that seems what it is.
Yes, I use portfolio margin.Do you use portfolio margin? But no matter what it probably means is that EUR denominated sovereigns are currently not eligible to function as collateral. Not that it makes sense but that seems what it is.
Looks like what you say is correct but, beyond not making any sense, it also contradicts what def said in the post I quoted
Update: if you search for "DE" in TWS you will get a list of German govt bonds, all of which have margins correctly calculated. For example, DE0001102325 (Germany Aug 23) has an initial margin below 4%.
If a bond is not in that list, margin is 100%.
It looks like the list only includes long term bonds (Bunds) and doesn't include short/medium term German govt bonds (bobl and schatz). I think that's a bug, since I don't see any reason why two bonds with same issuer, maturity and liquidity should be treated differently based on their issue date. I hope def can clarify on this.
If a bond is not in that list, margin is 100%.
It looks like the list only includes long term bonds (Bunds) and doesn't include short/medium term German govt bonds (bobl and schatz). I think that's a bug, since I don't see any reason why two bonds with same issuer, maturity and liquidity should be treated differently based on their issue date. I hope def can clarify on this.