Haircut of Canadian treasury bills used as collateral

@def if the objective is trading electronically than MTS https://www.mtsmarkets.com/ of Euronext would be the best vanue.

In the meanwhile it would be great if you could confirm the questions on the use of those bonds as collateral for futures margin (I guess this is not what you are checking with a bond desk).

Thanks
 
Mais78 said:
@def if the objective is trading electronically than MTS https://www.mtsmarkets.com/ of Euronext would be the best vanue.

In the meanwhile it would be great if you could confirm the questions on the use of those bonds as collateral for futures margin (I guess this is not what you are checking with a bond desk).

Thanks
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How is the liquidity on MTS?
Yes, I am checking to see how you can tell what can be used for collateral.
 
Hi Def can you elaborate on Australian listed Bonds also , are they tradable and same question about what can be used for collateral.
 
Aussie Bonds are in the process of being rolled out. I've done a number of test trades and the release should today. Easiest way to get on the screen is to enter "Exchange Traded Austraila" <Enter> and choose tradeable. I'm seeking to see if we can offer these on margin as well.

Mais78, thanks, I will pass that along as it sounds like there has been a nice uptick in liquidity over the past couple of years.
 
def said:
Aussie Bonds are in the process of being rolled out. I've done a number of test trades and the release should today. Easiest way to get on the screen is to enter "Exchange Traded Austraila" <Enter> and choose tradeable. I'm seeking to see if we can offer these on margin as well.

Mais78, thanks, I will pass that along as it sounds like there has been a nice uptick in liquidity over the past couple of years.
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Euronext is not (or at least it was not) liquid at all. But MTS is and since Euronext bought Borsa Italiana (parent of MTS) now Euronext has a liquid venue (now callled MTS Markets) for govies.

@def can you please clarify which EUR bonds available on TWS can be used as collateral since none on your list seems to be available?
Thanks
 
Funny that if you type in TWS "Exchange Traded Australia", you get a list of Australian govies. If you type "Exchange Traded [Any other country]" you get no results.
We need a tool that works consistently to find government bonds, now it is all hit and miss.
 
I took the liberty to ask the question to IB Customer Care, but as you can see below it was a waste of time, they don't even know this option is available for USD futures and T-Bills.

"In an IBKR Universal account a security like a Stock, Bond or Treasury resting in the account's Securities segment can not be moved into the account's Commodities segment to help meet a margin requirement for an open Future contract. If there is positive unpledged cash your IBKR Universal account's Securities segment then that cash could be moved over to the Commodities segment. In addition, if the Securities segment is holding marginable stock and there is positive Excess Equity then a cash loan can be created in the Securities segment and that cash from the loan can be transferred to the Commodities segment to meet a future contracts margin requirement. Note that a cash loan created from the Excess Equity in the Securities segment can not exceed the amount of the Excess Equity at that time. In addition if an account's Excess Equity goes negative then the account is not meeting the minimum Maintenance Margin requirements and IBKR can start Liquidating positions to ensure the account remains margin compliant."
 
I replied that the information provided is not correct and someone else replied confirming that US T-Bills can be used as collateral (right..we know that), then I asked ok then what can I use for EUR futures? And she replied with the following:

"It is not necessary to have EUR stocks as collateral for EUR futures. As mentioned in previous response any stocks that are marginable whether its USD, EUR, HKD etc can be used as collateral for futures and that cash from the loan can be transferred to the Commodities segment to meet a future contracts margin requirement."

From my experience this is the case for IB EU accounts (lucky them) but not for IB UK (which uses US based accounts) and US.
 
Mais78 said:
I replied that the information provided is not correct and someone else replied confirming that US T-Bills can be used as collateral (right..we know that), then I asked ok then what can I use for EUR futures? And she replied with the following:

"It is not necessary to have EUR stocks as collateral for EUR futures. As mentioned in previous response any stocks that are marginable whether its USD, EUR, HKD etc can be used as collateral for futures and that cash from the loan can be transferred to the Commodities segment to meet a future contracts margin requirement."

From my experience this is the case for IB EU accounts (lucky them) but not for IB UK (which uses US based accounts) and US.
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I think the 2 responses that you received from IB customer service are technically correct, but not addressing the issue. The point is not to fulfill margin requirements, but if and how the cash balances will be netted for interest calculation purposes. Even T-bills are technically NOT moved to the commodities segment; cash is moved; but the T-Bills in the securities segment act as if they were moved to the commodities segment, i.e. they replace cash as futures collateral, such that the cash in the commodities segment in the amount of the value of the T-bills's margin value continues collecting interest.

There is a discussion in the Bogleheads forum about this, with a copy of an email from an IB representative who apparently knew the system.

Other than that, I am getting inconsistent results with ICE futures and with foreign futures, and also with foreign cash for U.S. futures. Very challenging to reverse-engineer IB's logic when they can't explain it themselves. Also so many bugs, I'm not even sure if they have their systems under control.
 
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