Margin Requirement on Leveraged ETF Products

Margin Requirement on Leveraged ETF Products (margin_change_20091201.1)

http://ibkb.interactivebrokers.com/node/1124

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

SYMBOL
MULTIPLIER
DESCRIPTION

QLD
200%
PROSHARES ULTRA QQQ

QID
-200%
PROSHARES ULTRASHORT QQQ

SSO
200%
PROSHARES ULTRA S&P500

SH
-100%
PROSHARES SHORT S&P500

SDS
-200%
PROSHARES ULTRASHORT S&P500

PSQ
-100%
PROSHARES SHORT QQQ

MVV
200%
PROSHARES ULTRA MIDCAP400

MYY
-100%
PROSHARES SHORT MIDCAP 400

MZZ
-200%
PROSHARES ULTRASHORT MIDCAP400

DDM
200%
PROSHARES ULTRA DOW30

DOG
-100%
PROSHARES SHORT DOW30

DXD
-200%
PROSHARES ULTRASHORT DOW30

UWM
200%
PROSHARES ULTRA RUSSELL2000

RWM
-100%
PROSHARES SHORT RUSSELL2000

TWM
-200%
PROSHARES ULTRASHORT RUSSELL20 

SAA
200%
PROSHARES ULTRA SMALLCAP600

SBB
-100%
PROSHARES SHORT SMALLCAP600

SDD
-200%
PROSHARES ULTRASHORT SMALLCAP6

UVG
200%
PROSHARES ULTRA RUSSELL1000 VA

SJF
-200%
PROSHARES ULTRASHORT RUSSELL10 

UKF
200%
PROSHARES ULTRA RUSSELL1000 GR

SFK
-200%
PROSHARES ULTRASHORT RUSSELL10

UVU
200%
PROSHARES ULTRA RUSSELL MIDCAP 

SJL
-200%
PROSHARES ULTRASHORT RUSSELL M

UKW
200%
PROSHARES ULTRA RUSSELL MIDCAP

SDK
-200%
PROSHARES ULTRASHORT RUSSELL M 

UVT
200%
PROSHARES ULTRA RUSSELL2000 VA

SJH
-200%
PROSHARES ULTRASHORT RUSSELL20  

UKK
200%
PROSHARES ULTRA RUSSELL2000 GR

SKK
-200%
PROSHARES ULTRASHORT RUSSELL20

UYM
200%
PROSHARES ULTRA BASIC MATERIAL

SMN
-200%
PROSHARES ULTRASHORT BASIC MAT

UGE
200%
PROSHARES ULTRA CONSUMER GOODS

SZK
-200%
PROSHARES ULTRASHORT CONSUMER 

UCC
200%
PROSHARES ULTRA CONSUMER SERVI

SCC
-200%
PROSHARES ULTRASHORT CONSUMER

URE
200%
PROSHARES ULTRA REAL ESTATE

SRS
-200%
PROSHARES ULTRASHORT REAL ESTA

ROM
200%
PROSHARES ULTRA TECHNOLOGY

REW
-200%
PROSHARES ULTRASHORT TECHNOLOG

UPW
200%
PROSHARES ULTRA UTILITIES

SDP
-200%
PROSHARES ULTRASHORT UTILITIES

UYG
200%
PROSHARES ULTRA FINANCIALS

SKF
-200%
PROSHARES ULTRASHORT FINANCIAL

RXL
200%
PROSHARES ULTRA HEALTH CARE

RXD
-200%
PROSHARES ULTRASHORT HEALTHCAR

UXI
200%
PROSHARES ULTRA INDUSTRIALS

SIJ
-200%
PROSHARES ULTRASHORT INDUSTRIA

DIG
200%
PROSHARES ULTRA OIL & GAS

DUG
-200%
PROSHARES ULTRASHORT OIL & GAS

USD
200%
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

RMM
200%
RYDEX 2X S&P MIDCAP 400 ETFLCAP

RMS
-200%
RYDEX INVERSE 2X S&P MIDCAP

RSU
200%
RYDEX 2X S&P 500 ETF

RSW
-200%
RYDEX INVERSE 2X S&P 500 ETF

RRY
200%
RYDEX 2X RUSSELL 2000 ETFALLCAP

RRZ
-200%
RYDEX INVERSE 2X RUSS 2000

LTL
200%
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

BGU
300%
LARGE CAP BULL 3X SHARES

BGZ
-300%
LARGE CAP BEAR 3X SHARES

TNA
300%
SMALL CAP BULL 3X SHARES

TZA
-300%
SMALL CAP BEAR 3X SHARES

RHM
200%
RYDEX 2X HEALTH CARE

RHO
-200%
RYDEX INV 2X HEALTH CARE

RFL
200%
RYDEX 2X FINANCIAL

RFN
-200%
RYDEX INV 2X FINANCIAL

RTG
200%
RYDEX 2X TECHNOLOGY

RTW
-200%
RYDEX INV 2X TECHNOLOGY

REC
-200%
RYDEX INV 2X S&P ENERGY

REA
200%
RYDEX 2X ENERGY

DDG
-100%
PROSHARES SHORT OIL & GAS

ERX
300%
ENERGY BULL 3X SHARES

UMM
300%
MACROSHARES MAJ MET HOU UP

ERY
-300%
ENERGY BEAR 3X SHARES

TBF
-100%
PROSHARES SHORT 20+ TREASURY

DXSN
-100%
DB X-TRACKERS SHORTDAX ETF

RTR
250%
REVENUESHARES ADR FUND

X4S
-100%
DBXT CAC 40 SHORT

EUO
-200%
PROSHARES ULTRASHORT EURO

ULE
200%
PROSHARES ULTRA EURO

ULE
200%
PROSHARES ULTRA EURO

EUO
-200%
PROSHARES ULTRASHORT EURO

YCL
200%
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

UGL
200%
PROSHARES ULTRA GOLD

GLL
-200%
PROSHARES ULTRASHORT GOLD

AGQ
200%
PROSHARES ULTRA SILVER

ZSL
-200%
PROSHARES ULTRASHORT SILVER

DZK
300%
DIREXION DEVELOP MKT BULL 3X

DPK
-300%
DIREXION DEVELOP MKT BEAR 3X

EDC
300%
DIREXION EMERG MKT BULL 3X

EDZ
-300%
DIREXION EMERG MKT BEAR 3X

TYH
300%
DIREXION TECHNOLOGY BULL 3X

TYP
-300%
DIREXION TECHNOLOGY BEAR 3X

MWJ
300%
DIREXION MID CAP BULL 3X

FAS
300%
DIREXION DAILY FIN BULL 3X

SCO
-200%
PROSHRE U/S DJ-AIG CRUDE OIL

UCO
200%
PROSHRE ULT DJ-AIG CRUDE OIL

UCD
200%
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

DGP
200%
DB GOLD DOUBLE LONG ETN

DZZ
-200%
DB GOLD DOUBLE SHORT ETN

BDD
200%
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

DYY
200%
DB COMMODITY DOUBLE LONG ETN

DAG
200%
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

DGU
200%
DB GOLD DOUBLE LONG ETN

DGJ
-200%
DB GOLD DOUBLE SHORT ETN

DAA
200%
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 

TYD
300%
DIREXION DLY 10-Y TR BULL 3X

TMF
300%
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

EFO
200%
PROSHARES ULTRA MSCI EAFE

EET
200%
PROSHARES ULT MSCI EMER MKTS

XPP
200%
PROSHARES ULT FTSE/XIN CH 25

EZJ
200%
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

UPRO
300%
PROSHARES ULTRAPRO S&P 500

SPXU
-300%
PROSH ULTRAPRO SHORT S&P 500

UWC
200%
PROSHARES ULTRA RUSSELL 3000

TWQ
-200%
PROSHARES ULTRASHORT RUSSELL

FAZ
-300%
DIREXION DAILY FINL BEAR 3X

DRV
-300%
DIREXION DAILY REAL EST BEAR

DRN
300%
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

DEL2
200%
ETFX DAX 2X LONG FUND

DL2P
200%
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

LEU2
200%
ETFX DJ EURO STOXX 50 LEV 2X

DS2P
-200%
ETFX DAX 2X SHORT FUND

LE2P
200%
ETFX DJ EURO STOXX 50 LEV 2X

LUK2
200%
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

DEL2
200%
ETFX DAX 2X LONG FUND  

DNO
-100%
UNITED STATES SHORT OIL FUND

EZC
-200%
EASYETF CAC40 DOUBLE SHORT

Links: 

Finra Regulatory Notice 09-53 (ETF Margin Increase)

• CredMan
• LiqMonitor
• Margin
• Option Strategies
• Portfolio Margin
• Reg T Margin
• Regulatory Agencies
• Stocks/ETFs

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