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Margin Requirement on Leveraged ETF Products (margin_change_20091201.1)
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 |
