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盈透证券问答（7）深度讲解保证金

深度讲解保证金：特殊契约帐户SMA（若收盘为负则强平）

资料整理
如果SMA余额在交易日结束时为负，你的账户将遭到清算。
关于SMA:
特別储备额帐户/特殊契约帐户/Special Memorandum Account

中文网上资料：
http://chinese.schwab.com/public/sch...dvice_research

這是獲聯邦儲備局准許的特殊帳戶，以保存您保證金帳戶的購買力。該帳戶反映任何在規定金額（可貸款證券的規定金額是 50%）以上的餘額資產。該數字會用以計算 "保證金購買力"。

特別儲備額帳戶 (SMA) 是一種簿記的紀錄，反映您帳戶中超過法規T最低規定，加上帳戶中所有收入和支出活動後所計算出的超額證券淨值*。
一旦您的特别储备额帐户 (SMA) 记入任何的超额证券净值，则这个余额会一直持续有效直到您用这样余额来买入证券或您提款。即是您保证金帐户内持有的证券价值下跌，特別儲備額帳戶 (SMA) 餘額也會一直保留不變，因此可能會造成特別儲備額帳戶 (SMA) 餘額數字大於您保證金帳戶的可提款總額。當您進行一筆交易，但是您的特別儲備額帳戶 (SMA) 餘額不足支付原始保證金規定時，則會產生聯邦保證金補繳通知。

特別儲備額帳戶是由聯邦儲備理事會所規定預留在您保證金帳戶內的購買力。它說明了您在規定的金额（可抵押證券需要50﹪）以外的多餘金額。這個金額然後被用來計算您的可抵押購買力。

上面只是对于名词SMA的一个原理的解释，IB关于SMA的政策及相关资料如下：
IB知识库：http://ibkb.interactivebrokers.com/node/199
Why was I liquidated?
Overview:
The majority of all liquidations occur due to margin violations. There are two main types of margin violations that apply to margins accounts.
In addition to a margin deficit, liquidations may occur as a result of a leverage violation or various other account-specific reasons which may be dependent upon the account type as well as the specific holdings within the account. For a detailed list of Risk Management algorithms applied to ensure account compliance and which may result in account liquidations, please review IB's website, under Trading - Margins.
Background:
1. Maintenance Margin violation: In an account, the Equity with Loan Value (ELV) must always be greater than the Current Maintenance Margin Requirement (MMR) on the positions that are being held in the account. The difference between ELV and MMR is Current Excess Liquidity; therefore an easier way for some people to monitor their account is to remember that the Current Excess Liquidity in their account must always be positive. If the Current Excess Liquidity in an account goes negative, this is a maintenance margin violation.
2. Reg T violation: In the Balances section of the Account Window there is a figure titled Special Memorandum Account (SMA). The U.S. Fed has an enforcement period for this account; 15:50-16:15 EST each trading day. During this 25 minute window, the SMA balance must be positive. If the SMA is negative at any point between 15:50 and 16:15 EST, this constitutes a Reg T margin violation.
In the event of a margin violation, the account is subject to automatic liquidation on a real-time basis. Liquidations are accomplished with market orders, and any/all positions in the account can be liquidated.

IB知识库：http://ibkb.interactivebrokers.com/node/66
What is SMA and how does it work?
Overview:
SMA refers to the Special Memorandum Account which represents neither equity nor cash but rather a line of credit created when the market value of securities in a Reg. T margin account increase in value. For example, assume the market value of securities purchased at a cost of $10,000 on margin (at 50%) increase in value to $12,000. This $2,000 increase in market value would create SMA of $1,000, which provides the account holder the ability to either: 1) buy additional securities valued at $2,000 (assuming a 50% margin rate) without depositing up additional funds; or 2) withdraw $2,000 in cash, which may be financed by increasing the debit balance if the account holds no cash.

It should be noted that while an increase in market value over original cost creates SMA, a subsequent decline in market value has no effect on SMA. SMA will only decline if used to purchase securities or withdraw cash and the only restriction with respect to its use is that the additional purchases or withdrawals do not bring the account below the maintenance margin requirement. SMA will also increase on a dollar for dollar basis in the event of cash deposits or dividends.

TWS英文手册有关SMA的解释页：（仅用于IB证券帐户部分，IB期货帐户部分不适用）
http://individuals.interactivebroker...t_balances.htm
Special Memorandum Account：If this values falls below zero at the end of the trading day, positions will be liquidated.
A special account associated with a Reg T Margin account that is maintained for the purpose of applying Federal Regulation T initial margin requirements at the end of the trading day.
Max ((EWL - US initial margin requirements)*, (Prior Day SMA +/- change in day's cash +/- US initial margin requirements** for trades made during the day.))
*calculated end of day under US Stock rules, regardless of country of trading.
**at the time of the trade
中文翻译：
特别备忘录账户：每个交易日结束，当这个值跌到零以下时，将发生强平。（仅用于证券帐户部分的计算）
取最大值（（含贷款价值的权益－美国初始保证金要求）*，（前一日SMA＋/－该日的现金变化＋/－该日内所作交易的美国初始保证金要求**））。
*在美国股票规则下于日末计算，无论交易的国家。
**在交易时

更加详细的解释及公式，请参考IB网页
交易
-保证金
--总括
---计算
----在交易日结束时
链接：http://www.interactivebrokers.com.hk...ib_entity=cn#3

SMA和日末计算

实时SMA

在实时基础上，我们检查与您的Reg T保证金账户相关联的特别账户余额，该账户被称为特别备忘录账户（SMA）。我们在整个交易日中计算您的SMA的运营余额，然后在交易日结束时强制实行Regulation T初始保证金要求。导致SMA在实时基础上变为负的现金取款将不被允许。

日末SMA

如上所述，我们在整个交易日中实时地计算SMA，但我们在交易日结束时强制实行Regulation T初始保证金要求（一般对股票为50％，或者对不可设保证金的证券为100％）。无论什么时候在交易日中您的头寸发生变化，我们都会在美国交易日结束时（东部时间15:50-16:00）检查您的SMA余额，以确保其大于或等于零。

我们使用以下计算来实时地检查您的SMA余额，并对能够以保证金被购买的证券应用Regulation T初始保证金要求。注意这与在整个交易日中使用的SMA计算是相同的。在第一个计算中，"今天的交易初始保证金要求"，对卖出定单被添加，对买入定单被扣除，并且是根据美国Regulation T初始保证金要求的。

如果SMA余额在交易日结束时为负，你的账户将遭到清算（即"部分强平"）。

SMA法则
SMA根据以下法则被计算：

现金存款被存入SMA。
现金取款从SMA中被扣除。
股息被存入SMA。
全能转账按照与现金存款和取款相同的方式被对待。
交易以每天每份合约被计算净值。
以实现的损益，即，即日交易损益被发布到SMA。
佣金和税项从SMA中被扣除。
所有交易（每份合约一笔）在交易日结束时被发布到投资组合，如果投资组合的RegT保证金增加，增加的金额将从SMA中被扣除，如果投资组合的RegT保证金减少，减少的金额将被存入SMA。底层证券的当前价格，如果需要，将在该计算中被使用。
期权卖出收入被存入SMA。
买入的期权权利金从SMA中被扣除。
由交易导致的SMA变化，事实上是RegT权益的变化减去RegT保证金的变化。
市场增值：如果保证金账户的RegT剩余在收盘时（通常是美国东部时间16:00）大于SMA，那么SMA被设定为等于RegT剩余。注意，由于市场移动，SMA余额永远不会减少。 RegT剩余＝0或者（RegT权益－RegT保证金），取较大值。
外汇交易不影响SMA。
费用，例如定单取消费等，不影响SMA。
当我们从清算所收到报告时，执行和分配（EA）被报告给信用经理。它们将作为该日的交易被对待。例如，在到期时，我们在周末收到了EA通知；这些交易在清算系统中的交易日期为星期五，但出于SMA目的，它们将被信用经理作为星期一的交易对待。执行请求不改变SMA。DVP交易作为交易被对待。