Futures Stress Test and Concentration Rules Account Beta Test Please carefully read the below requirements for your futures account. Questions? Call a Client Services representative at +852 2374 7888. 請仔細閱讀以下關於您期貨賬戶的要求。如有問題請致電+852 2374 7888聯繫客戶服務代表， 期貨壓力測試和集中規則 Each day a broad market stress test is conducted on accounts based on the beta weight of the account’s equity and equity index futures positions, using the S&P 500 Index (SPX) as the benchmark. This is a tail risk liquidity test to prevent over leveraging of accounts in an extreme market event. The maximum theoretical loss based on a +/-20% move, +10% move or a -12% move in SPX is then compared to the liquidation value of the account. An account will be set to closing transactions only, meaning new securities and futures positions cannot be opened, if the resulting loss for Profit/Loss (P/L) Day in the portfolio exceeds one of the following: • Two times the net liquidation value at the DOWN 20% level, • Three times the net liquidation value at the UP 20% level, • One time the net liquidation value at the DOWN 12% level, or • One time the net liquidation value at the UP 10% level Note: A theoretical P/L Day loss that exceeds three times the Net Liquidation Value at the DOWN 20% level will result in the client having to take action the day of the breach to bring the DOWN 20% theoretical P/L Day loss under two times the net liquidation value. A theoretical P/L Day loss that exceeds four times the Net Liquidation Value at the UP 20% level will result in the client having to take action the day of the breach to bring the theoretical loss back under three times the net liquidation value. You can perform this test any time on your account in the thinkorswim ® trading software by going to the Analyze tab > Risk Profile.
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Futures Stress Testand Concentration Rules
Account Beta Test
Please carefully read the below requirements for your futures account. Questions? Call a Client Services representative at +852 2374 7888.請仔細閱讀以下關於您期貨賬戶的要求。如有問題請致電+852 2374 7888聯繫客戶服務代表，
期貨壓力測試和集中規則
Each day a broad market stress test is conducted on accounts based on the beta weight of the account’s equity and equity index futures positions, using the S&P 500 Index (SPX) as the benchmark. This is a tail risk liquidity test to prevent over leveraging of accounts in an extreme market event. The maximum theoretical loss based on a +/-20% move, +10% move or a -12% move in SPX is then compared to the liquidation value of the account. An account will be set to closing transactions only, meaning new securities and futures positions cannot be opened, if the resulting loss for Profit/Loss (P/L) Day in the portfolio exceeds one of the following:
• Two times the net liquidation value at the DOWN 20% level, • Three times the net liquidation value at the UP 20% level, • One time the net liquidation value at the DOWN 12% level, or • One time the net liquidation value at the UP 10% level
Note: A theoretical P/L Day loss that exceeds three times the Net Liquidation Value at the DOWN 20% level will result in the client having to take action the day of the breach to bring the DOWN 20% theoretical P/L Day loss under two times the net liquidation value. A theoretical P/L Day loss that exceeds four times the Net Liquidation Value at the UP 20% level will result in the client having to take action the day of the breach to bring the theoretical loss back under three times the net liquidation value.
You can perform this test any time on your account in the thinkorswim® trading software by going to the Analyze tab > Risk Profile.
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1. Once there, enter “SPX” in the symbol box and click Enter on your keyboard. 2. Under Positions and Simulated Trades, select the box that states
“Single Symbol” and change it to Portfolio, Beta Weighted 3. Under the chart, select the menu to the right of Price Slices, choose Set
slices > SPX Beta Test 4. Expand Price Slices to view the P/L Day information for your account
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The above example shows an account with $100,000.00 net liquidation value. The P/L Day for the portfolio based on a 20% downward move in SPX is ($366,750.00) causing the account to be in violation as the P/L Day is more than three times the net liquidation value. In this scenario, immediate action would be required to bring the theoretical loss below two times the net liquidation value. This can be done by bringing in additional funds, reducing risk through liquidation of positions, or market appreciation.
Each day a stress test is conducted on futures accounts holding commodity futures options positions. This is a tail risk liquidity test to prevent over leveraging of accounts in a “Black Swan” event. The test will be based on a +/- 3 Expected Price Range (EPR) move in the underlying future. Emails will be sent to the affected accounts daily confirming the percent move that will be used to stress the position.
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Note: An account with a theoretical P/L Day loss that exceeds two times the Net Liquidation Value Up or Down 3 EPR will be restricted to closing transactions only for futures trading. A theoretical P/L Day loss that exceeds three times the net liq-uidation value Up or Down 3 EPR will result in the client having to take action the day of the breach to bring the theoretical P/L Day loss back under three times the net liquidation value.
You can perform this test any time on your account in the thinkorswim trading software by going to the Analyze tab > Risk Profile.
1. Once there, enter the symbol you are trading in the symbol box and click Enter on your keyboard.
2. Under Positions and Simulated Trades, select “Single Symbol” from the drop down box.
3. Under the chart, set price slices to up and down the percentages that are emailed or change “percent(%)” to “EPR” and choose 3.
4. Expand Price Slices to view the P/L Day information for your account.
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Daily, a test is conducted on futures accounts holding short options positions. Accounts that are not capitalized to have at least $1,000 per net short equity index futures option OR $300 per net short commodity futures option will be restricted to closing transactions only for futures trading.
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• Applies to accounts with large futures margin requirements, generally $1,000,000 or greater in a single product or multiple correlated products.
• If an account reaches ratio of 1.25 or higher when looking at regular futures margin requirement/net liquidating value, immediate liquidation may be required to cover deficiencies.
• No end of day deficiencies, accounts must finish every day above initial margin requirements (house requirement if applicable) based on official daily settlement prices and regulatory margin calls will not be permitted.
Futures Outright Concentration Rules:
These rules may be subject to change anytime, based on market events or liquidity, without any notification.
這些規則可能隨時根據市場事件或流動性而變更，而無需作出任何通知。
Please note that TD Ameritrade Futures & Forex LLC and TD Ameritrade Hong Kong Ltd. reserve the right to liquidate a futures
position at any time, without notice. 請注意，TD Ameritrade Futures ＆ Forex LLC 和德美利證券香港有限公司保留在不作出另行通知的情況下，隨時清算期貨倉位
的權利。
Examples provided for illustrative and educational use only and are not a recommendation or solicitation to buy, sell or hold any
specific security or utilize any specific strategy. 示例僅供說明和教育用途，並不是對購買、出售或持有任何特定證券或利用任何特定策略的推薦或招攬。
Greater leverage creates greater losses in the event of adverse market movements.
在市場出現不利變動的情况下，高杠杆率會造成更大的虧損。
Futures trading is speculative, and is not suitable for all investors. Please read the Risk Disclosure for Futures and Options prior to
If you’re interested in learning more about futures, it’s important that you expand your investing education before
you make investments. 如果您有興趣瞭解更多關于期貨的資料，在進行投資前擴展您的投資教育非常要。
Futures and futures options trading services provided by TD Ameritrade Futures & Forex LLC. Trading privileges subject to review and approval. Not all clients will qualify.
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Futures accounts are not protected by the Securities Investor Protection Corporation (SIPC).
期貨賬戶不受證券投資者保護公司（SIPC）的保障。
TD Ameritrade Hong Kong Ltd. is registered with the Securities and Futures Commission (CE Number BJO462) to carry out the regulated activities of dealing in securities and dealing in futures contracts and does not provide tax, legal, or investment advice or recommendations. Regulated products are provided in Hong Kong by TD Ameritrade Hong Kong Ltd. and nothing in the published material is an offer or solicitation to conduct business in any other jurisdiction. TD Ameritrade Futures & Forex LLC is a futures commission merchant and is the contracted custodian of TD Ameritrade Hong Kong Ltd. for U.S. Futures markets. TD Ameritrade is the trading name of TD Ameritrade Hong Kong Ltd.
