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Quantitative Finance · Begrippenlijst

Wat is General collateral and special?

Ook bekend als: general collateral · special

Definition 16.3 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 16 — Stock Loan and Short Selling in Practice

A security is general collateral when supply so exceeds demand that it lends at a minimal fee, a few tenths of a percent a year. It is special (or hard to borrow) when the fee is materially higher; a special’s rebate rate is often negative: the borrower receives no interest on its cash collateral and pays on top.

The chapter’s illustrative fee curve: flat while supply is ample, convex once three quarters of it is on loan. Real curves differ by stock and by day; the shape, a long flat region and a steep end, is the robust part.
Figure 16.2. The chapter’s illustrative fee curve: flat while supply is ample, convex once three quarters of it is on loan. Real curves differ by stock and by day; the shape, a long flat region and a steep end, is the robust part.
A short of 100 000 shares at $40 while the stock goes special. The borrow cost is negligible for half a year and then takes everything. Data: the tutorial’s simulation.
Figure 16.3. A short of 100 000 shares at $40 while the stock goes special. The borrow cost is negligible for half a year and then takes everything. Data: the tutorial’s simulation.
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