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Quantitative Finance · Glosario

¿Qué es Margin call?

Definition 6.11 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 6 — Financing: Repo, Securities Lending and Prime Brokerage

A margin call is a lender’s demand that a borrower restore the agreed excess of collateral over loan, by delivering cash or securities or by reducing positions, usually within one day. If it is not met the lender may sell the collateral.

Ejemplos

Example 6.13 (Fifty and twenty-five)

With $m_0 = 50\%$ and $m = 25\%$ , $P^\star = \tfrac23 P_0$ : the call comes after a fall of a third. A professional client margined by its prime broker at $m_0 = 15\%$ and $m = 10\%$ is called at $0.944\,P_0$ , after a fall of 5.6%.

Example 6.15 (Archegos)

In March 2021 a family office, Archegos Capital Management, defaulted on margin calls from its dealers. It had built concentrated positions in a handful of stocks through total return swaps with several banks, positions which the SEC’s complaint later put at $36 billion. One of those banks, Credit Suisse, lost close to $5.5 billion. The report its board commissioned found that the bank had agreed to a swap margin of 7.5% — leverage above thirteen — that the margin was static, fixed on the price at which each swap was opened, so that as the stocks rose the average margin held fell to 6.9% of current value, and that a move to dynamic margining had not been given priority. When the stocks fell, every dealer held the same shares as its hedge, and each had to sell them into the others’ selling.

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