In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic features and mean-reverting behavior of this series and juxtapose the empirically-derived laws of motion with the author’s prior theories of margin loan pricing (Garivaltis 2019a, 2019b). This allows us to derive stochastic differential equations that govern the evolution of the margin loan interest rate and the leverage ratios of sophisticated brokerage clients (namely, continuous-time Kelly gamblers). Finally, we apply Merton’s (1974) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the total volume of call loans must constitute north of 70 % of the value of all leveraged portfolios.

In this paper, which is the third installment of the author's trilogy on margin loan pricing, we analyze $1,367$ monthly observations of the U.S. broker call money rate, which is the interest rate at which stock brokers can borrow to fund their margin loans to retail clients. We describe the basic features and mean-reverting behavior of this series and juxtapose the empirically-derived laws of motion with the author's prior theories of margin loan pricing (Garivaltis 2019a-b). This allows us to derive stochastic differential equations that govern the evolution of the margin loan interest rate and the leverage ratios of sophisticated brokerage clients (namely, continuous time Kelly gamblers). Finally, we apply Merton's (1974) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the total volume of call loans must constitute north of $70%$ of the value of all leveraged portfolios.

In order to find agreement with the author's prior work on margin loan pricing (Garivaltis 2019a, 2019b), we must deal with the continuously-compounded annual ...Mar 12, 2019 — Article. Full-text available. Aug 2019 ... The Laws of Motion of the Broker Call Rate in the United States. Article. Full-text available.

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Weekly posted interest rates covering prime rate, conventional mortgages, guaranteed investment certificates, personal, daily interest savings, and non-chequable savings deposits, offered by chartered banks. Rates presented are the most typical of those offered by the six major chartered banks.

Business TypeOpen Rate; (Total)Click; Rate (Clicks/Delivers)Bounce; R...All Industries – Overall Average29.55%1.27%9.95%Child Care Services38.15%2.10%9.13%Dining and Food Services32.12%0.70%0.70%View 21 more rows

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