Monday, January 28, 2008

SocGen margin?

(Alea) Some have asked about how much of a margin deposit it takes to carry Kerviel's positions (see below).
I can tell you how much I pay :
18375 euros per dax contract and 4125 euros per estx50. This works out to close to 4.9 billions euros for SocGen, curiously the amount of their loss. They would pay less than that as a clearing member, and they may be able to net out against customer’ positions but that’s random as there is no guarantee that customers will have inverse positions to theirs.
This is the big black hole in the SocGen story, they haven’t come clean on how that was funded.

How many contracts?


Dax and eurostoxx50 columns represent volume traded on some specific day and socgen share of volume based on their data [see below]
On friday 18th:
Each dax contract was worth 7379*25 euros and the position was worth 16,594,544,736 euros
Each estx50 contract was worth 4028*10 and the position was worth 31,699,148,942 euros
Total : 48,293,693,678 euros

Not counted footsie position [ socgen petty cash account ! ]

How they got out:


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