A 97th-percentile rally and positive funding leave collateral 2.36% below its 52-week high
Should the lender raise the collateral margin it requires on ETH-backed loans after a 24.99% weekly gain, or keep its terms and rely on the existing liquidation trigger?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 16 November 2020, ETH rose 24.99% from 448.07 to 560.03, its 97th percentile weekly return in 144 weeks, closing in the upper third of a 30.40% range and 2.36% below its 52-week high. Eight-hour perpetual funding averaged 0.0388% and peaked at 0.0898%, so longs were paying to hold. Volume ran 1.88 times the prior 12-week average, and ETH outpaced BTC by 9.59 percentage points. The largest one-hour move was -4.74%. An illustrative lender accepts ETH as collateral and liquidates below a fixed trigger.
Judgment
Funding was positive in every eight-hour window of the week, from 0.01% up to 0.0898%, so perpetual longs paid to hold exposure while price rose towards the 52-week high. The data does not show how much leverage sits behind the collateral. Raise the required margin for new ETH loans, set from the -4.74% worst hour and the 85.4% annualised realised volatility rather than the weekly average, and add a cushion above the existing trigger so liquidations do not fire into a gap. Keep existing loans on their original terms. The lender accepts slower origination; it does not accept a trigger that cannot be filled.
What would change it
If funding turns negative, or ETH closes a week back below the 448.07 open of this week, the sustained-positive-funding premise weakens and the margin can be reviewed. If the lender's liquidations this week filled within a few percent of the trigger, the cushion can be reduced.
What sets this case apart
The margin decision follows a winning week: sustained positive funding shows the long side paying to hold, so the risk is an unwind with collateral 2.36% below its 52-week high, not a falling market.