Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives

• 成果类型: Article
• 署名作者: Fleckenstein, Matthias; Longstaff, Francis A.
• 署名单位: University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa033
• 发表日期: 2020
• 页码: 5051
• 关键词: EMPIRICAL-ANALYSIS; market liquidity; Yield spreads; risk premia; arbitrage; default; price; debt; constraints; securities

摘要

A long-standing asset pricing puzzle is that the funding rates in derivatives contracts often differ from those in cash markets. We propose that the cost of renting intermediary balance sheet space may help resolve this puzzle. We study a persistent basis in what is arguably the largest derivatives market, namely, the interest rate futures market. This basis is strongly related to exogenous measures of intermediary balance sheet usage and proxies for the balance sheet costs imposed by debt overhang problems and capital regulation. These results extend to the cash derivatives bases documented in many of the other largest financial markets.