Loan Terms and Collateral: Evidence from the Bilateral Repo Market

• 成果类型: Article
• 署名作者: Auh, Jun Kyung; Landoni, Mattia
• 署名单位: Yonsei University; Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13184
• 发表日期: 2022
• 页码: 2997-3036
• 关键词: debt maturity; RISK; liquidity; credit

摘要

We study secured lending contracts using a proprietary, loan-level database of bilateral repurchase agreements containing groups of simultaneous loans backed by multiple tranches within a securitization. We show that lower-quality loans (i.e., loans backed by lower-rated collateral) have higher margins and spreads. We calibrate a model using collateral asset prices and find that lower-quality loans are riskier despite the higher margins, yet cheaper for the borrower. This finding is consistent with a combination of lender optimism and reaching for yield. We also show that lower-quality loans have longer maturity, consistent with models of rollover concerns with asymmetric information.