We study secured lending contracts using a novel, loan-by-loan database of all bilateral repurchase agreements that financed a hedge fund’s positions over three years. Other things equal, loans on lower-quality collateral have higher spread, higher margin and smaller loan amounts, but longer maturity. Conversely, holding loan risk constant, one point of spread substitutes approximately 9 points of margin. Using the 2005 U.S. bankruptcy reform as a positive shock to expected creditor recovery, we observe that margin alone drops, suggesting that margin has a unique role in protecting the lender from collateral illiquidity.
Keywords: Secured lending, Collateral, Margin, Maturity, Repo
JEL: G21, G23, G32, D86, D82
학회소식
[2016년 제 4차] Lender Protection versus Risk Compensation: Evidenc
작성자 : 관리자
조회수 : 881
게시일 :
2016-12-21
