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Loan Terms and Collateral : Evidence from the Bilateral Repo Market
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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Association 2022 |
|---|---|
| Edisi | Volume 77, Issue 6, December 2022, Pages 2997-3036 |
| Subjek | Securitization Bilateral Repo Market Simultaneous Loans Backed |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | First Published : 04 October 2022 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |