Loan Terms and Collateral: Evidence from the Bilateral Repo Market
利用双边回购交易的专有数据，研究了抵押品质量与贷款条款的关系，发现低质量贷款虽保证金更高、风险更大，但对借款人而言成本更低，这符合贷款人乐观和追求收益的行为。
ABSTRACT 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.