• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
ФКН

Research Seminar by Mattia Landoni (Southern Methodist University)

On Thursday, June 16 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF held the Research Seminar.
Speaker: Mattia Landoni (Southern Methodist University)
Theme: "Loan Price and Collateral: Evidence from the Bilateral Repo Market"

Abstract: We study secured lending contracts using a novel, loan-by-loan database of all bilateral repurchase agreements (repos) that financeda hedge fund’s positions over three years. Controlling for other factors, we show that loans on lower-quality collateral have higher spread and margin and smaller loan amounts, but longer maturity. Keeping loan risk constant, we estimate that 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.


Forthcoming seminars

Past seminar