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