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The Role of Margin and Spread in Secured Lending: Evidence from the Bilateral Repo Market



Abstract


We study bilateral repurchase agreements in a novel database with one borrower and many lenders. Margins and spreads increase together with lender risk as collateral quality declines. We observe different margins and spreads for contemporaneous contracts on identical collateral, with one point of spread substituting for nine points of margin. Lender characteristics drive substitution: we observe lower margins and higher spreads with (i) less creditworthy lenders, and (ii) lenders with more funding from money market funds. As borrower default risk increases, margins (but not spreads) rise faster when the collateral is more opaque, suggesting a special role for margin.
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黑龙江EDP教学中心隶属于哈尔滨迦南地教育咨询有限公司,创办于2004年,我院主要设有金融工程学双硕士、管理学硕士、工商管理硕士(MBA)及高级管理人员培训(EDP)等教学项目,并从2013年开始招收在职MBA硕士研究生,同时招收全日制西方经济学博士研究生。

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