Repo Rates and the Collateral Spread Puzzle

Kjell G. Nyborg
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引用次数: 5

Abstract

Repo rates frequently exceed unsecured rates in practice. As an explanation, this paper derives a constrained-arbitrage relation between the unsecured rate, the repo rate, and the illiquidity adjusted expected rate of return of the underlying collateral. The theory is based on unsecured borrowing constraints in the market for liquidity. Repos and security cash-market trades are alternative means to get liquidity. Collateral spreads (unsecured less repo rate) can turn negative if borrowing constraints tighten, unsecured rates spike down, or from a depressed and illiquid security market. The constrained-arbitrage theory sheds light on the evolution of collateral spreads over time.
回购利率和抵押品价差之谜
在实践中,回购利率经常超过无担保利率。作为解释,本文导出了无担保利率、回购利率与基础抵押品的非流动性调整预期收益率之间的约束套利关系。该理论是基于市场流动性的无担保借款限制。回购和证券现金市场交易是获得流动性的替代手段。如果借贷限制收紧,无担保利率大幅下降,或者来自低迷且缺乏流动性的证券市场,抵押品息差(无担保利率低于回购利率)可能变为负值。约束套利理论揭示了抵押品息差随时间的演变。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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