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.

中文翻译：

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贷款条款和抵押品：来自双边回购市场的证据

我们使用专有的贷款级双边回购协议数据库研究担保贷款合同，该数据库包含由证券化中的多个批次支持的同时贷款组。我们表明，较低质量的贷款（即由较低评级抵押品支持的贷款）具有较高的利润率和利差。我们使用抵押资产价格校准模型，发现尽管利润率更高，但质量较低的贷款风险更大，但对借款人来说却更便宜。这一发现与贷方乐观和追求收益的结合是一致的。我们还表明，质量较低的贷款期限更长，这与具有不对称信息的展期问题模型一致。