Lending to Invest
UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group
Research Seminars in Finance
Topic: Lending to Invest
Speaker: Stéphane Verani, Federal Reserve Board
Abstract:
This paper studies the supply side of the securities lending market. We propose a model of institutional investors managing a negative duration gap between their assets and liabilities. Securities lending arises when an upward sloping yield curve allows long-term institutional investors to narrow their negative duration gap by issuing shorter-term liabilities and investing the proceeds in longer-term assets. We find strong empirical support for the theory in new micro-data matching the universe of securities lending transactions to US life insurers' bond lending and cash collateral reinvestment decisions, covering nearly one million bond holdings from 2011 to 2015. Our findings suggest an important link between the liquidity of securities markets and the fragility of financial markets.
A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday 14th May 2018.
Date: Wednesday, 16th May 2018
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
Building 8, Room 8.002, Dr Chau Chak Wing Building
Dr Chau Chak Wing Building
Dr Chau Chak Wing Building
14 - 28 Ultimo Road, Ultimo
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777