Revise & Resubmit at the Review of Financial Studies
Invited to present at: AFA, CICF, FIFI, FIRS, FMA (Semi-Finalist), FMCG, FSB-IOSCO, NBER SI, OCC Symposium, Tulane, U of Florida, U of Utah, UT Dallas Finance Conference
This figure presents quarterly estimates of the difference between loan spreads on Cov-Heavy and Cov-Lite institutional term loans. Each bar in the figure displays the coefficient estimate on a Cov-Lite indicator variable from a quarterly cross-sectional regression in which the loan spread (in bps) is the dependent variable.
Accepted for Publication at the Journal of Financial and Quantitative Analysis
Invited to present at: Copenhagen Business School, FMA, U of Colorado Boulder, Australian National University
Reputational capital is a frequently cited attribute of private equity transactions. In this paper we construct a simple model to illustrate the relationship between reputational capital, covenants and loan spreads in the leveraged loan market. Our model predicts that reliance on reputational capital varies inversely with a sponsor’s past loan performance and the efficiency of the enforcement formal contracts terms. Our model also predicts that for sponsored deals, spreads will be lower on Cov-Lite loans than loans with maintenance covenants. Using a large sample of leveraged loans originated between 2005 and 2018, we find evidence consistent with these predictions.
This figure presents interest rate sensitivity for portfolios of bank stocks and the Fama-French market portfolio (Market) in high- and low-rate environments. The figure plots the coefficients from regressions of these industry and market returns on the change in two-year Treasury yield over a one-day window around FOMC meetings. High-rate (low-rate) environment refers to periods when the effective Federal Funds rate is 2% or above (below 2%). Banking refers to the Fama-French bank portfolio while VW Bank and EW Bank refer to valueweighted and equal-weighted returns of bank stocks in our sample, respectively.
Portfolio Spread for a loan mutual fund. The Y-axis is the ratio of the portfolio value of loans based on reported prices by the loan mutual fund to the portfolio value of loans based on the closest daily bid price on the report date. Each blue dot represents monthly deviation in a year. The red line is the time-series average of the fund’s deviation during the sampling period.
The figure represents average pair-wise overlap among Collateralized Loan Obligations' asset pool in the US.
in Private Credit Agreements
Solo-authored Paper - Draft available upon request.
Invited to present at: Eastern FA, Fed New York, SWFA