The Market for Borrowing Corporate Bonds

This paper describes the market for borrowing corporate bonds using a comprehensive dataset from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points per year. Factors that increase borrowing costs are loan size, percentag...

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Veröffentlicht in:	NBER Working Paper Series 2010-08, p.16282
Hauptverfasser:	Pathak, Parag A, Au, Andrea, Asquith, Paul, Covert, Thomas R
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset Pricing Bond markets Borrowing Corporate bonds Costs Credit default swaps Economic theory Hypotheses Inventory Loans Securities industry Short sales Stock exchanges Stocks
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creator	Pathak, Parag A Au, Andrea Asquith, Paul Covert, Thomas R
description	This paper describes the market for borrowing corporate bonds using a comprehensive dataset from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points per year. Factors that increase borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. Trading strategies based on cost or amount of borrowing do not yield excess returns. Bonds with corresponding CDS contracts are more actively lent than those without. Finally, the 2007 Credit Crunch did not affect average borrowing cost or loan volume, but increased borrowing cost variance.
doi_str_mv	10.3386/w16282
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The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points per year. Factors that increase borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. Trading strategies based on cost or amount of borrowing do not yield excess returns. Bonds with corresponding CDS contracts are more actively lent than those without. Finally, the 2007 Credit Crunch did not affect average borrowing cost or loan volume, but increased borrowing cost variance.</description><identifier>ISSN: 0898-2937</identifier><identifier>DOI: 10.3386/w16282</identifier><language>eng</language><publisher>Cambridge, Mass: National Bureau of Economic Research</publisher><subject>Asset Pricing ; Bond markets ; Borrowing ; Corporate bonds ; Costs ; Credit default swaps ; Economic theory ; Hypotheses ; Inventory ; Loans ; Securities industry ; Short sales ; Stock exchanges ; Stocks</subject><ispartof>NBER Working Paper Series, 2010-08, p.16282</ispartof><rights>Copyright National Bureau of Economic Research, Inc. 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Trading strategies based on cost or amount of borrowing do not yield excess returns. Bonds with corresponding CDS contracts are more actively lent than those without. Finally, the 2007 Credit Crunch did not affect average borrowing cost or loan volume, but increased borrowing cost variance.</description><subject>Asset Pricing</subject><subject>Bond markets</subject><subject>Borrowing</subject><subject>Corporate bonds</subject><subject>Costs</subject><subject>Credit default swaps</subject><subject>Economic theory</subject><subject>Hypotheses</subject><subject>Inventory</subject><subject>Loans</subject><subject>Securities industry</subject><subject>Short sales</subject><subject>Stock exchanges</subject><subject>Stocks</subject><issn>0898-2937</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2010</creationdate><recordtype>article</recordtype><sourceid>NBR</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNo90EtLxDAUBeAsFBxH_QGuCm7cVG_eyVKLLxhx04W7kqY32lGbmnQY_PcWKq4uHD7OgUvIGYUrzo263lPFDDsgKzDWlMxyfUSOc94CMGOArshl_Y7Fs0sfOBUhpuI2phT3_fBWVDGNMbkJ52zo8gk5DO4z4-nfXZP6_q6uHsvNy8NTdbMpUTMorVSdc0ClDUYK7IQJnAqGMqBG4amH1nTWK0lBAg8BvQitl0zPTkhr-JpcLLVjit87zFOzjbs0zIsNVUYbBgJgVsWi0Mehz82Y-i-XfhoKQinBtHidyflChhbTP1j-wX8B2r9Q8g</recordid><startdate>20100801</startdate><enddate>20100801</enddate><creator>Pathak, Parag A</creator><creator>Au, Andrea</creator><creator>Asquith, Paul</creator><creator>Covert, Thomas R</creator><general>National Bureau of Economic Research</general><general>National Bureau of Economic Research, Inc</general><scope>CZO</scope><scope>MPB</scope><scope>NBR</scope><scope>XD6</scope><scope>OQ6</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20100801</creationdate><title>The Market for Borrowing Corporate Bonds</title><author>Pathak, Parag A ; 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The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points per year. Factors that increase borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. Trading strategies based on cost or amount of borrowing do not yield excess returns. Bonds with corresponding CDS contracts are more actively lent than those without. Finally, the 2007 Credit Crunch did not affect average borrowing cost or loan volume, but increased borrowing cost variance.</abstract><cop>Cambridge, Mass</cop><pub>National Bureau of Economic Research</pub><doi>10.3386/w16282</doi></addata></record>
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source	National Bureau of Economic Research Publications; Alma/SFX Local Collection
subjects	Asset Pricing Bond markets Borrowing Corporate bonds Costs Credit default swaps Economic theory Hypotheses Inventory Loans Securities industry Short sales Stock exchanges Stocks
title	The Market for Borrowing Corporate Bonds
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