KAIROS Research

Public Citation Register

• Luck & Santos, "The Valuation of Collateral in Bank Lending," Journal of Financial and Quantitative Analysis, Vol. 59 Iss. 5 (August 2024)Collateral pricing; marketable securities the most valuable collateral class.
• FINRA, 2015 Regulatory & Examination Priorities LetterSecurities-backed lines of credit named a priority product.
• SEC OIEA / FINRA, Investor Alert: "Securities-Backed Lines of Credit — It May Pay to See Beyond the Pitch" (2015)Market volatility can magnify potential losses.
• Federal Reserve, FEDS Note (August 2024) — Estimating Securities-Based Loans OutstandingSizes the outstanding SBLOC market; no centralized reporting.
• Financial Stability Board, "Liquidity Preparedness for Margin and Collateral Calls" (December 2024)Collateral-timing theme.
• Morgan Stanley Wealth Management, "Is Your Portfolio Too Concentrated?" (2026)Single stocks swing harder and fall further than the index.
• FINRA, "Concentrate on Concentration Risk," Investor Insights (June 2022)The regulator’s definition of concentration risk: amplified losses from holding a large portion of your holdings in one investment.
• Bessembinder, H., "Do Stocks Outperform Treasury Bills?" Journal of Financial Economics, Vol. 129, No. 3 (2018)Since 1926, a small share of stocks produced all of the market’s wealth creation.
• Geanakoplos, J., "The Leverage Cycle," NBER Macroeconomics Annual 2009, Vol. 24 (2010)Why lenders tighten collateral terms as prices fall.
• Brunnermeier, M. and Pedersen, L., "Market Liquidity and Funding Liquidity," Review of Financial Studies, Vol. 22 (2009)Falling prices raise collateral demands, which force selling, which pushes prices lower again.
• Gorton, G. and Metrick, A., "Securitized Banking and the Run on Repo," Journal of Financial Economics, Vol. 104, No. 3 (2012)Evidence that lenders raised haircuts as prices fell in 2007 and 2008.
• Cembalest, M., "The Agony and the Ecstasy: The Risks and Rewards of a Concentrated Stock Position," J.P. Morgan, Eye on the Market (2014)Across the Russell 3000 since 1980, roughly 40 percent of stocks suffered a permanent decline of 70 percent or more from their peak.