Abstract 

Private credit is an exponentially growing market that is frequently described as mysterious and opaque.  In this paper, I peel back some of that opacity, creating new data sources on private credit and making many of them publicly available.  Like open-source software, the value of this information is not in that it is inherently perfect, but that it is transparent, meaning that errors that exist can be identified and corrected, improving its quality and reliability over time. 

First, I create a new publicly available data set that provides detailed information on the size and strategy of every US private credit fund.  This is based on extensive enhancements I perform, building off a base of regulatorily mandated disclosures that private funds file with the SEC. I show that the US private credit market is substantially larger than generally recognized, and I show how the data enables anyone to precisely calibrate their measure of private credit market size based on their preferred definition of private credit.

Second, I create a publicly available data set detailing the leverage used by private credit funds, with borrowing supplied primarily via banks. I build this by piecing together data from diverse sources such as regulatory filings, press releases, investor presentations, sponsor annual reports, and more.  I use this data to estimate total bank lending to private credit, and I validate it by showing how yields earned by insurance company investments in private credit funds vary predictably based on underlying fund leverage.

Finally, I combine my newly developed public data sources with proprietary insurance data (which unfortunately cannot be publicly released) to precisely measure the exposure of individual insurance companies to different types of private credit funds, and I perform stress test analyses measuring expected losses to insurance companies in different hypothetical stress scenarios.

Paper will be shared closer to the date of the seminar.

Practicalities

This event will be held in person. The seminar will take place in Roeterseiland campus (REC) building A, room number A3.01.  

About the speaker 

Michael Ohlrogge joined the faculty at NYU School of Law in 2019. His research focuses on how legal structures impact the risks that corporations take and the positive or negative consequences these risks have on the public good. Ohlrogge's research pursues this theme in areas of law including bankruptcy, financial regulation, and corporate governance. His work aims to show why "finance is interesting, even for people who aren't interested in money."

Ohlrogge earned his JD from Stanford Law School, as well as a Masters of Economics and a PhD in Management Science and Engineering (finance and economics concentration) from Stanford University. Ohlrogge has advised the US Securities and Exchange Commission (SEC) on implementation of Dodd-Frank regulations and seen his suggestions incorporated into final rules. His work on these regulations was covered in media outlets such as the Wall Street Journal, the New York Times, and The Atlantic. Ohlrogge has also provided legal and statistical consulting on mortgage discrimination litigation and he has advised major corporations and financial institutions on regulatory compliance and the impact of financial regulations on their businesses. Before entering the legal profession, Ohlrogge worked as a community organizer for the Gamaliel Foundation, working for organizations in Detroit, Michigan and Oakland, California.

About ACLE

The Amsterdam Center for Law and Economics (ACLE) is a joint initiative of the Faculty of Economics and Business and the Faculty of Law at the University of Amsterdam. The objective of the ACLE is to promote high-quality interdisciplinary research at the intersection between law and economics.