Using a unique panel design that enables to control for bank, firm, market and loan heterogeneities, we confirm that relationship lenders charge higher rates in good times and lower rates in bad times. However, we show that risky single-bank firms do not benefit from this insurance mechanism and are "held-up" by relationship lenders. Local bank competition and higher non-bank finance dependence alleviate this informationmonopolistic behavior. Finally, long-term loans and small, non-trading-oriented and wellcapitalized banks drive the benefits of relationship lending.