Liquidation Value and Loan Pricing

• 成果类型: Article
• 署名作者: Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David
• 署名单位: European Central Bank; European Central Bank
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13291
• 发表日期: 2024
• 页码: 95-128
• 关键词: Sovereign debt crisis; MARKET; LAWS

摘要

This paper shows that the liquidation value of collateral depends on the interdependency between borrower and collateral risk. Using transaction-level data on short-term repurchase agreements (repo), we show that borrowers pay a premium of 1.1 to 2.6 basis points when their default risk is positively correlated with the risk of the collateral that they pledge. Moreover, we show that borrowers internalize this premium when making their collateral choices. Loan-level credit registry data suggest that the results extend to the corporate loan market as well.