Arbeitspapier
Liquidation value and loan pricing
We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when their default risk is positively correlated with the risk of the collateral that they pledge. The premium in corporate loan markets amounts to 25 basis points. Our results imply that liquidation value contains a component at the borrower-collateral level, and that lenders monitor and price-in the interdependency between borrower and collateral risk.
- ISBN
-
978-92-899-4978-1
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2645
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Asset Pricing; Trading Volume; Bond Interest Rates
General Equilibrium and Disequilibrium: Financial Markets
Market Design
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
Collateral
Money markets
Corporate loans
Wrong-way risk
LGD
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Barbiero, Francesca
Schepens, Glenn
Sigaux, Jean-David
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2022
- DOI
-
doi:10.2866/173797
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Barbiero, Francesca
- Schepens, Glenn
- Sigaux, Jean-David
- European Central Bank (ECB)
Entstanden
- 2022
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