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.

中文翻译：

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清算价值和贷款定价

本文表明，抵押品的清算价值取决于借款人和抵押品风险之间的相互依赖性。使用短期回购协议（repo）的交易级数据，我们发现，当借款人的违约风险与其抵押品的风险呈正相关时，他们需要支付 1.1 至 2.6 个基点的溢价。此外，我们表明借款人在选择抵押品时会内化这种溢价。贷款层面的信用登记数据表明，结果也延伸到了企业贷款市场。