The Valuation of Collateral in Bank Lending

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-10-23 DOI:10.1017/s0022109023000704

Stephan Luck, João A. C. Santos

引用次数: 0

Abstract

Abstract We study the valuation of collateral by comparing spreads on loans by the same bank, to the same borrower, at the same origination date, but backed by different types of collateral. Pledging collateral reduces borrowing costs by 23 BPS on average. The effect varies across different types of collateral, with marketable securities being most valuable, and real estate and accounts receivables and inventory being more valuable than fixed assets and a blanket lien. Further, the rate reduction from pledging collateral is sensitive to the value of the underlying collateral, and collateral tends to be more valuable for smaller and private firms and for loans with longer maturity.

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银行贷款抵押品的价值评估

摘要本文通过比较同一银行，同一借款人，在同一发起日期，但由不同类型的抵押品支持的贷款利差来研究抵押品的估值。质押抵押品平均降低了23个基点的借贷成本。不同类型抵押品的影响不同，有价证券最有价值，房地产、应收账款和存货比固定资产和一揽子留置权更有价值。此外，质押抵押品的利率降低对基础抵押品的价值很敏感，对小型和私营公司以及期限较长的贷款来说，抵押品往往更有价值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.