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Jean-David Sigaux

I am an economist in the Financial Research Division at the European Central Bank (my CV)

My research interests are: Money markets, Asset pricing, Fixed income and Market microstucture. My research is both empirical and theoretical.


Disclaimer: This is my private site and the views expressed in the material on these pages are my own and do not reflect those of the European Central Bank

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Liquidation value and loan pricing

with F. Barbiero and G. Schepens

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 the liquidation value contains a component at the borrower-collateral level, and that lenders monitor and price-in the interdependency between borrower and collateral risk.