THE COLLATERAL-ADJUSTED SIZE PREMIUM: HOW MUCH OF THE EURO AREA SME LOANSIZE PREMIUM IS ATTENUATED UNDER FULL COLLATERALISATION
DOI:
https://doi.org/10.35774/jee2026.03.638Keywords:
bank lending rates, collateral, euro area, financial fragmentation, MIR statistics, monetary policy pass-through, size premium, SME credit.Abstract
Euro-area small and medium-sized enterprises (SMEs) pay more for bank credit than large firms, a gap summarised by the loan-size premium, the rate on new-business loans of €0.25 million or less minus that on loans above €1 million. How much of the premium is attenuated among loans with collateral or guarantees worth at least their full value remains unquantified. The original scientific contribution is the Collateral-Adjusted size premium Gap (CAG), the collateral-attenuated portion of that premium, with its cross-country dispersion and rise-then-plateau profile. The public European Central Bank interest-rate size premium for non-financial corporations is decomposed through the regulatory split between all loans (A2A) and fully collateralised loans (A2AC, at least 100% cover under Regulation (EU) No 1072/2013); the CAG is the A2A premium minus the A2AC premium. Earlier work priced the SME financing premium or mapped rate fragmentation, never conditioning it on collateral status. The sample covers 20 countries and the euro area monthly from January 2015 to May 2026, with a floating-rate robustness band and a secondary quarterly panel. The euro-area CAG widened from 0.21 percentage points (pp) in June 2019 to 0.48 pp in December 2024, while the residual premium surviving full collateralisation fell from 0.79 to 0.15 pp; phase means rose from 0.18 to 0.38 pp, and the cross-country interquartile range reached 0.91 pp in August 2023. The Survey on the Access to Finance of Enterprises confirms SMEs paid higher rates than large firms in all 17 waves. The evidence is descriptive, not causal.
JEL: G21, G32, E43, E52.
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Received: July 12, 2026.
Reviewed: September 14, 2026.
Accepted: September 18, 2026.
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