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How is collateral valued in bank lending? Data limitations have hampered researchers’ ability to answer this question. Using a novel loan-level data source, we identify the pricing collateral by comparing loans made by the same bank, to the same firm, at the same origination date, but using different types of collateral. We find that securing a loan reduces borrowing costs for firms by 17 basis points. The price effect varies across different types of collateral, with marketable securities and real estate being the most valuable types of collateral. Our results also show that collateral is especially valuable for medium-sized and small firms. Further, we show that the value of and the propensity to pledge real estate collateral is sensitive to changes in local housing prices.