Illiquidity premium and credit risk in Brazilian receivables investment funds (FIDCs): theoretical foundations, regulatory architecture and a measurement agenda

Brazilian receivables investment funds (Fundos de Investimento em Direitos Creditórios, FIDCs) have become one of the main channels of non-bank financing in Brazil, with net assets of BRL 741.1 billion in November 2025, according to ANBIMA. Despite this growth and the opening of the product to retail investors under CVM Resolution No. 175, the domestic literature has paid little attention to whether the additional return offered by these funds adequately compensates the credit, structural and liquidity risks borne by investors. This article addresses the question through theoretical and conceptual research of a qualitative nature, based on a review of the international literature on securitization, liquidity pricing and private credit fund performance, and on a documentary analysis of Brazilian regulation. It argues that the spread of FIDC shares over the CDI rate combines at least three distinct components, namely expected credit losses, a systematic risk premium and an illiquidity premium, and that conventional performance measurement, based on the Sharpe ratio and on comparison with the CDI, tends to overstate risk-adjusted returns because of return smoothing. As a contribution, the article proposes an empirical agenda that addresses serial correlation, credit risk factors and fund liquidity measures, applicable to the monthly reports published by the Brazilian Securities and Exchange Commission (CVM). It concludes that the evaluation of these vehicles requires separating compensation for risk from compensation for illiquidity, otherwise capital may be misallocated, particularly by retail investors.