In this work, the Brazilian credit market for small and medium-sized enterprises is analyzed from a perspective in which business activities are driven by the utility of market players. From a sample of credit proposals submitted to a large Brazilian bank, the lender’s utility is studied. In addition, credit transactions in the small business segment are investigated in terms of the relations between interest rates and collateral. Results reveal the existence of an environment in which small business borrowers are credit rationed and accept to pay high interest rates when purchasing credit products based on liquid collateral. Also, the bank’s utility from a credit transaction is affected by the private information it captures along its relationships with customers. Findings imply that financial systems may not be fostering the demand for productive credit by means of low-priced loans. The study provides relevant information for those interested in productive credit markets, such as professionals of financial institutions, public policy makers and small and medium-sized business entrepreneurs who need funding.