Credit derivatives and loan yields. Issue 1 (1st September 2021)

• Record Type: Journal Article
• Authors: Azam, Nimita; Mamun, Abdullah; Tannous, George F.
• Is Part Of: Financial review. Volume 57:Issue 1(2022)
• Page Start: 205
• Page End: 241
• Publication Date: 2021-09-01
• Subjects: asset sales -- credit derivatives -- credit risk -- loan types -- loan yield -- securitization; Finance -- United States -- Periodicals; Finance -- Periodicals; 332
• DOI: 10.1111/fire.12285
• Languages: English
• ISSNs: 0732-8516

Abstract

Abstract: We compare the loan yields of credit derivative (CRD) active bank holding companies (BHCs) with the loan yields of CRD inactive peers over the pre‐crisis, crisis (2008–10), and post‐crisis periods. During the post‐crisis period, protection purchasers report lower yields than their peers, while sellers report yields like those reported by their peers. The relation between the yield and commercial and industrial (C&I) loans is positive and significant during the pre‐ and post‐crisis periods, and CRD activities do not affect this relation. CRD activities are changing the relations between the loan yield and consumer loans, real estate loans, and securitization.