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Credit derivatives and loan yields

Author

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  • Nimita Azam
  • Abdullah Mamun
  • George F. Tannous

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.

Suggested Citation

  • Nimita Azam & Abdullah Mamun & George F. Tannous, 2022. "Credit derivatives and loan yields," The Financial Review, Eastern Finance Association, vol. 57(1), pages 205-241, February.
    • Handle: RePEc:bla:finrev:v:57:y:2022:i:1:p:205-241
    DOI: 10.1111/fire.12285
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    2. Giorgio Caselli & Catarina Figueira, 2023. "Monetary policy, ownership structure, and risk‐taking at financial intermediaries," The Financial Review, Eastern Finance Association, vol. 58(1), pages 167-191, February.

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