Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:loan spreads 

Report
The cost of bank regulatory capital

The Basel I Accord introduced a discontinuity in required capital for undrawn credit commitments. While banks had to set aside capital when they extended commitments with maturities in excess of one year, short-term commitments were not subject to a capital requirement. The Basel II Accord sought to reduce this discontinuity by extending capital standards to most short-term commitments. We use these differences in capital standards around the one-year maturity to infer the cost of bank regulatory capital. Our results show that following Basel I, undrawn fees and all-in-drawn credit spreads on ...
Staff Reports , Paper 853

Working Paper
Tying loan interest rates to borrowers' CDS spreads

We investigate how the introduction of market-based pricing, the practice of tying loan interest rates to credit default swaps, has affected borrowing costs. We find that CDS-based loans are associated with lower interest rates, both at origination and during the life of the loan. Our results also indicate that banks simplify the covenant structure of market-based pricing loans, suggesting that the decline in the cost of bank debt is explained, at least in part, by a reduction in monitoring costs. Market-based pricing, therefore, besides reducing the cost of bank debt, may also have adverse ...
Finance and Economics Discussion Series , Paper 2014-70

FILTER BY year

FILTER BY Content Type

Report 1 items

Working Paper 1 items

FILTER BY Author

FILTER BY Jel Classification

G21 2 items

G10 1 items

G28 1 items

G30 1 items

FILTER BY Keywords

loan spreads 2 items

Basel accords 1 items

CDS spreads 1 items

Market-based pricing 1 items

capital regulation 1 items

cost of capital 1 items

show more (2)

PREVIOUS / NEXT