University:
Boston University
Course:
CAS EC 203 | Empirical Economics 1
Academic year:

2020
Views:

84

Pages:

17
Author:

Annabel Henry

ТАВLЕ 3 Ratio of Loan Sales to Outstanding Commercial and Industrial Loans Date 1983 Q2 .0469 .0481 1983 QЗ .0458 .0448 1983 Q4 .0425 .0407 1984 Q1 .0535 .0519 1984 Q2 .0515 .0474 1984 Q3 .0736 .0663 1984 Q4 .1032 .0932 1985 Q1 . 1233 . 1079 1985 Q2 . 1500 . 1303 1985 Q3 .2011 . 1889 1985 Q4 . 1979 . 1748 1986 Q1 . 1669 . 1487 1986 Q2 .2203 . 1994 1986 Q3 .2577 .2315 1986 Q4 .2939 .2744 1987 Q1 .5332 .4671 .6798 .5759 1987 Q3 .6728 .5641 1987 Q4 .6946 .5801 1988 Q1 .8571 .7053 1987 Q2 Source: Ratio of Loan Sales to С & I Loans Тор 50 Banks Тор 25 Banks FDIC Call Reports ТАВLЕ 12 Maturities of Recent Loan Sales Ьу Major Loan Sellers 1 (Millions of dollars) Date Aug. Aug. Aug. Aug. Aug. Jul. Short-Term 29, 1988 22 15 8 1 25 Loan Sales 2 $16,427 16,237 16,094 16,722 15,950 16,075 Long-Term Total $41,368 41,925 41,872 41 ,334 41 , 104 39,600 $57,795 58, 163 57,967 58,056 56,984 55,675 1The selling banks included are: Bank of America, Bankers Trust Chase , Manhattan, Chemical Bank, Citibank, Continental Illinois, First National Bank of Chicago, Manufacturers Hanover Trust, Security Pacific, and Toronto Dominion. 2sales include all participation of С & I loans sold without recourse; only loans to North America borrowers; credits sold as assignment; по primary loan distribution to syndicate members. 3short-term is defined as maturing in less than one year. Source: Asset Sales Report, Sept. 6, 1988, р.2. ТАВLЕ 13 The Pricing of Loan Sales (Sales of Loans Made to Borrowers also Issuing Commercial Paper) Loan Sales Yief"ds and Spreads Borrower's Commercial Paper Rating А1/Р1 А2/Р2 Maturity of Loan Sale Maturity of Loan Sale 5 day 30 day 90 day 5 day 30 day 90 day ( 1 ) Mean Yield (2) Standard Deviation of ( 1 ) (3) Spread to Commercial Paper (basis points) (4) Standard Deviation of (3) (5) Spread to LIBOR (basis points) ( 6) 6. 18 7.43 0.47 0.53 10.89 5.40 7.08 о.за 7.29 7.57 0.48 0.53 12.59 24.52 20.37 24.35 37.72 4.91 12.74 5.52 6.23 12.54 -11.11 -11.43 -2. 11 -1. 63 11. 09 8.65 17.36 56.40 о.зз 6.99 о.за Standaгd Deviation of (5) 56.70 7.98 16 .61 1Yields and Spгeads wеге calculated using weekly data fгom the sample period July 27, 1987 - August 29,1988. Souгce: Asset Sales Report, vaгious issues.