Credit derivatives and loan yields

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.