Abstract

http://ssrn.com/abstract=2477092
 


 



Loan Sales and Bank Liquidity Risk Management: Evidence from the Shared National Credit Program


Rustom Irani


University of Illinois at Urbana-Champaign - College of Business

Ralf R. Meisenzahl


Federal Reserve Board

Sadra Amiri-Moghadam


University of Illinois at Urbana-Champaign - College of Business

July 24, 2014


Abstract:     
We investigate the impact of commercial banks' liquidity risk management on bank loan sales. We track the dynamics of bank loan share ownership in the secondary market using data from the Shared National Credit Program, a credit register of syndicated bank loans administered by U.S. regulators. We examine the 2007-2009 financial crisis as a market-wide liquidity shock and control for loan demand using a loan fixed effects approach. We find that banks with a greater reliance on wholesale funding at the onset of the crisis were more likely to exit loan syndicates during the crisis. Our analysis identifies the importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive emphasized in prior literature.

Number of Pages in PDF File: 64

Keywords: Loan Sales; Bank Risk Management; Funding Risk; Financial Crisis

JEL Classification: G01; G21; G23

working papers series





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Date posted: August 7, 2014  

Suggested Citation

Irani, Rustom and Meisenzahl, Ralf R. and Amiri-Moghadam, Sadra, Loan Sales and Bank Liquidity Risk Management: Evidence from the Shared National Credit Program (July 24, 2014). Available at SSRN: http://ssrn.com/abstract=2477092

Contact Information

Rustom Irani
University of Illinois at Urbana-Champaign - College of Business ( email )
Champaign, IL 61820
United States
Ralf R. Meisenzahl (Contact Author)
Federal Reserve Board ( email )
20th and C Streets, NW
Washington, DC 20551
United States
Sadra Amiri-Moghadam
University of Illinois at Urbana-Champaign - College of Business ( email )
Champaign, IL 61820
United States
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