{"title":"金融危机期间银行收到的利息:LIBOR与假设的SOFR贷款","authors":"Urban Jermann","doi":"10.2139/ssrn.3624908","DOIUrl":null,"url":null,"abstract":"The cumulative additional interest from LIBOR during the crisis is estimated to be between 1% to 2% of the notional amount of outstanding loans, depending on the tenor and type of SOFR rate used. The amount of LIBOR business loans owned by banks could have been as high as about 2trn, and the overall additional interest income banks received thanks to LIBOR could have been as high as 30bn dollars. The analysis also shows that a compounded SOFR reduces insurance relative to a term SOFR.","PeriodicalId":11689,"journal":{"name":"ERN: Commercial Banks (Topic)","volume":"13 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"Interest Received by Banks During the Financial Crisis: LIBOR vs Hypothetical SOFR Loans\",\"authors\":\"Urban Jermann\",\"doi\":\"10.2139/ssrn.3624908\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The cumulative additional interest from LIBOR during the crisis is estimated to be between 1% to 2% of the notional amount of outstanding loans, depending on the tenor and type of SOFR rate used. The amount of LIBOR business loans owned by banks could have been as high as about 2trn, and the overall additional interest income banks received thanks to LIBOR could have been as high as 30bn dollars. The analysis also shows that a compounded SOFR reduces insurance relative to a term SOFR.\",\"PeriodicalId\":11689,\"journal\":{\"name\":\"ERN: Commercial Banks (Topic)\",\"volume\":\"13 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-06-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Commercial Banks (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3624908\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Commercial Banks (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3624908","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Interest Received by Banks During the Financial Crisis: LIBOR vs Hypothetical SOFR Loans
The cumulative additional interest from LIBOR during the crisis is estimated to be between 1% to 2% of the notional amount of outstanding loans, depending on the tenor and type of SOFR rate used. The amount of LIBOR business loans owned by banks could have been as high as about 2trn, and the overall additional interest income banks received thanks to LIBOR could have been as high as 30bn dollars. The analysis also shows that a compounded SOFR reduces insurance relative to a term SOFR.
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