Accessible Version
What Happens When Banks Tighten C&I Loan Supply? Accessible Data
Figure 1: Trends in C&I Lending Around a Change in Supply
(a) C&I Growth Around Tightening
| Quarters Since SLOOS | Beta Estimate | Upper Bound | Lower bound |
|---|---|---|---|
| -6 | -0.003005183 | 0.001721785 | -0.007732152 |
| -5 | -0.002606035 | 0.001529544 | -0.006741615 |
| -4 | -0.002342813 | 0.001233111 | -0.005918736 |
| -3 | -0.001707715 | 0.001316137 | -0.004731567 |
| -2 | -0.001307752 | 0.001013335 | -0.00362884 |
| -1 | -0.001156452 | 0.00040644 | -0.002719344 |
| 0 | |||
| 1 | -0.001227505 | 0.000289465 | -0.002744475 |
| 2 | -0.004671767 | -0.002371452 | -0.006972082 |
| 3 | -0.008074266 | -0.005094571 | -0.01105396 |
| 4 | -0.01222619 | -0.008570146 | -0.015882235 |
| 5 | -0.016670434 | -0.012446892 | -0.020893976 |
| 6 | -0.019613592 | -0.01472182 | -0.024505364 |
(b) C&I Growth Around Increase in Demand
| Quarters Since SLOOS | Gamma Estimate | Upper Bound | Lower bound |
|---|---|---|---|
| -6 | -0.008419623 | -0.002916719 | -0.013922526 |
| -5 | -0.009350328 | -0.004480962 | -0.014219693 |
| -4 | -0.009438394 | -0.005190589 | -0.013686198 |
| -3 | -0.006797062 | -0.003247606 | -0.010346518 |
| -2 | -0.007162957 | -0.0043801 | -0.009945814 |
| -1 | -0.004859719 | -0.00299092 | -0.006728517 |
| 0 | |||
| 1 | 0.00854551 | 0.010350451 | 0.006740569 |
| 2 | 0.014162601 | 0.016893953 | 0.01143125 |
| 3 | 0.015646406 | 0.019270608 | 0.012022203 |
| 4 | 0.01887379 | 0.023176812 | 0.014570769 |
| 5 | 0.022710113 | 0.027844409 | 0.017575817 |
| 6 | 0.02504389 | 0.030911941 | 0.019175839 |
Note: This figure plots the regression coefficients from:
$$ln(\text{C&I Loans})_{b,t+h}-ln(\text{C&I Loans})_{b,t}=\beta^{h} \text{Tightening Index}_{b,t}+\gamma^{h} \text{Demand}_{b,t} +\tau^{h}_t+\epsilon^{h}_{b,t}$$
by time horizon $$h$$. The charts plot point estimates and 90\% confidence intervals for $$\{\beta^{h}\}$$, reflecting trends in C&I loan volumes around a one standard deviation tightening, on the left, and $$\{\gamma^{h}\}$$, reflecting trends in C&I loan volumes for banks reporting that demand increased relative to bank reporting demand as unchanged, on the right. The sample covers period from 1990 to 2019.
Source: Call Reports, SLOOS.
Figure 2. Trends in Origination Characteristics Around a Change in Supply
(a) Interest Rate (pp) on New Originations
| Quarters Since SLOOS | Beta Estimate | Upper Bound | Lower bound |
|---|---|---|---|
| -6 | -0.01985997 | 0.013169941 | -0.05288988 |
| -5 | -0.007687264 | 0.020864705 | -0.036239233 |
| -4 | -0.024736088 | 0.002799816 | -0.052271992 |
| -3 | -0.019866785 | 0.004483505 | -0.044217076 |
| -2 | -0.016822131 | 0.003616356 | -0.037260618 |
| -1 | -0.0070166 | 0.012480721 | -0.026513919 |
| 0 | |||
| 1 | 0.027295575 | 0.049179118 | 0.005412032 |
| 2 | 0.02352035 | 0.047708221 | -0.000667521 |
| 3 | 0.037504315 | 0.063928396 | 0.011080235 |
| 4 | 0.030404951 | 0.058857307 | 0.001952595 |
| 5 | 0.02316376 | 0.055091631 | -0.00876411 |
| 6 | 0.013281677 | 0.054898787 | -0.028335433 |
(b) Percent Originations with First Lien
| Quarters Since SLOOS | Beta Estimate | Upper Bound | Lower bound |
|---|---|---|---|
| -6 | -0.932181716 | 0.312685728 | -2.17704916 |
| -5 | -1.195100188 | -0.020921277 | -2.369279146 |
| -4 | -1.286703944 | -0.116060942 | -2.457346916 |
| -3 | -1.276175976 | -0.171088964 | -2.381263018 |
| -2 | -0.803630829 | 0.157467932 | -1.764729619 |
| -1 | -0.391592503 | 0.471403837 | -1.254588842 |
| 0 | |||
| 1 | 0.782650948 | 1.668527007 | -0.10322509 |
| 2 | 0.876873612 | 1.866869092 | -0.113121822 |
| 3 | 1.211327076 | 2.303111076 | 0.119543046 |
| 4 | 1.203419209 | 2.304567575 | 0.102270707 |
| 5 | 1.76248467 | 2.930356503 | 0.594612777 |
| 6 | 1.557081103 | 2.743058681 | 0.371103555 |
Note: This figure plots the regression coefficients from:
$$y_{b,t+h}-y_{b,t}=\beta^{h} \text{Tightening Index}_{b,t}+\gamma^{h} \text{Demand}_{b,t} +\tau^{h}_t+\epsilon^{h}_{b,t}$$
by time horizon $$h$$. Each figure plots point estimates and 90% confidence intervals for $$\{\beta^{h}\}$$, where $$y$$ is the commitment-weighted average interest rate on originations in percentage points (left) or the percent of new commitments with a first lien on the collateral (left). The sample covers period from 2012 to 2019.
Source: Y-14Q, SLOOS.
Figure a1: Loadings Plot For Tightening Index
| Net Tightening | Loading for First Component | Loading for Second Component |
|---|---|---|
| Standards | 0.362 | 0.235 |
| Covenants | 0.346 | 0.190 |
| Collateral | 0.319 | 0.338 |
| Max Maturity | 0.300 | 0.251 |
| Max Size | 0.287 | 0.475 |
| Risk Pricing | 0.333 | -0.202 |
| Spreads | 0.372 | -0.435 |
| Cost of Credit Line | 0.372 | -0.314 |
| Rate Floors | 0.297 | -0.421 |
Note: This figure plots the loadings placed on the various questions about credit standards and loan terms when constructing the summary measure of changes in credit supply. The loadings for the first principal component are on the x-axis, and loadings for the second principal component are on the y-axis.
Source: SLOOS.
Figure a2. Net Change in Standards Compared to Tightening Index
(a) Supply Measures over Time (Left panel)
This is a line chart titled “C&I Tightening.” The x axis ranges from 1990q1 to 2020q1. The Y axis range (left scale) from -1 to 1 in Net Share Tightening. The Y axis range (right scale) from -3 to 3 in Tightening Index. The data is quarterly. There are 3 variables charted on the plot. The first line is labeled C&I Standards (left); is designated by a red dashed line. The second line is labeled C&I Terms (left); is designated by a thin grey line. The third line is labeled C&I Tightening Index (right); is designated by a thick black line. The 3 series generally move synchronously with increases around the early 1990s, early 2000s, 2007, and 2020Q1. After each of the increases, most of series fluctuate slightly around zero with C&I Terms, in particular, fluctuating slightly below zero.
(b) Histogram of Tightening Responses (Right panel)
A histogram of Net Changes in C&I Standards is overlayed on a histogram of the Tightening Index. Net Changes in C&I Standards takes on three discrete values of -1, 0, and 1. A large majority of the responses are at zero. The remaining share is split between -1 and 1 with 1 having slightly more. The Tightening Index is continuous with the largest share at zero around 40% (not as much as the Net Changes share at zero). The remaining values are spread out between -3 and 3 with a few small clusters near the left of zero but all remain below the Net Changes shares.
Note: The left chart plots averages across banks within a quarter for the tightening index (black), the net change in standards (red) and the net change in various terms (grey), over time. The right chart plots a histogram of the reported changes in standards and the tightening index.
Source: SLOOS.