Using a novel data set of realized syndicated loan cash flows and a risk‐adjustment methodology adapted from the private equity literature, I provide a measure of risk‐adjusted returns for bank loan cash flows. Banks, on average, generate 180 basis points in gross risk‐adjusted returns and add $75 million of value annually to their loan portfolios. Banks earn higher returns when they lend to financially constrained borrowers, and the risk‐adjusted performance of bank loan portfolios exhibits persistence. However, banks require higher risk‐adjusted returns when facing their own financing frictions, and shareholders earn nearly zero net risk‐adjusted returns once bank staff are compensated for their lending effort. Overall, these findings suggest that banks provide valuable services to mitigate borrowers' financing frictions, and the present value of loan cash flows pays for the costs of providing these services.

中文翻译：

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银行贷款的价值

使用已实现银团贷款现金流的新数据集和改编自私募股权文献的风险调整方法，我提供了银行贷款现金流风险调整后回报的衡量标准。平均而言，银行的风险调整后总回报率为 180 个基点，其贷款组合每年增加 7500 万美元的价值。银行向财务受限的借款人放贷时获得更高的回报，银行贷款组合的风险调整后表现持续存在。然而，银行在面临自身的融资摩擦时需要更高的风险调整后回报，一旦银行员工的贷款工作得到补偿，股东获得的风险调整后净回报几乎为零。总体而言，这些发现表明银行提供有价值的服务来缓解借款人的融资摩擦，而贷款现金流的现值可以支付提供这些服务的成本。