Balasubramnian, Bhanu; Cyree, Ken B. - In: Journal of Banking & Finance 35 (2011) 1, pp. 21-35
The default risk sensitivity of yield spreads on bank-issued subordinated notes and debentures (SNDs) decreased after banks started issuing trust-preferred securities (TPS). The too-big-to-fail (TBTF) discount on yield spreads is absent prior to the LTCM bailout, but the size discount doubles...