{"title":"How Do Global Systemically Important Banks Lower Capital Surcharges?","authors":"Jared Berry, Akber Khan, Marcelo Rezende","doi":"10.2139/ssrn.3764965","DOIUrl":null,"url":null,"abstract":"Global systemically important banks (GSIBs) are subject to capital surcharges that increase with systemic importance indicators. We show that U.S. GSIBs lower their surcharges to a large extent by reducing one indicator---the notional amount of over-the-counter derivatives---in the fourth quarter of each year, the quarter that determines surcharges. This seasonal drop is stronger at GSIBs than at other banks; it increased after GSIB surcharges were introduced; and it is largely driven by interest rate swaps. We discuss implications of these results for the design of systemic importance indicators.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Banking & Insurance eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3764965","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 3
Abstract
Global systemically important banks (GSIBs) are subject to capital surcharges that increase with systemic importance indicators. We show that U.S. GSIBs lower their surcharges to a large extent by reducing one indicator---the notional amount of over-the-counter derivatives---in the fourth quarter of each year, the quarter that determines surcharges. This seasonal drop is stronger at GSIBs than at other banks; it increased after GSIB surcharges were introduced; and it is largely driven by interest rate swaps. We discuss implications of these results for the design of systemic importance indicators.