How Do Global Systemically Important Banks Lower Capital Surcharges?

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Services Research Pub Date : 2024-04-03 DOI:10.1007/s10693-024-00426-w

引用次数: 0

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.

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全球系统重要性银行如何降低资本附加费？

摘要全球系统重要性银行（GSIBs）需缴纳资本附加费，附加费随系统重要性指标的增加而增加。我们的研究表明，美国的全球系统重要性银行在很大程度上是通过在每年的第四季度（即决定附加费的季度）减少一个指标--场外衍生品的名义金额--来降低附加费的。与其他银行相比，GSIB 的这种季节性下降更为明显，而且在 GSIB 附加费开始征收之后，这种下降幅度还有所增加，而且这种下降在很大程度上是由利率掉期驱动的。我们将讨论这些结果对系统重要性指标设计的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Services Research BUSINESS, FINANCE-

CiteScore

3.00

自引率

7.10%

发文量

期刊介绍： The Journal of Financial Services Research publishes high quality empirical and theoretical research on the demand, supply, regulation, and pricing of financial services. Financial services are broadly defined to include banking, risk management, capital markets, mutual funds, insurance, venture capital, consumer and corporate finance, and the technologies used to produce, distribute, and regulate these services. Macro-financial policy issues, including comparative financial systems, the globalization of financial services, and the impact of these phenomena on economic growth and financial stability, are also within the JFSR’s scope of interest. The Journal seeks to promote research that enriches the profession’s understanding of financial services industries, to elevate industry and product efficiencies, as well as to inform the debate and promote the formulation of sound public policies. Officially cited as: J Financ Serv Res