{"title":"全球系统重要性银行如何降低资本附加费?","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":"{\"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}","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}
How Do Global Systemically Important Banks Lower Capital Surcharges?
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.