Accessible Version
How Do U.S. Global Systemically Important Banks Lower Their Capital Surcharges? Accessible Data
Figure 1: Fourth-Quarter Changes in Systemic Importance Indicators of G-SIBs
| Group | Indicator | Change in Fourth Quarter (Percent) | Significance Flag |
|---|---|---|---|
| Size | Total exposures | -0.8 | Not significant |
| Interconnectedness | Intra-financial system assets | -2.2 | |
| Intra-financial system liabilities | 4 | ||
| Securities outstanding | -0.3 | ||
| Substitutability | Payments activity | -2.9 | |
| Assets under custody | 0.1 | ||
| Underwritten transactions | -5.8 | ||
| Complexity | OTC derivatives | -13.4 | Significant |
| Trading and AFS securities | -2.6 | Not significant | |
| Level 3 assets | 3.3 | ||
| Cross-jurisdictional activity | Claims | -3.5 | |
| Liabilities | -5.7 | ||
| STWF | Short-term wholesale funding | -2.4 |
Note: This figure shows estimates of the change in systemic importance indicators of G-SIBs in the fourth quarter of each year. We estimate these changes using a differences-in-differences equation in which G-SIBs are the treatment group, non-G-SIBs are the control group, and the dependent variable is the natural logarithm of systemic importance indicator measured in dollar amounts. The regression equation allows indicators of G-SIBs and non-G-SIBs to jump by different amounts when surcharges were introduced and to follow different time trends. The equation includes bank characteristics, bank and time fixed effects, and controls for quarterly variation between G-SIBs and non-G-SIBs in the second and third quarter, leaving the first quarter as the reference case. The red color indicates that the estimate of the change is statistically significant at the 5 percent level. AFS, IFSA, IFSL, and STWF are available-for-sale, intra-financial system assets, intra-financial system liabilities, and short-term wholesale funding, respectively.
Figure 2: Fourth-Quarter Changes in Interest Rate OTC Derivative Contracts of G-SIBs
| Derivative Type | Change in Fourth Quarter (Percent) | Significance Flag |
|---|---|---|
| Swap | -10.4 | Significant |
| Forward | -24.3 | Significant |
| Option | 1.1 | Not significant |
Note: This figure shows estimates of the change in the notional amounts of interest rate OTC derivative contracts of G-SIBs in the fourth quarter of each year after the introduction of G-SIB surcharges. We estimate these changes using a differences-in-differences equation in which G-SIBs are the treatment group, non-G-SIBs are the control group, and the dependent variable is the natural logarithm of the notional amount of interest rate swap, forward, and option contracts measured in dollar amounts. The regression equation allows indicators of G-SIBs and non-G-SIBs to jump by different amounts when surcharges were introduced and to follow different time trends. The equation includes bank characteristics, bank and time fixed effects, and controls for quarterly variation between G-SIBs and non-G-SIBs in the second and third quarter, leaving the first quarter as the reference case. The red color indicates that the estimate of the change is statistically significant at the 5 percent level.