More Transparency Needed For Bank Capital Relief Trades

Jill Cetina, John McDonough and Sriram Rajan
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Jill Cetina: Office of Financial Research

No 15-04, Briefs from Office of Financial Research, US Department of the Treasury

Abstract: This brief argues that more data are needed to allow investors and counterparties to assess how banks reduce their required regulatory capital by transferring credit risk to third parties. The authors use public regulatory data to show that 18 banks purchased $38 billion in credit protection as of Q4 2014 to obtain regulatory capital relief. They also estimate the impact of these transactions on banks' risk-based capital ratios.

Keywords: Capital Relief Trades; Regulatory Capital; Credit Derivatives; Risk-Based Capital Ratio; Credit Risk (search for similar items in EconPapers)
Pages: 8 pages
Date: 2015-06-11
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Citations: View citations in EconPapers (2)

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