In this paper, we develop a capped call option model to evaluate the equity of a bank under capital regulation. A capped type of credit risk from the performance of relationship borrowing firms is explicitly considered, captured by a mechanism through borrower soft information that the bank produces and accumulates. We study the impact of soft information for small business lending on the optimal bank interest margin, i.e., the spread between the loan rate and the deposit rate of a bank. Our findings show that favorable soft information increases small business lending at a reduced loan rate (and thus at a reduced margin), and further lowers bank equity risk and enhances efficiency gains from soft information acquisition when borrower dependent on bank financing is heavy. Moreover, we account for the capital regulatory environment stringent to small business lending that increases bank equity risk and decreases soft information efficiency gain. Our results have important bank interest margin implications in terms of achieving efficiency gain and lower risk exposure, which might conflict with capital regulation aiming to promote financial stability.

中文翻译：

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在资本监管下，有关小企业贷款的软信息如何影响银行效率？

在本文中，我们建立了一个有上限的看涨期权模型，以评估资本管制下的银行权益。明确考虑了关系借款公司业绩的信用风险上限类型，该机制通过银行通过生产和积累的借款人软信息来捕获。我们研究了小企业贷款的软信息对最佳银行利率的影响，即银行的贷款利率和存款利率之间的利差。我们的研究结果表明，有利的软信息能够以降低的贷款利率（从而以较低的利润率）增加小企业贷款，并进一步降低银行股权风险，并在依赖银行融资的借款人沉重的情况下通过软信息获取提高效率。此外，我们考虑了严格的小企业贷款监管环境，这会增加银行股权风险并降低软信息效率收益。我们的结果对实现效率收益和降低风险敞口具有重要的银行利差影响，这可能与旨在促进金融稳定的资本监管相冲突。