Abstract

While credit default swaps (CDSs) can be used to hedge credit risk exposures or to speculate, we examine another use of them: banks buy CDS referencing their borrowers to obtain regulatory capital relief. Such capital relief activities have unintended consequences, as banks extend riskier loans when they buy CDS to boost capital ratios. While capital-induced CDS-user banks achieve higher profitability during normal times, they perform worse and request more government support in crisis periods than other banks that use CDS for trading or speculation. Our findings suggest that banks’ CDS trading for capital relief purposes may make these banks riskier.

中文翻译：

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信用违约掉期和银行监管资本*

摘要

虽然信用违约掉期（CDS）可以用于对冲信用风险敞口或进行推测，但我们研究了它们的另一种用法：银行参考其借款人购买CDS以获得监管资本减免。此类资本减免活动会产生意想不到的后果，因为银行在购买CDS时会提供风险较高的贷款，以提高资本比率。尽管资本诱导的CDS用户银行在正常情况下可以获得更高的利润，但与其他使用CDS进行交易或投机的银行相比，它们在危机时期的表现更差并且需要更多的政府支持。我们的研究结果表明，出于资本减免目的而进行的CDS交易可能会使这些银行具有更高的风险。