3 Issuing costs of state guaranteed bonds - Financial Risk and ...

Annex 2 Comparison of SG and non-SG bond populations
Table 26 provides a comparison of means of issuing cost measures by country of risk and for SG
and non-SG bonds. The raw data revealed a large range of values. Bonds with extreme issuing
costs of more than the 95th percentile were dropped as they most likely reflected bond
characteristics outside the scope of the analysis and reporting errors. For example, in Portugal the
average z-spread was is in the order of 400 bps. To prevent this problem, issuing cost data was
cleaned insofar as observations above the 95 th percentile were excluded from the econometric
analysis.
Table 26: Comparison of means, z-spread/zero discount margin, by country of risk
z-spread/zero discount margin 1
z-spread/zero discount margin 2
SG Non-SG SG Non-SG
AT 46.3 - 47.9 -
BE 81.9 48.0 64.2 48.0
DE 9.6 40.6 9.7 57.3
DK 21.6 77.6 21.4 77.6
ES 213.5 163.3 203.6 168.0
IE 438.8 - 423.4 -
NL 34.0 59.8 38.5 59.9
PT 103.9 433.0 108.2 434.7
SE 13.0 70.4 21.5 71.5
SI 96.4 86.2 96.9 86.2
UK 20.1 75.3 21.1 75.3
Note: 1 CBBT pricing source, 2 BGN pricing source, - indicates all non-SG bonds were ineligible for a state guarantee
Source: Bloomberg
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