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

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Annex 2 Comparison of SG and non-SG bond populations A2.2 Determinants of issuing cost data A2.2.1 Data availability Table 27 shows data availability for determinants of issuing costs by country of risk and for SG and non-SG bonds. The main observation is that the vast majority of data is available. Table 27: Data availability, % of total sample, by country of risk Amount issued Coupon Maximum tenor CDS spread Cross default Force majeure Negative pledge Private Grace period clause clause clause placement SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG SG SG SG SG SG SG SG SG AT 100% 99% 100% 100% 100% 100% 21% 1% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% BE 100% 100% 100% 78% 100% 100% 0% 62% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% DE 100% 100% 99% 100% 100% 100% 5% 51% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% DK 100% 100% 100% 100% 100% 100% 10% 27% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% ES 100% 100% 100% 100% 100% 100% 19% 61% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% GR 100% 100% 100% 95% 100% 100% 42% 68% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% LU 100% 100% 100% 78% 100% 100% 0% 17% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% NL 100% 100% 100% 60% 100% 100% 87% 96% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% PT 100% 100% 100% 100% 100% 100% 50% 92% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% SE 100% 99% 100% 100% 100% 100% 92% 66% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% SI 100% 100% 100% 100% 100% 100% 0% 0% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% UK 100% 95% 100% 95% 100% 100% 94% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% Total 100% 99% 100% 91% 100% 100% 42% 62% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% Source: Bloomberg 138
A2.2.2 Comparison of means Annex 2 Comparison of SG and non-SG bond populations The comparison of means presented in Table 28 gives a sense of the characteristics of SG and non-SG bonds by country of risk. The nature of SG bonds is fairly different to non-SG bonds in terms of the amounts issued. On average, the value of the SG bond issues were far larger than those of the issues of non- SG bonds. Otherwise, however, these bonds were similar in terms of the coupon, maximum tenor and other contractual feature. Both of these findings are to be expected to some extent. Contractual features are similar because the comparison group of bonds was selected explicitly on the basis of state guarantee scheme eligibility criteria. And, differences in amounts issued reflect wholesale funding market conditions. 38 Table 28: Comparison of means, by country of risk Amount issued Coupon Maximum tenor (€m) (%) (yrs) CDS spread Cross default Force majeure Negative pledge Private Grace period (bps) clause† clause† clause† placement† (days) SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG Non- SG SG SG SG SG SG SG SG SG AT 859.3 27.4 3 4 3.3 3.9 120 120 0.00 0.00 0.00 0.00 0.00 0.8 0.00 0.08 15 0 BE 1499 48 2 2 2.5 2.0 0 191 0.10 0.00 0.00 0.00 0.1 0.00 0.44 0.16 2 13 DE 392 58 2 3 3.3 2.7 261 135 0.00 0.00 0.00 0.002 0.00 0.00 0.004 0.002 2 19 DK 723 733 2 3 3.0 2.7 112 112 0.02 0.00 0.01 0.02 0.02 0.00 0.07 0.22 1 1 EL 1989 209 6 3 2.8 2.3 898 663 0.29 0.00 0.00 0.00 0.17 0.00 0.00 0.00 4 3 ES 352 496 3 4 3.3 3.1 378 282 0.00 0.00 0.01 0.01 0.00 0.00 0.11 0.06 0 0 LU 14 13 2 2 2.3 2.0 0 147 0.03 0.00 0.00 0.00 0.03 0.00 0.00 0.00 11 0 NL 1253 21 2 4 4.1 3.0 158 156 0.00 0.00 0.00 0.002 0.17 0.01 0.27 0.05 10 15 PT 813 153 3 3 3.0 3.0 559 564 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.46 7 0 SE 732 721 2 2 3.2 3.1 88 73 0.00 0.00 0.00 0.00 0.00 0.00 0.19 0.10 25 7 SI 510 37 3 5 4.0 5.0 0 0 0.04 0.00 0.00 0.00 0.06 0.00 0.00 0.00 3 0 UK 1129 40 2 1 2.7 2.7 157 96 0.00 0.00 0.00 0.00 0.00 0.01 0.23 0.10 7 1 Total 686 75 2 4 3.1 2.9 327 151 0.04 0.00 0.002 0.003 0.04 0.006 0.11 0.05 5 15 Source: Bloomberg 38 The validity of the econometric analysis is not undermined as a result of sizeable differences in the value of SG versus non-SG bonds because amounts issued are controlled for explicitly in the econometric analysis. 139
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Economic Papers are written by the
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Wherever possible London Economics
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Contents Page Annex 4 Results of di
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Tables, Figures & boxes Page Table
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Glossary vi Glossary BGN Bloomberg
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Executive summary Member States (Cy
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1 Introduction 1 Introduction 1.1
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1 Introduction 1.4 Research questi
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1 Introduction analysis of the lat
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2 Overview of state guarantee sche
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Page 168 and 169: Annex 6 Availability of bank data A
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Page 176 and 177: Annex 7 Linking Bloomberg and Banks
Page 178 and 179: Annex 8 Investigation of estimation
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