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

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Annex 7 Linking Bloomberg and Bankscope data Annex 7 Linking Bloomberg and Bankscope data Information on parameters which relate to bank performance was downloaded from the BankScope. BankScope and Bloomberg do not share a common bank identifier. In light of this, the discussion below describes the process followed to link the two databases. Bloomberg identifies the issuer of a bond through two different fields: 172 Eqyid Shortname Eqyid refers to the issuer’s parent equity, and so relates to a higher organisational level than what may be an issuing subsidiary. Shortname is a 16-digit abbreviation of the bank’s name. Shortname was chosen as the appropriate link between the two databases on several grounds. There are 470 unique shortnames in the bond issuance dataset as opposed to only 334 eqyids, which shows that shortname is the least aggregated of the two identifiers (some shortnames necessarily refer back to the same eqyid); 189 eqyids are numbers which do not offer any information and would lead to poor matching with the BankScope database and consequently attrition of the dataset. As there are no common identifiers, linking the Bloomberg and BankScope databases was based on the bank names. Shortname from the Bloomberg database was the input in the BankScope search engine and the results were investigated manually. In the case of several results for the same bank appearing, the result in which the latest data was made available was chosen. In case several bank names appear in the list of results, a bank was chosen if other information from Bloomberg identified it convincingly. Information such as country or eqyid were helpful in combination with information from company websites, etc. 213 banks that issued bonds eligible for state guarantees were matched with banks in BankScope. A further 43 banks were matched, but the bonds issued by those institution were not eligible for state guarantee. Six institutions were not matched. Database considerations The BankScope database was chosen for the bank-specific data because it offers information at a level which is lower in the group hierarchy, than the Bloomberg database whose issuer identifier may be related to the parent of the actual issuer. Some of the BankScope variables are, however, incompletely populated. To address this problem, Bloomberg information for comparable variables was downloaded at the potentially more aggregated eqyid-level. Unfortunately the Bloomberg variables are even less populated and therefore the BankScope information is kept for the analysis.
Annex 7 Linking Bloomberg and Bankscope data Table 39 provides a comparison of the number of non-missing values in selected variables from BankScope (BS) and Bloomberg (BB). The BankScope variable is written above the corresponding Bloomberg variable(s). In case there is more than one Bloomberg variable, the BankScope variable is a sum of the Bloomberg variables. For the variables in the group marked with an asterisk (*), the Bloomberg variables do not sum to the BankScope variable. The reason is that BankScope utilise the Universal Bank Model, which is a consolidated approach to reading raw data as they are found on the balance sheet. Bloomberg do not utilise the same model, and therefore the numbers are dissimilar. The conclusion from Table 52 is that the number of missing values on Bloomberg is consistently larger than the BankScope equivalent, and so Bloomberg do not offer any additional information. Table 52: Comparison of non-missings in BankScope and Bloomberg, number of non-missing values Variable 2005 2006 2007 2008 2009 2010 Equity (BS) 168 184 186 197 201 160 ARD Total Shareholder’s Equity (BB) 58 75 88 102 106 70 Total Deposits & Short-term Funding (BS) 165 181 183 195 198 160 BS Customer Deposits (BB) 104 125 149 167 170 118 BS ST Borrow (BB) 103 124 149 169 170 118 BS Ser Sold Repo Agrmnt (BB) 44 49 59 67 85 61 Total Customer Deposits (BS) 162 177 180 192 195 157 BS Customer Deposits (BB) 104 125 149 167 170 118 Total Long-term Funding (BS)* 161 180 185 191 199 160 BS LT Borrow (BB)* 104 125 147 165 171 117 BS other LT Liabilities (BB)* 102 121 145 162 163 116 Total Liabilities & Equity (BS) 168 184 186 197 201 160 Tot Liab and Eqy (BB) 106 127 155 173 174 120 Net Interest Income (BS) 164 181 184 195 198 158 Net Int Inc (BB) 102 125 150 169 171 118 Net Loans (BS) 164 180 183 195 198 160 BS Loan Mtg (BB) 104 124 146 164 171 118 Deposits from Banks (BS) 162 179 182 194 197 160 BS Total Bank Deposits (BB) 28 26 32 38 52 89 Less Res for Impaired Loans/npls (BS) 110 130 137 166 171 138 BS Rsrv Loan Loss (BB) 55 75 87 99 111 76 Note: *: The Bloomberg variables do not fully correspond to the BankScope variable as the BankScope variable is generated by BankScope’s Universal Bank Model which is a consolidated model for aligning raw data. 173
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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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3 Issuing costs of state guarantee
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4 Impact of state guaranteed bonds
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5 Key empirical findings and polic
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References Acharya V.V. and Sundara
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Lando, D. (1997). 'Modeling Bonds a
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Annex 1 Eligibility criteria for st
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Annex 1 Eligibility criteria for st
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Page 168 and 169: Annex 6 Availability of bank data A
Page 170 and 171: Annex 6 Availability of bank data T
Page 178 and 179: Annex 8 Investigation of estimation
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