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

Tables, Figures & boxes Page
Table 39: Differences in issuance volume between large and small banks 154
Table 40: Re-estimation of issuing cost model with imputed data 155
Table 41: Results of test of multi-collinearity of main issuing cost model 157
Table 42: Re-estimation results of issuing cost model using generalised least squares 159
Table 43: Results of test of multi-collinearity of main spill-over model 161
Table 44: Re-estimation results of issuing cost model using generalised least squares 163
Table 45: Non-missing values by quarter, equity and total liabilities and equity 164
Table 46: Non-missing values by quarter, operating income, net interest income and other earning
assets 165
Table 47: Non-missing values by quarter, deposits, funding and pref. shares and hybrid capital
accounted for as debt 166
Table 48: Non-missing values by quarter, loan variables 168
Table 49: Non-missing values by year, equity and total liabilities and equity 170
Table 50: Non-missing values by year, operating income, net interest income and other earning
assets 170
Table 51: Non-missing values by year, deposits, funding and pref. shares and hybrid capital
accounted for as debt 171
Table 52: Non-missing values by year, loan variables 171
Table 53: Comparison of non-missings in BankScope and Bloomberg, number of non-missing
values 173
Table 54: Correlation between participation in SG scheme and credit extension 174
Table 55: Correlation between participation in SG scheme and funding outcomes 174
Table 56: Autocorrelation of credit extension 175
Table 57: Autocorrelation of funding outcomes 175
Figure 1: Pattern of SG bond issuance activity, number of bond issues (#) and value of bond issues
(€mn), Oct-08 - Dec-10 16
Figure 2: Approved measures and guarantees granted under state guarantee schemes 17
Figure 3: Top 20 issuers of bonds among banks receiving state guarantees 22
Figure 4: Maturity structure of SG bonds at issue by number of issues at different maturities 23
Figure 5: Issuing cost by issuer rating, SG and non-SG bonds 24
Figure 6: Issuing cost by sovereign rating, SG bonds 25
Figure 7: Interpolated spread 33
Figure 8:Option-adjusted spread 34
Figure 9: Bond issuing costs and volumes, 2009-2010 45
Figure 10: Differences in issuing costs across state guaranteed and non-state guaranteed bonds 46
Figure 11: Market perceptions of uncertainty, VSTOXX Index, %age deviations from median, 48
Figure 12: SG and non-SG bond issuing costs by bond rating 49
Figure 13: SG bond issuing cost by sovereign rating 50
Figure 14: SG bond issuing cost by bond rating and sovereign rating 51
Figure 15: Partial regression plot of baseline impact of state guarantees on issuing cost (n=683) 54
Figure 16: Distribution of impacts of use of state guarantee on issuing cost (n=523) 55
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