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

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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 iv
Tables, Figures & Boxes Page Figure 17: Incremental reduction of issuing cost through use of state guarantee of particular guarantors (n=683) 58 Figure 18: Magnitude and statistical significance of the LIBOR-OIS spread response to domestic and foreign policy announcements, bps 69 Figure 19: Interest rate spreads on bank loans, bps 81 Figure 20: Credit growth and bank lending standards 82 Figure 21: Balance sheet expansion for participating and non-participating banks, by percentile 98 Figure 22: Standardised normal probability plot of residuals of main issuing cost model 156 Figure 23: Analysis of variance of residuals of main issuing cost model 158 Figure 24: Standardised normal probability plot of residuals of main spill-over model 160 Figure 25: Analysis of variance of residuals of main issuing cost model 162 v
Page 2 and 3: Economic Papers are written by the
Page 4 and 5: Wherever possible London Economics
Page 6 and 7: Contents Page Annex 4 Results of di
Page 10 and 11: Glossary vi Glossary BGN Bloomberg
Page 12 and 13: Executive summary Member States (Cy
Page 14 and 15: 1 Introduction 1 Introduction 1.1
Page 16 and 17: 1 Introduction 1.4 Research questi
Page 18 and 19: 1 Introduction analysis of the lat
Page 20 and 21: 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 2 Comparison of SG and non-SG
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Annex 2 Comparison of SG and non-SG
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Annex 3 Analysis of missing issuin
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Annex 3 Analysis of missing issuing
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Annex 3 Analysis of missing issuing
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Annex 4 of diagnostic tests of issu
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Annex 4 of issuing cost model Figur
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Annex 5 -over model Annex 5 Results
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Annex 5 -over model Figure 25: Anal
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Annex 6 Availability of bank data A
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Annex 6 Availability of bank data T
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Annex 7 Linking Bloomberg and Banks
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Annex 8 Investigation of estimation
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