Abstract
On implementation, IFRS 9 increases credit loss (impairment) charges and reduces after-tax profits of banks. This makes retained earnings and hence capital resources lower than what they would be under IAS 39. To maintain their capital ratios under IFRS 9, banks may choose to hold higher levels of equity capital. This paper uses a modified version of CAPM, which accounts for the low-risk anomaly (as suggested by Baker and Wurgler (Baker and Wurgler in American Economic Review 105:315–320, 2015)), to estimate the impact of this potential increase in capital levels on the cost of funding of banks in six European countries, the UK, Germany, France, Italy, Spain and Switzerland. Our results indicate that weak low-risk anomaly exists for banks’ equity in the six countries, except France. The magnitude of the anomaly varies across countries, but is generally low relative to the long-run cost of equity for banks. Due to the weak anomaly, we find a minor “day 1” impact of IFRS 9 on the cost of funding of banks in the six countries.
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Notes
International Financial Reporting Standards 9: Financial Instruments.
International Accounting Standard 39: Financial Instruments: Recognition and Measurement.
This is based on a naïve logic. Because it covers more loans in its scope (Stage 1 and Stage 2 loans), IFRS 9 would make impairment charges, in a given year, higher than what they would be under IAS 39. However, in certain circumstances, IFRS 9 might lead to lower impairment charges and higher profits. This could be the case in an upturn if the stock of loan loss provisions at the start of a year exceeds that required at the end of the year (due to more optimism in expectations).
There are some cross-country differences in terms of tax deductibility of expenses, which may reflect on the impact of IFRS 9 on capital resources. For simplicity, our analysis abstracts from these differences.
Banks could maintain their capital ratios by deleveraging and/or de-risking, rather than holding more equity capital.
For example, Brigham and Ehrhardt [3]: “As leverage increases, more weight is given to low-cost debt, but equity becomes riskier. Under Modigliani–Miller assumptions, the cost of equity capital increases by exactly enough to keep the cost of capital constant” (p. 597).
Baker et al. [5] explain the limited arbitrage preventing sophisticated institutional investors from exploiting any low-risk anomaly by the following. First, shorting highly volatile shares can be hard, especially for smaller companies with small number of shares available to borrow in the market. Moreover, institutional investors do not act on their own behalf in most cases. As their customers want to ensure they can compare different investors among asset classes, the investors must perform relative to a benchmark. This benchmarking restricts their ability to exploit the low-risk anomaly.
Our analysis covers the potential microeconomic costs only and does not investigate the macroeconomic costs. For instance, if banks chose to pass the higher costs to their customers, this could lead to lower lending and possibly lower output.
The derivation of Eq. (6) is in Appendix.
If bank debt were risky, the change in the cost of funding would be reduced to the extent that the increased level of capital reduces βd, as Eq. (7) shows. Although the assumption of riskless debt is a reasonable for banks, it does not hold true for very highly levered banks. Yet, we can drop such extreme cases, as banking regulations, which requires certain equity ratios, would prevent those cases.
Stronger low-risk anomaly in debt markets and/or higher riskiness of bank debt reduce the impact of the low-risk anomaly in share markets on WACC, as Baker and Wurgler [16] indicate.
Baker and Wurgler [16] indicate that the “calibration with riskless debt remains a reasonable estimate in the presence of such factors”.
We estimate the average risk weight by dividing the leverage ratio by the CET1 ratio.
Appendix Asset betas of the banks in the sample includes more information about estimated asset betas for the banks in our sample. In that Appendix, we also re-estimate asset betas on annual basis.
The weights in these portfolios (as well as those in “Robustness checks Section”) are calculated by dividing the total assets of each bank on the total assets of all banks in the portfolio, using end 2017 data.
We present the estimated values of alphas and betas for the country-level portfolios, and the plots used to estimate γ values in Appendix Estimation of the magnitude of the low-risk anomaly.
The debt betas of the country-level portfolios are calculated by substituting the equity and assets beta of each portfolio into Eq. (1). Their values are presented in Appendix Estimation of the magnitude of the low-risk anomaly.
Appendix The impact of IFRS 9 on the cost of funding includes more details about the estimated impact of IFRS 9 on the cost of funding.
The rise in asset quality transparency may increase or reduce the cost of funding by revealing the true riskiness of assets.
Appendices Robustness checks; Experiment 1 – Country-level portfolios of all banks–Robustness checks; Experiment 5 – Three risk-based portfolios (high, medium and low risk) include more information about γ estimation under each of the five robustness experiments.
In the first experiment, we have only one portfolio comprising all German banks, in which the two banks have combined weight of 96.5%. As a result, the two banks would have a stronger contribution to the values of the alpha and beta of the portfolio and hence the estimated magnitude of the low-risk anomaly. In the baseline, the two banks affect only one of three sets of alpha and beta which have equal impacts on the estimated anomaly, making their influence on it weaker. Their influence is even weaker in the fourth experiment where the banks have equal weights in the panel.
We also calculate the estimated impacts of IFRS 9 in the second case we explore in this paper (i.e. when bank debt is risky but not very sensitive to leverage). We present these impacts in Appendices The impact of IFRS 9 under Experiment 1 – Country-level portfolios of all banks–The impact of IFRS 9 under Experiment 5 – Three risk-based portfolios.
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Appendix
Appendix
Derivation of Eq. (6)
-
Start from the definition of WACC:
$${\text{WACC}} = e.r_{e} + \left( {1 - e} \right).r_{d}$$ -
Substitute in the values of re and rd from Eqs. (5) and (4), respectively:
$${\text{WACC}} = e.\left[ {\gamma .\left( {\beta_{e} - 1} \right) + r_{f} + \beta_{e} .r_{p} } \right] + \left( {1 - e} \right).\left[ {r_{f} + \beta_{d} .r_{p} } \right]$$$$\mathop \Rightarrow \limits^{{}} {\text{WACC}} = + e.\gamma .\beta_{e} - e.\gamma + e.\beta_{e} .r_{p} + r_{f} - + \beta_{d} .r_{p} - e.\beta_{d} .r_{p}$$$$\mathop \Rightarrow \limits^{{}} {\text{WACC}} = r_{f} - e.\gamma + e.\beta_{e} .\left( {\gamma + r_{p} } \right) + \beta_{d} .r_{p} - e.\beta_{d} .r_{p}$$ -
Substitute in the value of βe from Eq. (2):
$${\text{WACC}} = r_{f} - e.\gamma + \left( {\beta_{a} - \left( {1 - e} \right).\beta_{d} } \right).\left( {\gamma + r_{p} } \right) + \beta_{d} .r_{p} - e.\beta_{d} .r_{p}$$$$\mathop \Rightarrow \limits^{{}} {\text{WACC}} = r_{f} - e.\gamma + \gamma .\beta_{a} + r_{p} .\beta_{a} - \gamma .\left( {1 - e} \right).\beta_{d} - \left( {1 - e} \right).\beta_{d} .r_{p} + \beta_{d} .r_{p} - e.\beta_{d} .r_{p}$$$$\mathop \Rightarrow \limits^{{}} {\text{WACC}} = r_{f} - e.\gamma + \gamma .\beta_{a} + r_{p} .\beta_{a} - \gamma .\left( {1 - e} \right).\beta_{d} -$$$$\mathop \Rightarrow \limits^{{}} {\text{WACC}} = r_{f} + \gamma .\beta_{a} + r_{p} .\beta_{a} - e.\gamma - \gamma .\left( {1 - e} \right).\beta_{d}$$$$\mathop \Rightarrow \limits^{{}} {\text{WACC}} = r_{f} + \beta_{a} .r_{p} + \beta_{a} .\gamma - \gamma \left[ {e + \left( {1 - e} \right).\beta_{d} } \right]$$ -
For a given level of βa, Since βd is a function of e:
$${\text{WACC}} = r_{f} + \beta_{a} .r_{p} + \beta_{a} .\gamma - \gamma \left[ {e + \left( {1 - e} \right).\beta_{d} \left( e \right)} \right]$$
Asset betas of the banks in the sample
Asset betas for UK banks
Bank | The leverage ratio | CET1 ratio | Tier-1 capital ratio | |||
|---|---|---|---|---|---|---|
Quarterly data | Annual data | Quarterly data | Annual data | Quarterly data | Annual data | |
Barclays | 0.03 (0.002) | 0.03 (0.003) | 0.10 (0.006) | 0.10 (0.012) | 0.09 (0.005) | 0.09 (0.010) |
HSBC | 0.06 (0.001) | 0.06 (0.003) | 0.13 (0.004) | 0.13 (0.007) | 0.11 (0.003) | 0.11 (0.007) |
Lloyds | 0.04 (0.002) | 0.04 (0.003) | 0.10 (0.007) | 0.10 (0.015) | 0.10 (0.005) | 0.10 (0.010) |
RBS | 0.04 (0.002) | 0.05 (0.004) | 0.12 (0.007) | 0.12 (0.014) | 0.10 (0.005) | 0.10 (0.010) |
Standard Chartered | 0.06 (0.002) | 0.06 (0.003) | 0.11 (0.004) | 0.11 (0.009) | 0.10 (0.004) | 0.10 (0.008) |
Santander UK | 0.05 (0.002) | 0.05 (0.003) | 0.10 (0.005) | 0.10 (0.009) | 0.11 (0.004) | 0.11 (0.008) |
CYBG | 0.09 (0.003) | 0.09 (0.004) | 0.20 (0.006) | 0.19 (0.010) | 0.17 (0.007) | 0.15 (0.012) |
Virgin Money | 0.04 (0.001) | 0.04 (0.002) | 0.19 (0.005) | 0.20 (0.015) | 0.20 (0.007) | 0.21 (0.018) |
Metro Bank | 0.08 (0.004) | 0.08 (0.008) | 0.23 (0.013) | 0.23 (0.023) | 0.19 (0.010) | 0.19 (0.018) |
Close Brothers | 0.15 (0.004) | 0.15 (0.007) | 0.18 (0.003) | 0.18 (0.007) | 0.15 (0.003) | 0.15 (0.006) |
Asset betas for German banks
Bank | The leverage ratio | CET1 ratio | Tier-1 capital ratio | |||
|---|---|---|---|---|---|---|
Quarterly data | Annual data | Quarterly data | Annual data | Quarterly data | Annual data | |
Deutsche bank | 0.03 (0.001) | 0.03 (0.002) | 0.13 (0.003) | 0.13 (0.007) | 0.11 (0.003) | 0.11 (0.006) |
Commerzbank | 0.04 (0.001) | 0.04 (0.003) | 0.10 (0.004) | 0.10 (0.008) | 0.10 (0.003) | 0.10 (0.006) |
Dt. Pfandbriefbank | 0.05 (0.001) | 0.05 (0.002) | 0.21 (0.003) | 0.21 (0.005) | 0.18 (0.002) | 0.18 (0.004) |
ProCredit Holding | 0.12 (0.001) | 0.12 (0.003) | 0.15 (0.001) | 0.15 (0.002) | 0.14 (0.000) | 0.14 (0.000) |
UmweltBank | 0.04 (0.003) | 0.05 (0.008) | 0.05 (0.001) | 0.05 (0.002) | 0.09 (0.002) | 0.08 (0.004) |
Enercity PAR | 0.36 (0.016) | 0.35 (0.032) | ||||
Merkur Bank | 0.06 (0.004) | 0.06 (0.007) | 0.06 (0.002) | 0.06 (0.004) | 0.09 (0.005) | 0.09 (0.010) |
Quirin privatbk | 0.11 (0.007) | 0.12 (0.015) | ||||
Asset betas for French banks
Bank | The leverage ratio | CET1 ratio | Tier-1 capital ratio | |||
|---|---|---|---|---|---|---|
Quarterly data | Annual data | Quarterly data | Annual data | Quarterly data | Annual data | |
BNP Paribas | 0.03 (0.001) | 0.03 (0.001) | 0.10 (0.003) | 0.10 (0.005) | 0.09 (0.002) | 0.09 (0.005) |
Crédit Agricole | 0.03 (0.001) | 0.02 (0.003) | 0.13 (0.006) | 0.13 (0.016) | 0.10 (0.005) | 0.09 (0.013) |
Société Générale | 0.03 (0.001) | 0.03 (0.001) | 0.11 (0.003) | 0.11 (0.007) | 0.09 (0.002) | 0.09 (0.005) |
Natixis | 0.03 (0.001) | 0.03 (0.002) | 0.12 (0.003) | 0.12 (0.007) | 0.10 (0.003) | 0.10 (0.006) |
Caisse Credit | 0.18 (0.009) | 0.18 (0.016) | 0.31 (0.012) | 0.31 (0.025) | 0.26 (0.008) | 0.26 (0.019) |
CRCAM Nord CCI | 0.15 (0.008) | 0.15 (0.015) | 0.24 (0.011) | 0.26 (0.000) | 0.22 (0.010) | 0.23 (0.000) |
Crcam Normandie | 0.18 (0.009) | 0.18 (0.018) | 0.26 (0.014) | 0.26 (0.028) | 0.17 (0.011) | 0.17 (0.023) |
CRCAM ILLE-VIL | 0.17 (0.009) | 0.17 (0.017) | 0.24 (0.051) | 0.23 (0.132) | 0.17 (0.038) | 0.17 (0.099) |
Asset betas for Italian banks
Bank | The leverage ratio | CET1 ratio | Tier-1 capital ratio | |||
|---|---|---|---|---|---|---|
Quarterly data | Annual data | Quarterly data | Annual data | Quarterly data | Annual data | |
UniCredit | 0.05 (0.001) | 0.05 (0.002) | 0.09 (0.002) | 0.09 (0.004) | 0.08 (0.003) | 0.08 (0.006) |
Intesa Sanpaolo | 0.06 (0.001) | 0.06 (0.003) | 0.11 (0.004) | 0.11 (0.009) | 0.08 (0.003) | 0.08 (0.007) |
BANCO BPM | 0.07 (0.002) | 0.07 (0.004) | 0.13 (0.004) | 0.13 (0.008) | 0.09 (0.003) | 0.09 (0.007) |
B. Monte dei Paschi | 0.04 (0.003) | 0.05 (0.005) | 0.08 (0.006) | 0.10 (0.009) | 0.07 (0.005) | 0.09 (0.005) |
Unione di Banche IT | 0.08 (0.002) | 0.08 (0.005) | 0.13 (0.003) | 0.12 (0.007) | 0.09 (0.002) | 0.09 (0.004) |
Mediobanca | 0.12 (0.003) | 0.12 (0.006) | 0.15 (0.003) | 0.15 (0.007) | 0.13 (0.004) | 0.13 (0.008) |
BPER Banca | 0.07 (0.003) | 0.07 (0.006) | 0.10 (0.004) | 0.10 (0.009) | 0.10 (0.005) | 0.10 (0.010) |
Credito Emiliano | 0.06 (0.001) | 0.06 (0.002) | 0.12 (0.004) | 0.12 (0.009) | 0.10 (0.003) | 0.10 (0.006) |
Banca Poplare | 0.10 (0.007) | 0.09 (0.014) | 0.13 (0.007) | 0.13 (0.014) | 0.12 (0.007) | 0.12 (0.013) |
Banca Piccolo | 0.09 (0.002) | 0.08 (0.005) | 0.13 (0.003) | 0.13 (0.006) | 0.11 (0.003) | 0.11 (0.007) |
Banca Carige | 0.11 (0.007) | 0.11 (0.014) | 0.17 (0.010) | 0.17 (0.021) | 0.10 (0.005) | 0.10 (0.010) |
Finecobank | 0.03 (0.001) | 0.03 (0.002) | 0.35 (0.007) | 0.35 (0.012) | 0.22 (0.003) | 0.22 (0.006) |
B. Desio & Brianza | 0.10 (0.004) | 0.10 (0.008) | 0.15 (0.005) | 0.15 (0.010) | 0.14 (0.005) | 0.14 (0.009) |
Banco di Sardegna | 0.12 (0.004) | 0.12 (0.007) | 0.16 (0.005) | 0.17 (0.010) | 0.15 (0.005) | 0.15 (0.010) |
Dobank | 0.09 (0.001) | 0.10 (0.000) | 0.36 (0.003) | 0.36 (0.000) | 0.25 (0.002) | 0.25 (0.000) |
Banca Finnat | 0.30 (0.018) | 0.30 (0.037) | 0.45 (0.009) | 0.45 (0.014) | 0.31 (0.006) | 0.31 (0.015) |
Banca Profilo | 0.10 (0.006) | 0.10 (0.011) | 0.29 (0.021) | 0.29 (0.046) | 0.28 (0.020) | 0.29 (0.043) |
Asset betas for Spanish banks
Bank | The leverage ratio | CET1 ratio | Tier-1 capital ratio | |||
|---|---|---|---|---|---|---|
Quarterly data | Annual data | Quarterly data | Annual data | Quarterly data | Annual data | |
Santander | 0.05 (0.001) | 0.05 (0.002) | 0.10 (0.003) | 0.10 (0.006) | 0.08 (0.002) | 0.08 (0.005) |
BBVA | 0.05 (0.001) | 0.05 (0.003) | 0.09 (0.003) | 0.09 (0.005) | 0.08 (0.002) | 0.08 (0.005) |
CaixaBank | 0.13 (0.017) | 0.14 (0.037) | 0.17 (0.003) | 0.17 (0.005) | 0.13 (0.003) | 0.13 (0.005) |
B. de Sabadell | 0.07 (0.003) | 0.07 (0.007) | 0.13 (0.004) | 0.13 (0.007) | 0.11 (0.003) | 0.11 (0.006) |
Bankia | 0.05 (0.006) | 0.05 (0.012) | 0.12 (0.013) | 0.12 (0.028) | 0.12 (0.005) | 0.12 (0.012) |
B. Popular | 0.07 (0.002) | 0.07 (0.004) | 0.11 (0.004) | 0.11 (0.009) | 0.10 (0.003) | 0.10 (0.006) |
Caja de Ahorros | 0.04 (0.021) | 0.04 (0.039) | ||||
Bankinter | 0.05 (0.001) | 0.05 (0.002) | 0.10 (0.004) | 0.10 (0.009) | 0.09 (0.003) | 0.09 (0.007) |
Liberbank | 0.07 (0.002) | 0.06 (0.005) | 0.15 (0.004) | 0.14 (0.010) | 0.13 (0.004) | 0.13 (0.009) |
Asset betas for Swiss banks
Bank | The leverage ratio | CET1 ratio | Tier-1 Capital ratio | |||
|---|---|---|---|---|---|---|
Quarterly data | Annual data | Quarterly data | Annual data | Quarterly data | Annual data | |
UBS | 0.03 (0.002) | 0.03 (0.004) | 0.16 (0.007) | 0.16 (0.015) | 0.12 (0.005) | 0.12 (0.010) |
Schweizerische | 0.12 (0.012) | 0.12 (0.024) | ||||
Credit Suisse | 0.03 (0.001) | 0.03 (0.003) | 0.12 (0.004) | 0.12) (0.008) | 0.12 (0.005) | 0.12 (0.012) |
Julius Baer | 0.08 (0.004) | 0.08 (0.008) | 0.34 (0.013) | 0.35 (0.028) | 0.21 (0.006) | 0.20 (0.012) |
B. Cnt. Vaudoise | 0.09 (0.003) | 0.09 (0.005) | 0.20 (0.005) | 0.20 (0.009) | 0.21 (0.007) | 0.20 (0.013) |
EFG Bank | 0.08 (0.005) | 0.09 (0.011) | 0.27 (0.012) | 0.29 (0.028) | 0.17 (0.005) | 0.18 (0.011) |
Basler KntB. | 0.07 (0.006) | 0.07 (0.012) | 0.10 (0.009) | 0.10 (0.016) | 0.16 (0.005) | 0.16 (0.007) |
Luzerner KntB. | 0.07 (0.004) | 0.07 (0.007) | 0.13 (0.007) | 0.13 (0.013) | 0.17 (0.007) | 0.17 (0.013) |
ST. Galler KntB. | 0.09 (0.004) | 0.09 (0.008) | 0.17 (0.007) | 0.17 (0.014) | 0.16 (0.005) | 0.15 (0.011) |
Berner KntB. | 0.07 (0.004) | 0.07 (0.008) | 0.17 (0.011) | 0.17 (0.022) | 0.21 (0.015) | 0.20 (0.029) |
Valiant | 0.10 (0.006) | 0.10 (0.011) | 0.18 (0.008) | 0.18 (0.017) | 0.16 (0.007) | 0.15 (0.014) |
Graubündener | 0.09 (0.004) | 0.09 (0.008) | 0.16 (0.008) | 0.18 (0.055) | 0.21 (0.011) | 0.21 (0.020) |
Basellandschaftlich | 0.05 (0.005) | 0.05 (0.009) | 0.08 (0.001) | 0.08 (0.001) | 0.19 (0.002) | 0.19 (0.002) |
Vontobel | 0.11 (0.008) | 0.11 (0.016) | 0.32 (0.012) | 0.31 (0.025) | 0.25 (0.012) | 0.25 (0.024) |
B. Cnt. Geneve | 0.08 (0.003) | 0.08 (0.006) | ||||
Thurgauer KntB. | 0.05 (0.000) | 0.05 (0.001) | 0.10 (0.001) | 0.10 (0.002) | 0.18 (0.001) | 0.18 (0.002) |
Bank CLER | 0.08 (0.006) | 0.08 (0.011) | 0.12 (0.005) | 0.13 (0.011) | 0.16 (0.003) | 0.16 (0.005) |
B. Cnt. JURA | 0.07 (0.004) | 0.06 (0.008) | 0.10 (0.002) | 0.10 (0.005) | 0.16 (0.004) | 0.16 (0.009) |
Zuger KntB. | 0.05 (0.004) | 0.05 (0.007) | 0.10 (0.011) | 0.10 (0.020) | 0.16 (0.009) | 0.15 (0.018) |
Bank Linth | 0.09 (0.006) | 0.09 (0.011) | 0.15 (0.007) | 0.14 (0.014) | 0.15 (0.008) | 0.15 (0.015) |
Glarner KntB. | 0.04 (0.000) | 0.04 (0.001) | 0.09 (0.001) | 0.09 (0.001) | 0.18 (0.002) | 0.18 (0.005) |
Cembra Money B. | 0.18 (0.002) | 0.18 (0.004) | 0.22 (0.002) | 0.23 (0.005) | 0.20 (0.002) | 0.20 (0.004) |
Hypothekarbank | 0.09 (0.004) | 0.09 (0.008) | 0.14 (0.003) | 0.15 (0.005) | 0.17 (0.003) | 0.17 (0.006) |
Estimation of the magnitude of the low-risk anomaly
Estimated alphas and betas for the country-level portfolios
Portfolio | UK | Germany | ||||||
|---|---|---|---|---|---|---|---|---|
Alpha (t value) | Beta (t value) | R 2 | F-statistic | Alpha (t value) | Beta (t value) | R 2 | F-statistic | |
Large | 0.00007996 (0.48) | 1.255646341 (100.95) | 0.6538 | 10,189.98 | − 0.00030123 (− 1.37) | 1.16238125 (87.07) | 0.5842 | 7580.46 |
Medium | 0.00007535 (0.36) | 1.359731891 (87.26) | 0.5852 | 7613.78 | 0.00042376 (1.97) | 0.22039425 (16.85) | 0.0500 | 284.07 |
Small | 0.00031695 (1.21) | 0.756605962 (38.73) | 0.2175 | 1499.84 | 0.00013307 (0.34) | 0.17096583 (7.19) | 0.0105 | 51.74 |
Portfolio | France | Italy | ||||||
|---|---|---|---|---|---|---|---|---|
Alpha (t value) | Beta (t value) | R 2 | F-statistic | Alpha (t value) | Beta (t value) | R 2 | F-statistic | |
Large | 0.00024605 (1.18) | 1.24875869 (93.99) | 0.6208 | 8833.44 | − 0.00000773 (− 0.05) | 1.28442512 (120.13) | 0.7346 | 14,432.12 |
Medium | 0.00021748 (1.02) | 1.19172844 (87.50) | 0.5866 | 7655.86 | 0.00003959 (0.29) | 0.75748201 (83.75) | 0.5736 | 7014.55 |
Small | 0.00007069 (0.47) | 0.21859914 (22.96) | 0.0890 | 527.08 | 0.00011240 (0.66) | 0.45057130 (40.50) | 0.2393 | 1640.37 |
Portfolio | Spain | Switzerland | ||||||
|---|---|---|---|---|---|---|---|---|
Alpha (t value) | Beta (t value) | R 2 | F-statistic | Alpha (t value) | Beta (t value) | R 2 | F-statistic | |
Large | 0.00011749 (1.05) | 1.28315469 (173.59) | 0.8482 | 30,135.03 | 0.000101014 (0.67) | 1.041655 (89.24) | 0.5962 | 7964.32 |
Medium | − 0.00040377 (− 1.06) | 1.62023896 (64.63) | 0.4364 | 4176.83 | 0.000169958 (2.53) | 0.273482 (52.54) | 0.3384 | 2759.94 |
Small | 0.00001484 (0.07) | 0.72996240 (51.98) | 0.3337 | 2701.78 | 0.000139421 (1.51) | 0.173911967 (24.33) | 0.0989 | 592.02 |
Portfolio weights in the country-level portfolios
UK | Germany | France | ||||
|---|---|---|---|---|---|---|
Port_large | HSBC | 56.45% | Deutsche Bank | 76.56% | BNP Paribas | 55.82% |
Barclays | 25.37% | Commerzbank | 23.44% | Crédit Agricole | 44.18% | |
Lloyds | 18.18% | |||||
Port_medium | RBS | 41.94% | DT Pfandbriefbank | 84.68% | Société Générale | 68.75% |
Standard Chartered | 37.7% | Procredit | 8.04% | Natixis | 28.06% | |
Santander UK | 17.90% | UmweltBank | 5.10% | CRCAM Nord CCI | 1.61% | |
CYBG | 2.46% | Enercity PAR | 2.18% | Caisse Credit | 1.05% | |
Port_small | Virgin Money | 61.59% | Merkur Bank | 68.36% | Crcam Normandie | 55.07% |
Metro Bank | 24.50% | Quirin Privatbk | 31.64% | CRCAM ILLE-VIL | 44.93% | |
Close Brothers | 13.91% | |||||
Italy | Spain | Switerland | ||||
|---|---|---|---|---|---|---|
Port_large | Unicredit | 40.74% | Santander | 57.55% | UBS | 32.69% |
Intesa Sanpaolo | 38.65% | BBVA | 27.35% | Schweizerische | 30.44% | |
BANCO BPM | 7.74% | CaixaBank | 15.10% | Credit Suisse | 28.73% | |
B. Monte dei Paschi | 6.72% | Julius Baer | 3.53% | |||
Unione di Banche IT | 6.15% | B. Cnt. Vaudoise | 1.64% | |||
EFG Bank | 1.50% | |||||
Basler KntB. | 1.47% | |||||
Port_medium | Mediobanca | 24.31% | B. de Sabadell | 40.67% | Luzerner KntB. | 14.76% |
BPER Banca | 23.77% | Bankia | 38.51% | ST. Galler KntB. | 13.41% | |
Credito Emiliano | 14.04% | B. Popular | 20.82% | Berner KntB. | 12.05% | |
Banca Poplare | 13.99% | Valiant | 11.34% | |||
Banca Piccolo | 8.26% | Graubündener | 10.54% | |||
Banca Carige | 8.06% | Basellandschaftlich | 9.96% | |||
Finecobank | 7.58% | Vontobel | 9.41% | |||
B. Cnt. Geneve | 9.33% | |||||
Thurgauer KntB. | 9.19% | |||||
Port_small | B. Desio & Brianza | 43.38% | Caja de Ahorros | 45.70% | Bank CLER | 24.90% |
Banco di Sardegna | 39.31% | Bankinter | 36.91% | B. Cnt. JURA | 22.14% | |
Dobank | 6.39% | Liberbank | 17.39% | Zuger KntB. | 20.83% | |
Banca Finnat | 5.64% | Bank Linth | 9.68% | |||
Banca Profilo | 5.28% | Glarner KntB. | 8.02% | |||
Cembra Money B. | 7.25% | |||||
Hypothekarbank | 7.17% | |||||
Estimated asset and debt betas for the country-level portfolios
Beta | UK | Germany | ||||
|---|---|---|---|---|---|---|
Large banks | Medium banks | Small banks | Large banks | Medium banks | Small banks | |
Asset | 0.050524909 | 0.05239728 | 0.065428302 | 0.031315585 | 0.058572877 | 0.04826616 |
Debt | − 0.03031258 | − 0.049222917 | 0.021770995 | − 0.025720845 | 0.073096031 | 0.066387664 |
Beta | France | Italy | ||||
|---|---|---|---|---|---|---|
Large banks | Medium banks | Small banks | Large banks | Medium banks | Small banks | |
Asset | 0.030069272 | 0.035584653 | 0.178482482 | 0.053490445 | 0.087202311 | 0.121290348 |
Debt | − 0.02384 | − 0.01934 | 0.172433 | − 0.03839916 | 0.026569404 | 0.090282171 |
Beta | Spain | Switzerland | ||||
|---|---|---|---|---|---|---|
Large banks | Medium banks | Small banks | Large banks | Medium banks | Small banks | |
Asset | 0.061475716 | 0.062376636 | 0.049590832 | 0.06177318 | 0.08003 | 0.076294297 |
Debt | − 0.02604737 | − 0.03988731 | 0.001046695 | − 0.032172189 | 0.066333459 | 0.070174168 |
Estimation of country-level gammas
The impact of IFRS 9 on the cost of funding
The impact of IFRS 9 on the cost of funding of UK banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 4.77 | 5.30 | 15.91 | − 1.33 | 2.78 | 6.77 | 4.94 | 5.49 | 16.47 | − 1.37 | 2.88 | 7.01 |
Mazras | 2.55 | 2.12 | 10.82 | − 3.18 | 1.26 | 3.83 | 2.63 | 2.20 | 11.20 | − 3.29 | 1.31 | 3.96 |
Mazras (UK) | 1.22 | 1.86 | 3.61 | − 3.18 | 0.08 | 2.36 | 1.26 | 1.92 | 3.73 | − 3.29 | 0.08 | 2.44 |
The impact of IFRS 9 on the cost of funding of German banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 6.61 | 7.34 | 22.03 | − 1.84 | 6.17 | 3.85 | 6.76 | 7.51 | 22.53 | − 1.88 | 6.31 | 3.94 |
Mazras | 3.52 | 2.94 | 14.98 | − 4.41 | 3.96 | 1.75 | 3.61 | 3.00 | 15.32 | − 4.51 | 4.06 | 1.79 |
Mazras (Gr) | 6.09 | 6.09 | 11.01 | 1.17 | 6.96 | 2.98 | 6.23 | 6.23 | 11.27 | 1.20 | 7.12 | 3.05 |
The impact of IFRS 9 on the cost of funding of French banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | − 1.82 | − 2.02 | − 6.06 | 0.51 | − 1.70 | − 1.06 | − 1.86 | − 2.06 | − 6.19 | 0.52 | − 1.73 | − 1.08 |
Mazras | − 0.97 | − 0.81 | − 4.12 | 1.21 | − 1.09 | − 0.48 | − 0.99 | − 0.83 | − 4.21 | 1.24 | − 1.11 | − 0.49 |
Mazras (Fr) | − 0.71 | − 0.61 | − 1.21 | − 0.40 | − 0.35 | − 0.55 | − 0.72 | − 0.62 | − 1.24 | − 0.41 | − 0.36 | − 0.56 |
The impact of IFRS 9 on the cost of funding of Italian banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 1.55 | 1.73 | 5.18 | − 0.43 | 1.45 | 0.90 | 1.60 | 1.78 | 5.33 | − 0.44 | 1.49 | 0.93 |
Mazras | 0.83 | 0.69 | 3.52 | − 1.04 | 0.93 | 0.41 | 0.85 | 0.71 | 3.62 | − 1.07 | 0.96 | 0.42 |
Mazras (It) | 2.45 | 2.45 | 3.52 | 1.38 | 1.51 | 1.77 | 2.52 | 2.52 | 3.62 | 1.42 | 1.56 | 1.83 |
The impact of IFRS 9 on the cost of funding of Spanish banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 4.56 | 5.07 | 15.22 | − 1.27 | 4.26 | 2.66 | 4.69 | 5.21 | 15.62 | − 1.30 | 4.37 | 2.73 |
Mazras | 2.43 | 2.03 | 10.35 | − 3.04 | 2.74 | 1.21 | 2.50 | 2.08 | 10.62 | − 3.12 | 2.81 | 1.24 |
Mazras (Sp) | 3.70 | 2.59 | 8.11 | 1.52 | 3.02 | 2.35 | 3.80 | 2.66 | 8.33 | 1.56 | 3.10 | 2.41 |
The impact of IFRS 9 on the cost of funding of Swiss banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 0.69 | 0.77 | 2.31 | − 0.19 | 0.65 | 0.40 | 0.71 | 0.79 | 2.36 | − 0.20 | 0.66 | 0.41 |
Mazras | 0.37 | 0.31 | 1.57 | − 0.46 | 0.42 | 0.18 | 0.38 | 0.31 | 1.60 | − 0.47 | 0.42 | 0.19 |
Mazras (Sw) | 0.32 | 0.32 | 0.63 | 0.00 | 0.45 | 0.12 | 0.32 | 0.32 | 0.64 | 0.00 | 0.46 | 0.12 |
Robustness checks; Experiment 1—Country-level portfolios of all banks
Portfolio weights in the country-level portfolios
UK | Germany | France | |||
|---|---|---|---|---|---|
Port all banks | |||||
HSBC | 40.07% | Deutsche Bank | 73.86% | BNP Paribas | 36.36% |
Barclays | 18.01% | Commerzbank | 22.62% | Crédit Agricole | 28.77% |
Lloyds | 12.90% | DT Pfandbriefbank | 2.91% | Société Générale | 23.62% |
RBS | 11.73% | Procredit | 0.28% | Natixis | 9.64% |
Standard Chartered | 10.54% | UmweltBank | 0.18% | CRCAM Nord CCI | 0.55% |
Santander UK | 5.01% | Enercity PAR | 0.08% | Caisse Credit | 0.36% |
CYBG | 0.69% | Merkur Bank | 0.06% | Crcam Normandie | 0.28% |
Virgin Money | 0.65% | Quirin Privatbk | 0.03% | CRCAM ILLE-VIL | 0.23% |
Metro Bank | 0.26% | ||||
Close Brothers | 0.15% | ||||
Italy | Spain | Switzerland | |||
|---|---|---|---|---|---|
Port all banks | |||||
Unicredit | 35.09% | Santander | 44.54% | UBS | 29.37% |
Intesa Sanpaolo | 33.28% | BBVA | 21.17% | Schweizerische | 27.34% |
BANCO BPM | 6.67% | CaixaBank | 11.69% | Credit Suisse | 25.81% |
B. Monte dei Paschi | 5.79% | B. de Sabadell | 6.73% | Julius Baer | 3.17% |
Unione di Banche IT | 5.30% | Bankia | 6.38% | B. Cnt. Vaudoise | 1.47% |
Mediobanca | 3.04% | B. Popular | 3.45% | EFG Bank | 1.35% |
BPER Banca | 2.98% | Caja de Ahorros | 2.76% | Basler KntB | 1.32% |
Credito Emiliano | 1.76% | Bankinter | 2.23% | Luzerner KntB | 1.16% |
Banca Poplare | 1.75% | Liberbank | 1.05% | ST. Galler KntB | 1.06% |
Banca Piccolo | 1.03% | Berner KntB | 0.95% | ||
Banca Carige | 1.01% | Valiant | 0.89% | ||
Finecobank | 0.95% | Graubündener | 0.83% | ||
B. Desio & Brianza | 0.59% | Basellandschaftlich | 0.79% | ||
Banco di Sardegna | 0.53% | Vontobel | 0.74% | ||
Dobank | 0.09% | B. Cnt. Geneve | 0.74% | ||
Banca Finnat | 0.08% | Thurgauer KntB | 0.72% | ||
Banca Profilo | 0.07% | Bank CLER | 0.57% | ||
B. Cnt. JURA | 0.50% | ||||
Zuger KntB | 0.47% | ||||
Bank Linth | 0.22% | ||||
Glarner KntB | 0.18% | ||||
Cembra Money B | 0.17% | ||||
Hypothekarbank | 0.16% | ||||
Estimated alphas and equity, asset, and debt betas for the country-level portfolios
UK | Germany | France | Italy | Spain | Switzerland | |
|---|---|---|---|---|---|---|
Alpha | 0.0000768 | 0.0002959 | 0.000231294 | 0.0000008 | 0.0000656 | − 0.00001078 |
Beta | 1.2830039 | 1.1582509 | 1.218080276 | 1.2097841 | 1.2062280 | 0.9636282 |
Asset beta | 0.050846592 | 0.032287016 | 0.032719773 | 0.058629095 | 0.060906783 | 0.063543099 |
Debt beta | − 0.034698153 | − 0.02501598 | − 0.021628174 | − 0.029854501 | − 0.019983026 | − 0.020235869 |
Gamma (annual) | − 0.0006785 | − 0.0046848 | − 0.002654983 | − 0.0000097 | − 0.0007957 | − 0.000741 |
Robustness checks; Experiment 2—Two portfolios (large and small banks)
Portfolio weights in the country-level portfolios
UK | Germany | France | ||||
|---|---|---|---|---|---|---|
Port_larger | HSBC | 42.97% | Deutsche Bank | 74.11% | BNP Paribas | 36.95% |
Barclays | 19.31% | Commerzbank | 22.69% | Crédit Agricole | 29.24% | |
Lloyds | 13.84% | DT Pfandbriefbank | 2.92% | Société Générale | 24.01% | |
RBS | 12.58% | Procredit | 0.28% | Natixis | 9.80% | |
Standard Chartered | 11.31% | |||||
Port_smaller | Santander UK | 74.12% | UmweltBank | 52.98% | CRCAM Nord CCI | 38.61% |
CYBG | 10.17% | Enercity PAR | 22.69% | Caisse Credit | 25.32% | |
Virgin Money | 9.67% | Merkur Bank | 16.63% | Crcam Normandie | 19.86% | |
Metro Bank | 3.85% | Quirin Privatbk | 7.70% | CRCAM ILLE-VIL | 16.21% | |
Close Brothers | 2.18% | |||||
Italy | Spain | Switzerland | ||||
|---|---|---|---|---|---|---|
Port_larger | Unicredit | 37.37% | Santander | 52.94% | UBS | 31.28% |
Intesa Sanpaolo | 35.45% | BBVA | 25.16% | Schweizerische | 29.12% | |
BANCO BPM | 7.10% | CaixaBank | 13.89% | Credit Suisse | 27.48% | |
B. Monte dei Paschi | 6.16% | B. de Sabadell | 8.00% | Julius Baer | 3.38% | |
Unione di Banche IT | 5.64% | B. Cnt. Vaudoise | 1.57% | |||
Mediobanca | 3.24% | EFG Bank | 1.43% | |||
BPER Banca | 3.17% | Basler KntB | 1.41% | |||
Credito Emiliano | 1.87% | Luzerner KntB | 1.24% | |||
ST. Galler KntB | 1.13% | |||||
Berner KntB | 1.01% | |||||
Valiant | 0.95% | |||||
Port_smaller | Banca Poplare | 28.73% | Bankia | 40.19% | Graubündener | 13.62% |
Banca Piccolo | 16.97% | B. Popular | 21.73% | Basellandschaftlich | 12.88% | |
Banca Carige | 16.55% | Caja de Ahorros | 17.40% | Vontobel | 12.17% | |
Finecobank | 15.56% | Bankinter | 14.06% | B. Cnt. Geneve | 12.06% | |
B. Desio & Brianza | 9.63% | Liberbank | 6.62% | Thurgauer KntB | 11.88% | |
Banco di Sardegna | 8.72% | Bank CLER | 9.31% | |||
Dobank | 1.42% | B. Cnt. JURA | 8.28% | |||
Banca Finnat | 1.25% | Zuger KntB | 7.79% | |||
Banca Profilo | 1.17% | Bank Linth | 3.62% | |||
Glarner KntB | 3.00% | |||||
Cembra Money B | 2.71% | |||||
Hypothekarbank | 2.68% | |||||
Estimated alphas and equity, asset and debt betas for the country-level portfolios
UK | Germany | France | ||||
|---|---|---|---|---|---|---|
Larger banks | Smaller banks | Larger banks | Smaller banks | Larger banks | Smaller banks | |
Alpha | 0.0000733 | 0.0001471 | − 0.0002981 | 0.0003290 | 0.0002327 | 0.0001005 |
Beta | 1.2870241 | 0.9868373 | 1.1611747 | 0.1669420 | 1.2324249 | 0.2017739 |
Asset beta | 0.050628584 | 0.053857134 | 0.031988451 | 0.122202714 | 0.030716631 | 0.171380168 |
Debt beta | − 0.035117426 | − 0.01188665 | − 0.025246076 | 0.116977523 | − 0.022728645 | 0.166799842 |
Gamma | − 0.00061539 | − 0.001578 | 0.00032 | |||
Italy | Spain | Switzerland | ||||
|---|---|---|---|---|---|---|
Larger banks | Smaller banks | Larger banks | Smaller banks | Larger banks | Smaller banks | |
Alpha | 0.00000727 | − 0.00013123 | − 0.00011929 | 0.00023372 | 0.00010589 | 0.00014364 |
Beta | 1.24804504 | 0.53569811 | 1.28019335 | 0.81680636 | 1.00893967 | 0.26167914 |
Asset beta | 0.056412825 | 0.092762623 | 0.062326689 | 0.053376969 | 0.062677288 | 0.076878554 |
Debt beta | − 0.035436746 | 0.060169662 | − 0.024298119 | 0.001485163 | − 0.023759572 | 0.07271048 |
Gamma | 0.00048594 | − 0.001906 | − 0.000126 | |||
Robustness checks; Experiment 3—Individual banks
Estimated alphas and equity and debt betas for the banks in the sample
UK | Germany | France | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
Bank | alpha | beta | Debt beta | Bank | alpha | beta | Debt beta | Bank | alpha | beta | Debt beta |
HSBC | 0.00008 | 1.09932 | − 0.0111 | Deutsche Bank | − 0.00025 | 1.17299 | − 0.0216 | BNP Paribas | 0.00026 | 1.27322 | − 0.0292 |
Barclays | 0.00017 | 1.51455 | − 0.0572 | Commerzbank | − 0.00047 | 1.12773 | − 0.0386 | Crédit Agricole | 0.00016 | 1.26633 | − 0.0194 |
Lloyds | − 0.00004 | 1.37979 | − 0.0471 | DT Pfandbriefbank | 0.00029 | 0.90382 | 0.0014 | Société Générale | 0.00020 | 1.32362 | − 0.0318 |
RBS | − 0.00001 | 1.41945 | − 0.0504 | Procredit | 0.00016 | 0.39605 | 0.0826 | Natixis | 0.00026 | 0.95796 | 0.0007 |
Standard Chartered | 0.00012 | 1.35097 | − 0.0522 | UmweltBank | 0.00056 | 0.22280 | 0.0376 | CRCAM Nord CCI | 0.00019 | 0.16923 | 0.1773 |
Santander UK | − 0.00002 | 1.24457 | − 0.0368 | Enercity PAR | 0.00023 | 0.11894 | 0.4716 | Caisse Credit | 0.00004 | 0.24266 | 0.1317 |
CYBG | 0.00065 | 1.20838 | − 0.0104 | Merkur Bank | 0.00022 | 0.11971 | 0.0527 | Crcam Normandie | 0.00007 | 0.25942 | 0.1699 |
Virgin Money | 0.00010 | 1.09359 | − 0.0092 | Quirin Privatbk | − 0.00006 | 0.31178 | 0.0882 | CRCAM ILLE-VIL | 0.00005 | 0.21185 | 0.1689 |
Metro Bank | 0.00093 | 0.96725 | 0.0183 | ||||||||
Close Brothers | 0.00026 | 0.75103 | 0.0737 | ||||||||
Italy | Spain | Switzerland | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
Bank | alpha | beta | Debt beta | Bank | alpha | beta | Debt beta | Bank | alpha | beta | Debt beta |
Unicredit | − 0.00002 | 1.36470 | − 0.0472 | Santander | − 0.00012 | 1.32701 | − 0.0422 | UBS | 0.00000 | 1.41137 | − 0.0526 |
Intesa Sanpaolo | 0.00021 | 1.30379 | − 0.0332 | BBVA | − 0.00007 | 1.29228 | − 0.0437 | Schweizerische | − 0.00039 | 0.22801 | 0.1003 |
BANCO BPM | − 0.00027 | 1.08182 | − 0.0111 | CaixaBank | − 0.00021 | 0.94533 | 0.0776 | Credit Suisse | 0.00009 | 1.54761 | − 0.0543 |
B. Monte dei Paschi | − 0.00098 | 1.04188 | − 0.0430 | B. de Sabadell | 0.00006 | 0.79288 | 0.0251 | Julius Baer | − 0.00009 | 1.27647 | 0.0014 |
Unione di Banche IT | − 0.00009 | 1.18964 | − 0.0357 | Bankia | 0.00080 | 1.02161 | − 0.0205 | B. Cnt. Vaudoise | − 0.00018 | 0.48601 | 0.0549 |
Mediobanca | 0.00023 | 0.98904 | − 0.0131 | B. Popular | 0.00057 | 0.95058 | 0.0188 | EFG Bank | 0.00017 | 1.18931 | 0.0345 |
BPER Banca | 0.00005 | 0.69652 | 0.0237 | Caja de Ahorros | 0.00049 | 0.15187 | 0.0368 | Basler KntB | − 0.00008 | 0.20926 | 0.0683 |
Credito Emiliano | 0.00028 | 0.90151 | 0.0019 | Bankinter | − 0.00023 | 0.94737 | − 0.0103 | Luzerner KntB | − 0.00022 | 0.19452 | 0.0641 |
Banca Poplare | 0.00009 | 0.48475 | 0.0693 | Liberbank | 0.00016 | 1.11085 | − 0.0252 | ST. Galler KntB | − 0.00024 | 0.34775 | 0.0686 |
Banca Piccolo | − 0.00049 | 0.65780 | 0.0492 | Berner KntB | − 0.00005 | 0.17191 | 0.0649 | ||||
Banca Carige | − 0.00073 | 0.62540 | 0.0570 | Valiant | − 0.00015 | 0.26786 | 0.0885 | ||||
Finecobank | 0.00087 | 0.80613 | 0.0085 | Graubündener | − 0.00021 | 0.13455 | 0.0856 | ||||
B. Desio & Brianza | 0.00010 | 0.45969 | 0.0761 | Basellandschaftlich | − 0.00011 | 0.11594 | 0.0513 | ||||
Banco di Sardegna | 0.00010 | 0.45969 | 0.0869 | Vontobel | − 0.00025 | 0.83050 | 0.0602 | ||||
Dobank | 0.00004 | 0.39038 | 0.0609 | B. Cnt. Geneve | − 0.00001 | 0.22866 | 0.0657 | ||||
Banca Finnat | 0.00052 | 0.46678 | 0.2818 | Thurgauer KntB | − 0.00019 | 0.20788 | 0.0413 | ||||
Banca Profilo | 0.00022 | 0.82608 | 0.0260 | Bank CLER | 0.00001 | 0.18114 | 0.0720 | ||||
B. Cnt. JURA | − 0.00024 | 0.15583 | 0.0604 | ||||||||
Zuger KntB | − 0.00017 | 0.19025 | 0.0488 | ||||||||
Bank Linth | − 0.00010 | 0.13753 | 0.0864 | ||||||||
Glarner KntB | − 0.00058 | 0.25530 | 0.0342 | ||||||||
Cembra Money B | − 0.00036 | 0.54831 | 0.0971 | ||||||||
Hypothekarbank | − 0.00018 | 0.16363 | 0.0832 | ||||||||
Robustness checks; Experiment 4—Panels of banks in each country
Estimated alphas and equity, asset and debt betas for the country-level panels
UK | Germany | France | Italy | Spain | Switzerland | |
|---|---|---|---|---|---|---|
Alpha | 0.0001006 | − 0.0000377 | 0.0001587 | − 0.000018 | − 0.00000796 | − 0.0001355 |
Beta | 1.247605 | 0.554894 | 0.713867 | 0.82079 | 0.989824 | 0.425921 |
Asset beta | 0.050846592 | 0.032287016 | 0.032947678 | 0.058629095 | 0.060906783 | 0.063543099 |
Debt beta | − 0.032240524 | 0.005690286 | 0.00151519 | 0.000046 | − 0.004699176 | 0.029813365 |
Gamma (annual) | − 0.001016 | − 0.000212 | 0.001386 | − 0.000251 | − 0.001957 | − 0.000590 |
Robustness checks; Experiment 5—Three risk-based portfolios (high, medium and low risk)
Portfolio weights in the country-level portfolios
UK | Germany | France | ||||
|---|---|---|---|---|---|---|
Port_high-risk | Barclays | 42.23% | Deutsche Bank | 76.56% | Société Générale | 39.38% |
RBS | 27.50% | Commerzbank | 23.44% | BNP Paribas | 60.62% | |
Lloyds | 30.26% | |||||
Port_medium-risk | Standard Chartered | 18.72% | DT Pfandbriefbank | 85.92% | Crédit Agricole | 73.67% |
Santander UK | 8.89% | Procredit | 8.15% | Natixis | 24.68% | |
CYBG | 1.22% | Quirin Privatbk | 0.75% | Crcam Normandie | 0.72% | |
HSBC | 71.17% | UmweltBank | 5.17% | Caisse Credit | 0.92% | |
Virgin Money | 61.59% | Merkur Bank | 42.28% | CRCAM ILLE-VIL | 29.56% | |
Metro Bank | 24.50% | Enercity PAR | 57.72% | CRCAM Nord CCI | 70.44% | |
Close Brothers | 13.91% | |||||
Italy | Spain | Switzerland | ||||
|---|---|---|---|---|---|---|
Port_high-risk | Unicredit | 40.74% | Santander | 66.72% | Credit Suisse | 41.57% |
Intesa Sanpaolo | 38.65% | BBVA | 31.71% | UBS | 47.31% | |
Unione di Banche IT | 6.15% | Liberbank | 1.57% | Julius Baer | 5.11% | |
BANCO BPM | 7.74% | EFG Bank | 2.17% | |||
B. Monte dei Paschi | 6.72% | Vontobel | 1.20% | |||
Cembra Money B | 0.27% | |||||
B. Cnt. Vaudoise | 2.37% | |||||
Port_medium-risk | Mediobanca | 28.08% | Bankia | 52.89% | ST. Galler KntB | 3.12% |
Credito Emiliano | 16.21% | B. Popular | 28.60% | Valiant | 2.64% | |
Banca Profilo | 0.66% | Bankinter | 18.50% | Glarner KntB | 0.54% | |
Finecobank | 8.75% | B. Cnt. Geneve | 2.17% | |||
BPER Banca | 27.45% | Schweizerische | 80.67% | |||
Banca Piccolo | 9.54% | Basler KntB | 3.90% | |||
Banca Carige | 9.31% | Thurgauer KntB | 2.14% | |||
Luzerner KntB | 3.43% | |||||
Zuger KntB | 1.40% | |||||
Port_low-risk | Banca Poplare | 57.75% | CaixaBank | 55.18% | Bank CLER | 14.11% |
Banca Finnat | 2.52% | B. de Sabadell | 31.79% | Berner KntB | 23.62% | |
B. Desio & Brianza | 19.35% | Caja de Ahorros | 13.03% | Hypothekarbank | 4.06% | |
Banco di Sardegna | 17.53% | B. Cnt. JURA | 12.55% | |||
Dobank | 2.85% | Bank Linth | 5.49% | |||
Graubündener | 20.65% | |||||
Basellandschaftlich | 19.52% | |||||
Estimated asset and debt betas for the country-level portfolios
UK | Germany | |||||
|---|---|---|---|---|---|---|
High-risk banks | Med-risk banks | Low-risk banks | High-risk banks | Med-risk banks | Low-risk banks | |
Alpha | 0.000053285 | 0.000092101 | 0.000316948 | − 0.000301226 | 0.000531524 | 0.000238925 |
Beta | 1.447610925 | 1.157368055 | 0.756605962 | 1.162381247 | 0.239129952 | 0.125855111 |
Asset beta | 0.037659642 | 0.060558091 | 0.065428302 | 0.031315585 | 0.05230876 | 0.230783285 |
Debt beta | − 0.052418256 | − 0.0203645 | 0.021770995 | − 0.025720845 | 0.041558909 | 0.257840929 |
Gamma | − 0.000392571 | − 0.00067 | ||||
France | Italy | |||||
|---|---|---|---|---|---|---|
High- risk banks | Med-risk Banks | Low-risk banks | High-risk banks | Med-risk banks | Low-risk banks | |
Alpha | 0.000238905 | 0.000171013 | 0.000039424 | − 0.000006257 | 0.000033190 | 0.000093498 |
Beta | 1.293069018 | 1.043939989 | 0.233554649 | 1.284346691 | 0.805673277 | 0.462209120 |
Asset beta | 0.03262408 | 0.030009791 | 0.175915945 | 0.053490445 | 0.085838369 | 0.10728338 |
Debt beta | − 0.030219279 | − 0.009061907 | 0.169488404 | − 0.038393305 | 0.01815138 | 0.079069368 |
Gamma | 0.000182 | − 0.00012 | ||||
Spain | Switzerland | |||||
|---|---|---|---|---|---|---|
High- risk banks | Med-risk banks | Low-risk banks | High-risk banks | Med-risk banks | Low-risk banks | |
Alpha | 0.000106622 | − 0.000275516 | 0.000423736 | − 0.000026080 | 0.000350786 | 0.000121414 |
Beta | 1.315207924 | 0.934885601 | 0.564517588 | 1.434843764 | 0.230105858 | 0.146499937 |
Asset beta | 0.048840802 | 0.054352481 | 0.102663175 | 0.036382071 | 0.112068411 | 0.073790854 |
Debt beta | − 0.042651085 | − 0.003570594 | 0.071119136 | − 0.046077797 | 0.092574689 | 0.068892649 |
Gamma | − 0.000416038 | 0.0501% | ||||
The impact of IFRS 9 under Experiment 1—Country-level portfolios of all banks
The impact of IFRS 9 on the cost of funding of UK banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 3.05 | 3.39 | 10.18 | − 0.85 | 1.78 | 4.33 | 3.16 | 3.51 | 10.53 | − 0.88 | 1.84 | 4.48 |
Mazras | 1.63 | 1.36 | 6.92 | − 2.04 | 0.81 | 2.45 | 1.68 | 1.40 | 7.16 | − 2.11 | 0.84 | 2.53 |
Mazras (UK) | 0.78 | 1.19 | 2.31 | − 2.04 | 0.05 | 1.51 | 0.81 | 1.23 | 2.39 | − 2.11 | 0.05 | 1.56 |
The impact of IFRS 9 on the cost of funding of German banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 21.08 | 23.42 | 70.27 | − 5.86 | 19.68 | 12.27 | 21.61 | 24.01 | 72.03 | − 6.00 | 20.17 | 12.58 |
Mazras | 11.24 | 9.37 | 47.78 | − 14.05 | 12.65 | 5.58 | 11.52 | 9.60 | 48.98 | − 14.41 | 12.97 | 5.72 |
Mazras (Gr) | 19.44 | 19.44 | 35.14 | 3.75 | 22.19 | 9.50 | 19.93 | 19.93 | 36.01 | 3.84 | 22.75 | 9.74 |
The impact of IFRS 9 on the cost of funding of French banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 11.95 | 13.27 | 39.82 | − 3.32 | 11.15 | 6.95 | 12.21 | 13.56 | 40.69 | − 3.39 | 11.39 | 7.10 |
Mazras | 6.37 | 5.31 | 27.08 | − 7.96 | 7.17 | 3.16 | 6.51 | 5.42 | 27.67 | − 8.14 | 7.32 | 3.23 |
Mazras (Fr) | 4.65 | 3.98 | 7.96 | 2.65 | 2.30 | 3.62 | 4.75 | 4.07 | 8.14 | 2.71 | 2.35 | 3.69 |
The impact of IFRS 9 on the cost of funding of Italian banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 0.04 | 0.05 | 0.15 | − 0.01 | 0.04 | 0.03 | 0.04 | 0.05 | 0.15 | − 0.01 | 0.04 | 0.03 |
Mazras | 0.02 | 0.02 | 0.10 | − 0.03 | 0.03 | 0.01 | 0.02 | 0.02 | 0.10 | − 0.03 | 0.03 | 0.01 |
Mazras (Fr) | 0.07 | 0.07 | 0.10 | 0.04 | 0.04 | 0.05 | 0.07 | 0.07 | 0.10 | 0.04 | 0.04 | 0.05 |
The impact of IFRS 9 on the cost of funding of Spanish banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 3.58 | 3.98 | 11.93 | − 0.99 | 3.34 | 2.08 | 3.65 | 4.06 | 12.17 | − 1.01 | 3.41 | 2.13 |
Mazras | 1.91 | 1.59 | 8.12 | − 2.39 | 2.15 | 0.95 | 1.95 | 1.62 | 8.28 | − 2.43 | 2.19 | 0.97 |
Mazras (Sp) | 2.90 | 2.03 | 6.37 | 1.19 | 2.37 | 1.84 | 2.96 | 2.07 | 6.49 | 1.22 | 2.42 | 1.88 |
The impact of IFRS 9 on the cost of funding of Swiss banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 3.33 | 3.70 | 11.11 | − 0.93 | 3.11 | 1.94 | 3.40 | 3.78 | 11.34 | − 0.94 | 3.17 | 1.98 |
Mazras | 1.78 | 1.48 | 7.56 | − 2.22 | 2.00 | 0.88 | 1.81 | 1.51 | 7.71 | − 2.27 | 2.04 | 0.90 |
Mazras (Fr) | 1.52 | 1.52 | 3.04 | 0.00 | 2.15 | 0.56 | 1.55 | 1.55 | 3.10 | 0.00 | 2.19 | 0.57 |
The impact of IFRS 9 under Experiment 2—Two portfolios (large and small banks)
The impact of IFRS 9 on the cost of funding of UK banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 2.77 | 3.08 | 9.23 | − 0.77 | 1.61 | 3.93 | 2.86 | 3.18 | 9.54 | − 0.80 | 1.67 | 4.06 |
Mazras | 1.48 | 1.23 | 6.28 | − 1.85 | 0.73 | 2.22 | 1.53 | 1.27 | 6.49 | − 1.91 | 0.76 | 2.30 |
Mazras (UK) | 0.71 | 1.08 | 2.09 | − 1.85 | 0.05 | 1.37 | 0.73 | 1.11 | 2.16 | − 1.91 | 0.05 | 1.41 |
The impact of IFRS 9 on the cost of funding of German banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 7.10 | 7.89 | 23.67 | − 1.97 | 6.63 | 4.13 | 7.28 | 8.09 | 24.26 | − 2.02 | 6.79 | 4.24 |
Mazras | 3.79 | 3.16 | 16.10 | − 4.73 | 4.26 | 1.88 | 3.88 | 3.23 | 16.50 | − 4.85 | 4.37 | 1.93 |
Mazras (Gr) | 6.55 | 6.55 | 11.84 | 1.26 | 7.48 | 3.20 | 6.71 | 6.71 | 12.13 | 1.29 | 7.66 | 3.28 |
The impact of IFRS 9 on the cost of funding of French banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | − 1.44 | − 1.60 | − 4.81 | 0.40 | − 1.35 | − 0.84 | − 1.47 | − 1.64 | − 4.91 | 0.41 | − 1.37 | − 0.86 |
Mazras | − 0.77 | − 0.64 | − 3.27 | 0.96 | − 0.87 | − 0.38 | − 0.79 | − 0.65 | − 3.34 | 0.98 | − 0.88 | − 0.39 |
Mazras (Fr) | − 0.56 | − 0.48 | − 0.96 | − 0.32 | − 0.28 | − 0.44 | − 0.57 | − 0.49 | − 0.98 | − 0.33 | − 0.28 | − 0.45 |
The impact of IFRS 9 on the cost of funding of Italian banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | − 2.19 | − 2.43 | − 7.29 | 0.61 | − 2.04 | − 1.27 | − 2.25 | − 2.50 | − 7.50 | 0.63 | − 2.10 | − 1.31 |
Mazras | − 1.17 | − 0.97 | − 4.96 | 1.46 | − 1.31 | − 0.58 | − 1.20 | − 1.00 | − 5.10 | 1.50 | − 1.35 | − 0.60 |
Mazras (Sp) | − 3.45 | − 3.45 | − 4.96 | − 1.94 | − 2.13 | − 2.50 | − 3.55 | − 3.55 | − 5.10 | − 2.00 | − 2.19 | − 2.57 |
The impact of IFRS 9 on the cost of funding of Spanish banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 8.58 | 9.53 | 28.59 | − 2.38 | 8.01 | 4.99 | 8.75 | 9.72 | 29.17 | − 2.43 | 8.17 | 5.09 |
Mazras | 4.58 | 3.81 | 19.44 | − 5.72 | 5.15 | 2.27 | 4.67 | 3.89 | 19.84 | − 5.83 | 5.25 | 2.32 |
Mazras (Sp) | 6.96 | 4.86 | 15.25 | 2.86 | 5.67 | 4.42 | 7.10 | 4.96 | 15.56 | 2.92 | 5.79 | 4.51 |
The impact of IFRS 9 on the cost of funding of Swiss banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 0.57 | 0.63 | 1.89 | − 0.16 | 0.53 | 0.33 | 0.58 | 0.64 | 1.93 | − 0.16 | 0.54 | 0.34 |
Mazras | 0.30 | 0.25 | 1.29 | − 0.38 | 0.34 | 0.15 | 0.31 | 0.26 | 1.31 | − 0.39 | 0.35 | 0.15 |
Mazras (Sp) | 0.26 | 0.26 | 0.52 | 0.00 | 0.37 | 0.09 | 0.26 | 0.26 | 0.53 | 0.00 | 0.37 | 0.10 |
The impact of IFRS 9 under Experiment 3—Individual banks
The impact of IFRS 9 on the cost of funding of UK banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 6.82 | 7.57 | 22.72 | − 1.89 | 3.97 | 9.67 | 7.05 | 7.83 | 23.50 | − 1.96 | 4.10 | 9.99 |
Mazras | 3.64 | 3.03 | 15.45 | − 4.54 | 1.80 | 5.47 | 3.76 | 3.13 | 15.98 | − 4.70 | 1.87 | 5.65 |
Mazras (UK) | 1.74 | 2.65 | 5.15 | − 4.54 | 0.11 | 3.37 | 1.80 | 2.74 | 5.33 | − 4.70 | 0.12 | 3.48 |
The impact of IFRS 9 on the cost of funding of German banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 5.66 | 6.28 | 18.85 | − 1.57 | 5.28 | 3.29 | 5.79 | 6.43 | 19.30 | − 1.61 | 5.40 | 3.37 |
Mazras | 3.02 | 2.51 | 12.82 | − 3.77 | 3.39 | 1.50 | 3.09 | 2.57 | 13.13 | − 3.86 | 3.47 | 1.53 |
Mazras (Gr) | 5.22 | 5.22 | 9.43 | 1.01 | 5.95 | 2.55 | 5.34 | 5.34 | 9.65 | 1.03 | 6.10 | 2.61 |
The impact of IFRS 9 on the cost of funding of French banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 1.38 | 1.53 | 4.60 | − 0.38 | 1.29 | 0.80 | 1.41 | 1.56 | 4.69 | − 0.39 | 1.31 | 0.82 |
Mazras | 0.74 | 0.61 | 3.12 | − 0.92 | 0.83 | 0.36 | 0.75 | 0.63 | 3.19 | − 0.94 | 0.84 | 0.37 |
Mazras (Fr) | 0.54 | 0.46 | 0.92 | 0.31 | 0.27 | 0.42 | 0.55 | 0.47 | 0.94 | 0.31 | 0.27 | 0.43 |
The impact of IFRS 9 on the cost of funding of Italian banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 1.89 | 2.10 | 6.29 | − 0.52 | 1.76 | 1.10 | 1.94 | 2.16 | 6.47 | − 0.54 | 1.81 | 1.13 |
Mazras | 1.01 | 0.84 | 4.27 | − 1.26 | 1.13 | 0.50 | 1.03 | 0.86 | 4.40 | − 1.29 | 1.16 | 0.51 |
Mazras (It) | 2.98 | 2.98 | 4.27 | 1.68 | 1.84 | 2.15 | 3.06 | 3.06 | 4.40 | 1.72 | 1.89 | 2.21 |
The impact of IFRS 9 on the cost of funding of Spanish banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 4.53 | 5.03 | 15.09 | − 1.26 | 4.23 | 2.64 | 4.61 | 5.12 | 15.36 | − 1.28 | 4.30 | 2.68 |
Mazras | 2.41 | 2.01 | 10.26 | − 3.02 | 2.72 | 1.20 | 2.46 | 2.05 | 10.44 | − 3.07 | 2.76 | 1.22 |
Mazras (Sp) | 3.67 | 2.57 | 8.05 | 1.51 | 2.99 | 2.33 | 3.74 | 2.61 | 8.19 | 1.54 | 3.05 | 2.37 |
The impact of IFRS 9 on the cost of funding of Swiss banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 1.76 | 1.96 | 5.88 | − 0.49 | 1.65 | 1.03 | 1.75 | 1.95 | 5.84 | − 0.49 | 1.64 | 1.02 |
Mazras | 0.94 | 0.78 | 4.00 | − 1.18 | 1.06 | 0.47 | 0.93 | 0.78 | 3.97 | − 1.17 | 1.05 | 0.46 |
Mazras (Sw) | 0.80 | 0.80 | 1.61 | 0.00 | 1.14 | 0.29 | 0.80 | 0.80 | 1.60 | 0.00 | 1.13 | 0.29 |
The impact of IFRS 9 under Experiment 4—Panels of banks in each country
The impact of IFRS 9 on the cost of funding of UK banks (in basis points)
Sample | Riskless Debt | Risky Debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 4.57 | 5.08 | 15.24 | − 1.27 | 2.66 | 6.48 | 4.72 | 5.25 | 15.74 | − 1.31 | 2.75 | 6.69 |
Mazras | 2.44 | 2.03 | 10.37 | − 3.05 | 1.21 | 3.67 | 2.52 | 2.10 | 10.70 | − 3.15 | 1.25 | 3.79 |
Mazras (UK) | 1.17 | 1.78 | 3.46 | − 3.05 | 0.08 | 2.26 | 1.21 | 1.84 | 3.57 | − 3.15 | 0.08 | 2.33 |
The impact of IFRS 9 on the cost of funding of German banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 0.95 | 1.06 | 3.18 | − 0.26 | 0.89 | 0.55 | 0.95 | 1.05 | 3.16 | − 0.26 | 0.88 | 0.55 |
Mazras | 0.51 | 0.42 | 2.16 | − 0.64 | 0.57 | 0.25 | 0.51 | 0.42 | 2.15 | − 0.63 | 0.57 | 0.25 |
Mazras (Gr) | 0.88 | 0.88 | 1.59 | 0.17 | 1.00 | 0.43 | 0.87 | 0.87 | 1.58 | 0.17 | 1.00 | 0.43 |
The impact of IFRS 9 on the cost of funding of French banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | − 6.24 | − 6.93 | − 20.78 | 1.73 | − 5.82 | − 3.63 | − 6.23 | − 6.92 | − 20.75 | 1.73 | − 5.81 | − 3.62 |
Mazras | − 3.33 | − 2.77 | − 14.13 | 4.16 | − 3.74 | − 1.65 | − 3.32 | − 2.77 | − 14.11 | 4.15 | − 3.74 | − 1.65 |
Mazras (Fr) | − 2.42 | − 2.08 | − 4.16 | − 1.39 | − 1.20 | − 1.89 | − 2.42 | − 2.08 | − 4.15 | − 1.38 | − 1.20 | − 1.88 |
The impact of IFRS 9 on the cost of funding of Italian banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 1.13 | 1.26 | 3.77 | − 0.31 | 1.05 | 0.66 | 1.13 | 1.26 | 3.77 | − 0.31 | 1.05 | 0.66 |
Mazras | 0.60 | 0.50 | 2.56 | − 0.75 | 0.68 | 0.30 | 0.60 | 0.50 | 2.56 | − 0.75 | 0.68 | 0.30 |
Mazras (It) | 1.78 | 1.78 | 2.56 | 1.00 | 1.10 | 1.29 | 1.78 | 1.78 | 2.56 | 1.00 | 1.10 | 1.29 |
The impact of IFRS 9 on the cost of funding of Spanish banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 8.81 | 9.79 | 29.36 | − 2.45 | 8.22 | 5.13 | 8.85 | 9.83 | 29.50 | − 2.46 | 8.26 | 5.15 |
Mazras | 4.70 | 3.91 | 19.97 | − 5.87 | 5.28 | 2.33 | 4.72 | 3.93 | 20.06 | − 5.90 | 5.31 | 2.34 |
Mazras (Sp) | 7.14 | 4.99 | 15.66 | 2.94 | 5.83 | 4.54 | 7.18 | 5.01 | 15.73 | 2.95 | 5.85 | 4.56 |
The impact of IFRS 9 on the cost of funding of Swiss banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 2.66 | 2.95 | 8.85 | − 0.74 | 2.48 | 1.55 | 2.58 | 2.86 | 8.59 | − 0.72 | 2.41 | 1.50 |
Mazras | 1.42 | 1.18 | 6.02 | − 1.77 | 1.59 | 0.70 | 1.37 | 1.15 | 5.84 | − 1.72 | 1.55 | 0.68 |
Mazras (Sw) | 1.21 | 1.21 | 2.42 | 0.00 | 1.71 | 0.44 | 1.17 | 1.17 | 2.35 | 0.00 | 1.66 | 0.43 |
The impact of IFRS 9 under Experiment 5—Three risk-based portfolios
The impact of IFRS 9 on the cost of funding of UK banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 4.42 | 4.91 | 14.73 | − 1.23 | 2.57 | 6.27 | 4.57 | 5.07 | 15.22 | − 1.27 | 2.66 | 6.48 |
Mazras | 2.36 | 1.96 | 10.02 | − 2.95 | 1.17 | 3.54 | 2.44 | 2.03 | 10.35 | − 3.04 | 1.21 | 3.66 |
Mazras (UK) | 1.13 | 1.72 | 3.34 | − 2.95 | 0.07 | 2.18 | 1.17 | 1.78 | 3.45 | − 3.04 | 0.08 | 2.26 |
The impact of IFRS 9 on the cost of funding of German banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 7.52 | 8.36 | 25.07 | − 2.09 | 7.02 | 4.38 | 7.69 | 8.55 | 25.65 | − 2.14 | 7.18 | 4.48 |
Mazras | 4.01 | 3.34 | 17.05 | − 5.01 | 4.51 | 1.99 | 4.10 | 3.42 | 17.44 | − 5.13 | 4.62 | 2.04 |
Mazras (Gr) | 6.94 | 6.94 | 12.53 | 1.34 | 7.92 | 3.39 | 7.10 | 7.10 | 12.82 | 1.37 | 8.10 | 3.47 |
The impact of IFRS 9 on the cost of funding of French banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | − 2.05 | − 2.27 | − 6.82 | 0.57 | − 1.91 | − 1.19 | − 2.09 | − 2.32 | − 6.96 | 0.58 | − 1.95 | − 1.21 |
Mazras | − 1.09 | − 0.91 | − 4.64 | 1.36 | − 1.23 | − 0.54 | − 1.11 | − 0.93 | − 4.73 | 1.39 | − 1.25 | − 0.55 |
Mazras (Fr) | − 0.80 | − 0.68 | − 1.36 | − 0.45 | − 0.39 | − 0.62 | − 0.81 | − 0.70 | − 1.39 | − 0.46 | − 0.40 | − 0.63 |
The impact of IFRS 9 on the cost of funding of Italian banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 1.34 | 1.49 | 4.46 | − 0.37 | 1.25 | 0.78 | 1.38 | 1.53 | 4.59 | − 0.38 | 1.28 | 0.80 |
Mazras | 0.71 | 0.59 | 3.03 | − 0.89 | 0.80 | 0.35 | 0.73 | 0.61 | 3.12 | − 0.92 | 0.83 | 0.36 |
Mazras (It) | 2.11 | 2.11 | 3.03 | 1.19 | 1.30 | 1.53 | 2.17 | 2.17 | 3.12 | 1.22 | 1.34 | 1.57 |
The impact of IFRS 9 on the cost of funding of Spanish banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 4.68 | 5.20 | 15.61 | − 1.30 | 4.37 | 2.73 | 4.75 | 5.28 | 15.83 | − 1.32 | 4.43 | 2.76 |
Mazras | 2.50 | 2.08 | 10.61 | − 3.12 | 2.81 | 1.24 | 2.53 | 2.11 | 10.76 | − 3.17 | 2.85 | 1.26 |
Mazras (Sp) | 3.80 | 2.65 | 8.33 | 1.56 | 3.10 | 2.41 | 3.85 | 2.69 | 8.44 | 1.58 | 3.14 | 2.44 |
The impact of IFRS 9 on the cost of funding of Swiss banks (in basis points)
Sample | Riskless debt | Risky debt, low sensitivity to leverage | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | Max | Min | 99.9% Conf. Intrv. | Mean | Median | Max | Min | 99.9% Conf. Intrv. | |||
EBA [23] | 2.25 | 2.51 | 7.52 | − 0.63 | 2.10 | 1.31 | 2.24 | 2.49 | 7.47 | − 0.62 | 2.09 | 1.31 |
Mazras | 1.20 | 1.00 | 5.11 | − 1.50 | 1.35 | 0.60 | 1.20 | 1.00 | 5.08 | − 1.49 | 1.35 | 0.59 |
Mazras (Sw) | 1.03 | 1.03 | 2.05 | 0.00 | 1.45 | 0.38 | 1.02 | 1.02 | 2.04 | 0.00 | 1.44 | 0.37 |
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Fatouh, M., Bock, R. & Ouenniche, J. Impact of IFRS 9 on the cost of funding of banks in Europe. J Bank Regul 24, 115–145 (2023). https://doi.org/10.1057/s41261-021-00177-x
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DOI: https://doi.org/10.1057/s41261-021-00177-x