With a sample of 4,065 bonds issued by 63 banks from 12 euro area countries during 2013–2017, this study investigates how introducing bail‐in regulation has influenced bond yields in secondary markets, by distinguishing between non‐bail‐inable and different classes of bail‐inable bonds. The bail‐in risk premium does not follow the hierarchy of risk; it is stronger for less risky bonds. The effect on the spread between senior unsecured and non‐bail‐inable bonds is much higher than for subordinated bonds. Regarding subordinated bonds, the impact is higher for securities excluded from regulatory capital than for those included.

Do Bond Yields Follow the Hierarchy of Risk Post-BRRD? / Federica Ielasi, Lorenzo Gai, Doriana Cucinelli. - In: EUROPEAN FINANCIAL MANAGEMENT. - ISSN 1354-7798. - STAMPA. - 27:(2021), pp. 460-489. [10.1111/eufm.12280]

Do Bond Yields Follow the Hierarchy of Risk Post-BRRD?

Federica Ielasi;Lorenzo Gai;
2021

Abstract

With a sample of 4,065 bonds issued by 63 banks from 12 euro area countries during 2013–2017, this study investigates how introducing bail‐in regulation has influenced bond yields in secondary markets, by distinguishing between non‐bail‐inable and different classes of bail‐inable bonds. The bail‐in risk premium does not follow the hierarchy of risk; it is stronger for less risky bonds. The effect on the spread between senior unsecured and non‐bail‐inable bonds is much higher than for subordinated bonds. Regarding subordinated bonds, the impact is higher for securities excluded from regulatory capital than for those included.
2021
27
460
489
Goal 9: Industry, Innovation, and Infrastructure
Goal 12: Responsible consumption and production
Federica Ielasi, Lorenzo Gai, Doriana Cucinelli
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Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/1206751
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