Is there any systematic explanation of variations in the cost of debt servicing over time and across countries? This paper examines the influence of fiscal variables on borrowing costs in a panel of OECD countries, showing that these variables have a significant role. In particular, an improvement of the primary fiscal balance and a reduction in the stock of outstanding debt are associated with significant reductions in debt servicing costs, amplifying the effects of primary adjustment on the fiscal position. These effects appear to be non–linear: more pronounced for highly–indebted countries. A significant country–specific component remains, however; several explanations for this component are discussed, including debt management and market infrastructure.