Research Article

Basel III and the Net Stable Funding Ratio

Table 2

Bond level liquidity.

ā€‰ Mean Standard deviation
ā€‰ Noncrisis Crisis Noncrisis Crisis

Amount issued (bln) 0.45 0.54 0.03 0.06
Coupon (%) 6.24 6.23 0.05 0.05
Maturity (yr) 7.75 8.31 0.20 0.18
Age (yr) 4.36 4.76 0.12 0.14
Volume (mln) 1.44 1.53 0.22 0.32
Trades 4.06 5.33 0.24 1.31
Trade interval (dy) 3.38 3.37 0.49 0.48
Amihud (bp per mln) 53.21 89.20 7.42 35.75
Price dispersion (bp) 39.75 70.02 1.83 21.84
Roll (bp) 142.82 209.77 10.57 52.34
Zero return (%) 0.02 0.03 0.01 0.01