Basel III and the Net Stable Funding Ratio

Table 2

Bond level liquidity.

	Mean		Standard deviation
	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