Descriptive statistics of CDS spreads and depth
| Liquidity portfolio | CDS spread | Depth | ||||||
|---|---|---|---|---|---|---|---|---|
| Mean | Std | Min | Max | Mean | Std | Min | Max | |
| Panel A: Pre-Crisis (Jan 1, 2001 – Jul 31, 2007) | ||||||||
| 1 ILLIQ | 225.1 | 83.0 | 87.6 | 569.4 | 2.2 | 0.3 | 2.0 | 3.0 |
| 2 | 189.8 | 74.8 | 84.1 | 472.3 | 3.8 | 0.6 | 2.0 | 5.9 |
| 3 | 146.2 | 57.1 | 64.2 | 372.7 | 5.8 | 1.8 | 3.0 | 10.1 |
| 4 | 91.1 | 46.8 | 31.7 | 248.2 | 8.9 | 3.3 | 3.0 | 16.5 |
| 5 LIQ | 90.0 | 32.5 | 37.1 | 209.8 | 12.8 | 5.3 | 4.0 | 22.9 |
| Panel B: Crisis (Aug 1, 2007 – Jun 30, 2009) | ||||||||
| 1 ILLIQ | 329.9 | 116.2 | 179.3 | 913.3 | 2.0 | 0.0 | 2.0 | 2.0 |
| 2 | 390.0 | 212.6 | 170.2 | 948.1 | 3.4 | 0.4 | 3.0 | 4.0 |
| 3 | 367.0 | 241.2 | 97.6 | 1073.2 | 6.1 | 1.2 | 4.0 | 7.7 |
| 4 | 250.3 | 153.3 | 50.5 | 670.9 | 9.2 | 2.1 | 5.0 | 12.1 |
| 5 LIQ | 261.8 | 128.1 | 94.2 | 627.3 | 12.8 | 3.3 | 6.7 | 18.6 |
| Panel C: Post-Crisis (Jul 1, 2009 – Nov 30, 2012) | ||||||||
| 1 ILLIQ | 267.3 | 71.1 | 152.0 | 488.0 | 2.0 | 0.0 | 2.0 | 2.0 |
| 2 | 230.4 | 47.6 | 149.9 | 458.9 | 3.0 | 0.0 | 3.0 | 3.3 |
| 3 | 220.9 | 52.3 | 121.7 | 342.9 | 4.1 | 0.6 | 3.0 | 5.5 |
| 4 | 216.8 | 53.7 | 122.6 | 416.5 | 5.2 | 0.8 | 3.0 | 7.0 |
| 5 LIQ | 249.8 | 70.3 | 132.3 | 484.0 | 7.0 | 0.8 | 5.2 | 8.7 |
| Liquidity portfolio | CDS spread | Depth | ||||||
|---|---|---|---|---|---|---|---|---|
| Mean | Std | Min | Max | Mean | Std | Min | Max | |
| 1 ILLIQ | 225.1 | 83.0 | 87.6 | 569.4 | 2.2 | 0.3 | 2.0 | 3.0 |
| 2 | 189.8 | 74.8 | 84.1 | 472.3 | 3.8 | 0.6 | 2.0 | 5.9 |
| 3 | 146.2 | 57.1 | 64.2 | 372.7 | 5.8 | 1.8 | 3.0 | 10.1 |
| 4 | 91.1 | 46.8 | 31.7 | 248.2 | 8.9 | 3.3 | 3.0 | 16.5 |
| 5 LIQ | 90.0 | 32.5 | 37.1 | 209.8 | 12.8 | 5.3 | 4.0 | 22.9 |
| 1 ILLIQ | 329.9 | 116.2 | 179.3 | 913.3 | 2.0 | 0.0 | 2.0 | 2.0 |
| 2 | 390.0 | 212.6 | 170.2 | 948.1 | 3.4 | 0.4 | 3.0 | 4.0 |
| 3 | 367.0 | 241.2 | 97.6 | 1073.2 | 6.1 | 1.2 | 4.0 | 7.7 |
| 4 | 250.3 | 153.3 | 50.5 | 670.9 | 9.2 | 2.1 | 5.0 | 12.1 |
| 5 LIQ | 261.8 | 128.1 | 94.2 | 627.3 | 12.8 | 3.3 | 6.7 | 18.6 |
| 1 ILLIQ | 267.3 | 71.1 | 152.0 | 488.0 | 2.0 | 0.0 | 2.0 | 2.0 |
| 2 | 230.4 | 47.6 | 149.9 | 458.9 | 3.0 | 0.0 | 3.0 | 3.3 |
| 3 | 220.9 | 52.3 | 121.7 | 342.9 | 4.1 | 0.6 | 3.0 | 5.5 |
| 4 | 216.8 | 53.7 | 122.6 | 416.5 | 5.2 | 0.8 | 3.0 | 7.0 |
| 5 LIQ | 249.8 | 70.3 | 132.3 | 484.0 | 7.0 | 0.8 | 5.2 | 8.7 |
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