Table 1 Descriptive statistics

From: The predictive strength of MBS yield spreads during asset bubbles

Panel A
Variables N Mean SD 25th pctl Median 75th pctl
Spread (basis points) 4203 65.9 90.5 18.0 33.0 70.0
Weighted average life (years) 4203 5.5 3.0 3.8 5.1 7.0
Tranche value (Euro million) 4203 228.0 452.0 20.4 47.4 232.0
Panel B
Variables Credit bubble Housing bubble
N Mean SD N Mean SD
Spread (basis points) 2594 57.9 91.1 2917 60.1 90.7
Weighted average life (years) 2594 5.3 3.0 2917 5.3 3.0
Tranche value (Euro million) 2594 238.0 489.0 2917 241.0 487.0
  No credit bubble No housing bubble
Spread (basis points) 1609 78.8 87.9 1286 79.1 88.4
Weighted average life (years) 1609 5.7 2.9 1286 5.8 2.9
Tranche value (Euro million) 1609 212.0 386.0 1286 198.0 360.0
Panel C
Credit rating N Downgraded (%) Mean spread Credit rating N Downgraded (%) Mean spread
AAA 1578 35.2 18.1 BB+ 32 46.9 271.1
AA+ 53 62.3 31.6 BB 173 57.8 315.5
AA 567 41.4 31.8 BB− 29 65.5 303.4
AA− 85 45.9 36.8 B+ 2 100.0 562.5
A+ 84 42.9 50.5 B 17 76.5 584.1
A 644 34.3 56.2 CCC+ 2 0.0 350.0
A− 45 57.8 51.0 CCC 1 0.0 350.0
BBB+ 68 41.2 90.3 CCC− 17 82.4 308.4
BBB 675 36.3 104.8 CC 10 80.0 372.0
BBB− 120 55.8 104.9 C 1 0.0 400.0
Total 4203 39.4 65.9