METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
CMBS (P&I) | CMBS (IO/PO) | ABS | CBO/CDO/CLO | |||
Investment Grade | ||||||||
AVERAGE PRICE | 97.0 | * | 104.4 | * | 98.4 | 92.3 | ||
Weighted Avg. Price | 95.2 | * | 105.7 | * | 87.6 | 94.6 | ||
Avg. Price Bottom 5 Trades | 73.2 | * | 77.0 | * | 71.8 | 74.1 | ||
2nd Quartile Price | 95.2 | * | 101.0 | * | 97.2 | 86.1 | ||
3rd Quartile Price | 99.3 | * | 104.4 | * | 100.5 | 95.8 | ||
4th Quartile Price | 100.3 | * | 110.0 | * | 102.4 | 99.0 | ||
Avg. Price Top 5 Trades | 104.2 | * | 115.6 | * | 123.5 | 99.8 | ||
Standard Deviation | 5.9 | * | 7.7 | * | 12.7 | 8.7 | ||
VOLUME OF TRADES (000'S) | 384,995.9 | * | 1,170,758.7 | * | 995,286.0 | 513,931.7 | ||
Customer Buy | 60,349.1 | * | 681,082.8 | * | 419,929.8 | 210,367.2 | ||
Customer Sell | 305,776.5 | - | 402,959.4 | * | 368,876.2 | 274,849.0 | ||
Dealer to Dealer | 18,870.3 | - | 86,716.5 | - | 206,480.0 | 28,715.5 | ||
<= $1MM | 12,918.9 | - | 31,833.7 | - | 46,350.6 | 3,111.4 | ||
<= $10MM | 122,093.6 | * | 462,856.5 | * | 331,048.0 | 124,667.9 | ||
<= $100MM | 249,983.4 | - | 676,068.5 | - | 617,887.3 | 386,152.5 | ||
> $100MM | - | - | - | - | - | - | ||
NUMBER OF TRADES | 218 | * | 250 | * | 232 | 43 | ||
Customer Buy | 80 | * | 127 | * | 95 | 15 | ||
Customer Sell | 93 | - | 81 | * | 84 | 23 | ||
Dealer to Dealer | 45 | - | 42 | - | 53 | 5 | ||
<= $1MM | 165 | - | 110 | - | 126 | 6 | ||
<= $10MM | 36 | * | 103 | * | 83 | 26 | ||
<= $100MM | 17 | - | 37 | - | 23 | 11 | ||
> $100MM | - | - | - | - | - | - | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 70.5 | 18.0 | 75.6 | 7.2 | 85.7 | 56.8 | ||
Weighted Avg. Price | 57.8 | 6.7 | 76.3 | 6.5 | 80.0 | 39.0 | ||
Avg. Price Bottom 5 Trades | 0.9 | 15.0 | 13.3 | 7.1 | 45.9 | 10.8 | ||
2nd Quartile Price | 60.4 | 5.3 | 50.5 | 7.6 | 63.3 | 53.0 | ||
3rd Quartile Price | 72.0 | 34.3 | 89.0 | 7.9 | 100.1 | 67.8 | ||
4th Quartile Price | 89.0 | 36.0 | 103.9 | 8.0 | 105.7 | 72.5 | ||
Avg. Price Top 5 Trades | 102.8 | 23.1 | 112.6 | 7.7 | 111.5 | 80.6 | ||
Standard Deviation | 22.3 | 15.9 | 32.2 | 1.2 | 27.2 | 25.7 | ||
VOLUME OF TRADES (000'S) | 7,919,557.5 | 236,815.9 | 644,431.9 | 28,291.2 | 145,883.2 | 246,999.9 | ||
Customer Buy | 960,801.2 | * | 329,799.4 | - | 63,695.8 | 124,038.3 | ||
Customer Sell | 6,932,384.7 | * | 303,128.5 | * | 65,060.2 | 118,961.6 | ||
Dealer to Dealer | 26,371.6 | * | 11,504.0 | * | 17,127.3 | * | ||
<= $1MM | 44,913.0 | * | 9,369.7 | - | 3,955.0 | * | ||
<= $10MM | 417,455.2 | * | 299,258.6 | 16,548.2 | 70,409.8 | 58,803.7 | ||
<= $100MM | 5,023,598.0 | * | 335,803.6 | * | * | 185,973.9 | ||
> $100MM | 2,433,591.4 | - | - | - | - | - | ||
NUMBER OF TRADES | 721 | 7 | 119 | 6 | 31 | 27 | ||
Customer Buy | 301 | * | 50 | - | 12 | 10 | ||
Customer Sell | 309 | * | 56 | * | 12 | 16 | ||
Dealer to Dealer | 111 | * | 13 | * | 7 | * | ||
<= $1MM | 452 | * | 41 | - | 7 | * | ||
<= $10MM | 100 | * | 59 | 5 | 20 | 15 | ||
<= $100MM | 151 | * | 19 | * | * | 9 | ||
> $100MM | 18 | - | - | - | - | - |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 97.5 | 95.3 | 99.5 |
Weighted Avg. Price | 95.1 | 94.7 | 99.5 |
Avg. Price Bottom 5 Trades | 75.1 | 79.8 | 99.5 |
2nd Quartile Price | 96.5 | 94.3 | * |
3rd Quartile Price | 99.5 | 96.9 | * |
4th Quartile Price | 100.5 | 100.0 | * |
Avg. Price Top 5 Trades | 104.2 | 100.7 | 99.5 |
Standard Deviation | 5.9 | 6.2 | 0.6 |
VOLUME OF TRADES (000'S) | 194,634.0 | 168,329.3 | 22,032.6 |
Customer Buy | 44,995.1 | 4,814.2 | * |
Customer Sell | 139,323.8 | 160,292.4 | * |
Dealer to Dealer | 10,315.1 | 3,222.7 | * |
<= $1MM | 9,982.7 | 2,625.9 | * |
<= $10MM | 67,777.6 | 32,593.6 | * |
<= $100MM | 116,873.6 | 133,109.8 | - |
> $100MM | - | - | - |
NUMBER OF TRADES | 164 | 49 | 5 |
Customer Buy | 63 | 15 | * |
Customer Sell | 65 | 26 | * |
Dealer to Dealer | 36 | 8 | * |
<= $1MM | 138 | 26 | * |
<= $10MM | 18 | 14 | * |
<= $100MM | 8 | 9 | - |
> $100MM | - | - | - |
Non-Investment Grade † | |||
AVERAGE PRICE | 79.8 | 70.0 | 65.4 |
Weighted Avg. Price | 71.1 | 58.8 | 54.2 |
Avg. Price Bottom 5 Trades | 12.7 | 0.9 | 11.7 |
2nd Quartile Price | 70.1 | 60.7 | 45.3 |
3rd Quartile Price | 89.1 | 71.3 | 68.5 |
4th Quartile Price | 96.8 | 86.0 | 88.5 |
Avg. Price Top 5 Trades | 102.4 | 101.5 | 99.1 |
Standard Deviation | 23.3 | 21.2 | 23.9 |
VOLUME OF TRADES (000'S) | 127,666.4 | 5,689,016.1 | 2,102,875.0 |
Customer Buy | 60,517.4 | 611,744.3 | 288,539.6 |
Customer Sell | 65,453.9 | 5,062,031.3 | 1,804,899.6 |
Dealer to Dealer | 1,695.1 | 15,240.6 | 9,435.8 |
<= $1MM | 11,645.1 | 27,686.5 | 5,581.4 |
<= $10MM | 64,890.5 | 245,917.8 | 106,646.9 |
<= $100MM | * | 3,887,661.6 | 1,084,805.6 |
> $100MM | - | 1,527,750.3 | 905,841.1 |
NUMBER OF TRADES | 94 | 503 | 124 |
Customer Buy | 44 | 217 | 40 |
Customer Sell | 33 | 211 | 65 |
Dealer to Dealer | 17 | 75 | 19 |
<= $1MM | 75 | 319 | 58 |
<= $10MM | 16 | 58 | 26 |
<= $100MM | * | 115 | 33 |
> $100MM | - | 11 | 7 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | * | - | - |
Weighted Avg. Price | * | - | - |
Avg. Price Bottom 5 Trades | * | - | - |
2nd Quartile Price | * | - | - |
3rd Quartile Price | * | - | - |
4th Quartile Price | * | - | - |
Avg. Price Top 5 Trades | * | - | - |
Standard Deviation | * | - | - |
VOLUME OF TRADES (000'S) | * | - | - |
Customer Buy | * | - | - |
Customer Sell | - | - | - |
Dealer to Dealer | - | - | - |
<= $1MM | - | - | - |
<= $10MM | * | - | - |
<= $100MM | - | - | - |
> $100MM | - | - | - |
NUMBER OF TRADES | * | - | - |
Customer Buy | * | - | - |
Customer Sell | - | - | - |
Dealer to Dealer | - | - | - |
<= $1MM | - | - | - |
<= $10MM | * | - | - |
<= $100MM | - | - | - |
> $100MM | - | - | - |
Non-Investment Grade † | |||
AVERAGE PRICE | - | 18.0 | - |
Weighted Avg. Price | - | 6.7 | - |
Avg. Price Bottom 5 Trades | - | 15.0 | - |
2nd Quartile Price | - | 5.3 | - |
3rd Quartile Price | - | 34.3 | - |
4th Quartile Price | - | 36.0 | - |
Avg. Price Top 5 Trades | - | 23.1 | - |
Standard Deviation | - | 15.9 | - |
VOLUME OF TRADES (000'S) | - | 236,815.9 | - |
Customer Buy | - | * | - |
Customer Sell | - | * | - |
Dealer to Dealer | - | * | - |
<= $1MM | - | * | - |
<= $10MM | - | * | - |
<= $100MM | - | * | - |
> $100MM | - | - | - |
NUMBER OF TRADES | - | 7 | - |
Customer Buy | - | * | - |
Customer Sell | - | * | - |
Dealer to Dealer | - | * | - |
<= $1MM | - | * | - |
<= $10MM | - | * | - |
<= $100MM | - | * | - |
> $100MM | - | - | - |