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 | 98.7 | * | 103.2 | 5.0 | 99.8 | 95.9 | ||
Weighted Avg. Price | 99.2 | * | 103.1 | 7.3 | 100.1 | 94.5 | ||
Avg. Price Bottom 5 Trades | 86.4 | * | 89.1 | 3.9 | 93.2 | 85.7 | ||
2nd Quartile Price | 97.5 | * | 101.4 | 0.2 | 99.3 | 94.4 | ||
3rd Quartile Price | 99.8 | * | 103.3 | 7.9 | 100.0 | 98.8 | ||
4th Quartile Price | 101.3 | * | 105.3 | 9.2 | 100.3 | 99.8 | ||
Avg. Price Top 5 Trades | 104.0 | * | 112.4 | 8.2 | 108.4 | 100.0 | ||
Standard Deviation | 4.1 | * | 3.9 | 4.2 | 2.2 | 6.2 | ||
VOLUME OF TRADES (000'S) | 429,484.9 | * | 749,206.9 | 299,277.8 | 854,757.5 | 252,740.0 | ||
Customer Buy | 225,741.4 | 0.0 | 356,651.3 | * | 489,379.1 | 107,175.0 | ||
Customer Sell | 199,191.8 | * | 342,816.1 | * | 323,628.0 | 125,885.0 | ||
Dealer to Dealer | 4,551.7 | 0.0 | 49,739.5 | * | 41,750.3 | 19,680.0 | ||
<= $1MM | 9,209.6 | 0.0 | 35,088.7 | * | 45,579.9 | 4,745.0 | ||
<= $10MM | 87,109.7 | 0.0 | 378,579.2 | * | 319,263.9 | 74,925.0 | ||
<= $100MM | 333,165.6 | * | 335,539.0 | 287,592.7 | 489,913.6 | 173,070.0 | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 143 | * | 213 | 10 | 282 | 29 | ||
Customer Buy | 56 | 0 | 88 | * | 113 | 14 | ||
Customer Sell | 51 | * | 83 | * | 123 | 9 | ||
Dealer to Dealer | 36 | 0 | 42 | * | 46 | 6 | ||
<= $1MM | 105 | 0 | 109 | * | 167 | 6 | ||
<= $10MM | 27 | 0 | 92 | * | 88 | 17 | ||
<= $100MM | 11 | * | 12 | 7 | 27 | 6 | ||
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 83.5 | 16.6 | 92.7 | 7.4 | 97.6 | 53.8 | ||
Weighted Avg. Price | 78.3 | 8.1 | 92.9 | 4.0 | 98.1 | 50.7 | ||
Avg. Price Bottom 5 Trades | 6.4 | 6.3 | 11.2 | 0.2 | 52.2 | 1.0 | ||
2nd Quartile Price | 79.6 | 9.5 | 98.8 | 0.4 | 99.2 | 14.9 | ||
3rd Quartile Price | 88.4 | 21.3 | 101.3 | 0.5 | 99.8 | 52.6 | ||
4th Quartile Price | 95.3 | 21.3 | 104.3 | 4.8 | 101.7 | 95.5 | ||
Avg. Price Top 5 Trades | 107.5 | 17.7 | 109.3 | 67.7 | 112.3 | 99.1 | ||
Standard Deviation | 17.9 | 7.4 | 24.0 | 18.7 | 13.5 | 37.3 | ||
VOLUME OF TRADES (000'S) | 1,314,553.1 | 81,158.8 | 635,220.4 | 2,011,478.1 | 114,389.9 | 124,585.4 | ||
Customer Buy | 737,840.2 | 44,225.7 | 306,583.7 | 849,026.0 | 57,317.0 | 61,018.7 | ||
Customer Sell | 545,279.9 | * | 281,527.3 | 1,148,031.4 | 47,483.7 | 63,566.7 | ||
Dealer to Dealer | 31,433.0 | * | 47,109.5 | * | 9,589.1 | 0.0 | ||
<= $1MM | 53,346.9 | 981.6 | 27,861.1 | 5,257.0 | 16,542.6 | 4,733.7 | ||
<= $10MM | 453,942.8 | * | 442,605.6 | 60,253.6 | 67,847.4 | 119,851.7 | ||
<= $100MM | 807,263.4 | * | 164,753.8 | 287,012.2 | * | 0.0 | ||
> $100MM | 0.0 | 0.0 | 0.0 | 1,658,955.3 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 766 | 16 | 175 | 63 | 80 | 34 | ||
Customer Buy | 355 | 13 | 67 | 40 | 28 | 16 | ||
Customer Sell | 270 | * | 85 | 22 | 23 | 18 | ||
Dealer to Dealer | 141 | * | 23 | * | 29 | 0 | ||
<= $1MM | 606 | 11 | 75 | 28 | 60 | 8 | ||
<= $10MM | 113 | * | 91 | 18 | 18 | 26 | ||
<= $100MM | 47 | * | 9 | 10 | * | 0 | ||
> $100MM | 0 | 0 | 0 | 7 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 97.9 | 99.9 | 99.4 |
Weighted Avg. Price | 96.2 | 97.6 | 99.6 |
Avg. Price Bottom 5 Trades | 89.5 | 94.8 | 96.2 |
2nd Quartile Price | 96.8 | 99.0 | 100.0 |
3rd Quartile Price | 99.1 | 99.8 | 100.3 |
4th Quartile Price | 100.6 | 102.5 | 102.0 |
Avg. Price Top 5 Trades | 103.3 | 103.1 | 102.6 |
Standard Deviation | 4.3 | 2.9 | 5.3 |
VOLUME OF TRADES (000'S) | 34,765.0 | 33,937.1 | 360,782.8 |
Customer Buy | 13,151.7 | 19,914.4 | 192,675.2 |
Customer Sell | 17,375.2 | 13,709.0 | 168,107.6 |
Dealer to Dealer | 4,238.1 | 313.6 | 0.0 |
<= $1MM | 7,152.9 | 1,682.4 | * |
<= $10MM | 27,612.1 | 20,560.8 | 38,936.8 |
<= $100MM | 0.0 | * | 321,471.7 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 83 | 44 | 16 |
Customer Buy | 27 | 18 | 11 |
Customer Sell | 31 | 15 | 5 |
Dealer to Dealer | 25 | 11 | 0 |
<= $1MM | 68 | 36 | * |
<= $10MM | 15 | 7 | 5 |
<= $100MM | 0 | * | 10 |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 86.9 | 82.1 | 79.1 |
Weighted Avg. Price | 85.5 | 78.6 | 71.5 |
Avg. Price Bottom 5 Trades | 16.3 | 6.4 | 24.5 |
2nd Quartile Price | 85.1 | 75.0 | 72.9 |
3rd Quartile Price | 90.9 | 86.7 | 84.0 |
4th Quartile Price | 99.3 | 93.4 | 89.8 |
Avg. Price Top 5 Trades | 107.5 | 102.0 | 99.5 |
Standard Deviation | 17.8 | 17.4 | 18.1 |
VOLUME OF TRADES (000'S) | 182,441.7 | 891,589.7 | 240,521.7 |
Customer Buy | 99,739.5 | 527,779.1 | 110,321.7 |
Customer Sell | 72,808.3 | 343,791.8 | 128,679.8 |
Dealer to Dealer | 9,893.9 | 20,018.9 | 1,520.2 |
<= $1MM | 24,443.4 | 21,848.3 | 7,055.2 |
<= $10MM | 87,899.9 | 272,304.4 | 93,738.5 |
<= $100MM | * | 597,437.0 | 139,728.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 289 | 379 | 98 |
Customer Buy | 160 | 147 | 48 |
Customer Sell | 86 | 157 | 27 |
Dealer to Dealer | 43 | 75 | 23 |
<= $1MM | 256 | 278 | 72 |
<= $10MM | 29 | 67 | 17 |
<= $100MM | * | 34 | 9 |
> $100MM | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 0.0 | 0.0 | * |
Weighted Avg. Price | 0.0 | 0.0 | * |
Avg. Price Bottom 5 Trades | 0.0 | 0.0 | * |
2nd Quartile Price | 0.0 | 0.0 | * |
3rd Quartile Price | 0.0 | 0.0 | * |
4th Quartile Price | 0.0 | 0.0 | * |
Avg. Price Top 5 Trades | 0.0 | 0.0 | * |
Standard Deviation | 0.0 | 0.0 | * |
VOLUME OF TRADES (000'S) | 0.0 | 0.0 | * |
Customer Buy | 0.0 | 0.0 | 0.0 |
Customer Sell | 0.0 | 0.0 | * |
Dealer to Dealer | 0.0 | 0.0 | 0.0 |
<= $1MM | 0.0 | 0.0 | 0.0 |
<= $10MM | 0.0 | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 0 | 0 | * |
Customer Buy | 0 | 0 | 0 |
Customer Sell | 0 | 0 | * |
Dealer to Dealer | 0 | 0 | 0 |
<= $1MM | 0 | 0 | 0 |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | * |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | * | 19.5 | * |
Weighted Avg. Price | * | 9.7 | * |
Avg. Price Bottom 5 Trades | * | 19.5 | * |
2nd Quartile Price | * | * | * |
3rd Quartile Price | * | * | * |
4th Quartile Price | * | * | * |
Avg. Price Top 5 Trades | * | 19.5 | * |
Standard Deviation | * | 4.4 | * |
VOLUME OF TRADES (000'S) | * | 56,454.9 | * |
Customer Buy | * | 28,227.5 | * |
Customer Sell | 0.0 | * | * |
Dealer to Dealer | 0.0 | * | 0.0 |
<= $1MM | 0.0 | 981.6 | 0.0 |
<= $10MM | * | 0.0 | * |
<= $100MM | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 13 | * |
Customer Buy | * | 11 | * |
Customer Sell | 0 | * | * |
Dealer to Dealer | 0 | * | 0 |
<= $1MM | 0 | 11 | 0 |
<= $10MM | * | 0 | * |
<= $100MM | 0 | * | 0 |
> $100MM | 0 | 0 | 0 |