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 | 98.4 | * | 104.2 | * | 100.3 | 99.3 | ||
Weighted Avg. Price | 99.2 | * | 104.2 | * | 100.0 | 99.5 | ||
Avg. Price Bottom 5 Trades | 76.8 | * | 93.5 | * | 92.6 | 97.7 | ||
2nd Quartile Price | 98.3 | * | 102.1 | * | 100.0 | 98.6 | ||
3rd Quartile Price | 100.0 | * | 103.8 | * | 100.1 | 99.5 | ||
4th Quartile Price | 101.0 | * | 106.2 | * | 100.3 | 100.1 | ||
Avg. Price Top 5 Trades | 108.5 | * | 112.5 | * | 109.9 | 100.6 | ||
Standard Deviation | 6.2 | * | 3.3 | * | 2.1 | 1.0 | ||
VOLUME OF TRADES (000'S) | 135,896.7 | * | 1,539,850.1 | * | 1,151,701.9 | 355,075.6 | ||
Customer Buy | 96,138.6 | * | 717,349.6 | * | 525,561.3 | 147,250.0 | ||
Customer Sell | 35,855.7 | 0.0 | 756,195.7 | 0.0 | 459,395.7 | 138,021.3 | ||
Dealer to Dealer | 3,902.4 | 0.0 | 66,304.8 | 0.0 | 166,744.9 | 69,804.4 | ||
<= $1MM | 8,336.1 | * | 45,182.2 | 0.0 | 57,245.3 | 4,704.4 | ||
<= $10MM | 66,804.6 | 0.0 | 506,974.4 | 0.0 | 460,995.7 | 141,261.3 | ||
<= $100MM | * | 0.0 | 987,693.4 | * | 633,460.9 | 209,110.0 | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 140 | * | 288 | * | 289 | 36 | ||
Customer Buy | 70 | * | 126 | * | 158 | 14 | ||
Customer Sell | 38 | 0 | 139 | 0 | 107 | 11 | ||
Dealer to Dealer | 32 | 0 | 23 | 0 | 24 | 11 | ||
<= $1MM | 116 | * | 145 | 0 | 143 | 8 | ||
<= $10MM | 20 | 0 | 109 | 0 | 119 | 23 | ||
<= $100MM | * | 0 | 34 | * | 27 | 5 | ||
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 86.3 | 6.9 | 100.9 | 13.7 | 91.4 | 77.2 | ||
Weighted Avg. Price | 71.4 | 12.0 | 99.1 | 5.7 | 95.7 | 62.6 | ||
Avg. Price Bottom 5 Trades | 0.4 | 0.2 | 72.4 | 0.3 | 38.4 | 16.8 | ||
2nd Quartile Price | 82.5 | 0.9 | 99.6 | 1.0 | 90.3 | 85.8 | ||
3rd Quartile Price | 90.8 | 7.7 | 101.8 | 4.7 | 99.8 | 91.6 | ||
4th Quartile Price | 97.2 | 12.3 | 105.2 | 6.2 | 102.0 | 97.4 | ||
Avg. Price Top 5 Trades | 108.8 | 17.3 | 111.5 | 53.0 | 109.8 | 99.1 | ||
Standard Deviation | 18.6 | 6.8 | 9.2 | 28.3 | 20.4 | 29.5 | ||
VOLUME OF TRADES (000'S) | 778,182.6 | 302,974.0 | 496,632.0 | 2,157,668.4 | 375,637.1 | 294,740.3 | ||
Customer Buy | 412,194.0 | 116,330.4 | 273,385.5 | 1,055,879.2 | 177,003.0 | 130,324.6 | ||
Customer Sell | 270,300.3 | 163,615.0 | 212,531.5 | 1,098,873.1 | 106,476.9 | 153,793.4 | ||
Dealer to Dealer | 95,688.2 | 23,028.6 | 10,715.0 | * | 92,157.2 | * | ||
<= $1MM | 64,227.3 | 1,718.8 | 18,398.9 | * | 12,580.4 | 3,276.4 | ||
<= $10MM | 337,685.4 | 21,467.0 | 169,885.7 | 62,408.1 | 130,953.8 | 128,633.0 | ||
<= $100MM | 376,269.9 | 279,788.2 | 308,347.4 | 356,204.0 | 232,102.9 | * | ||
> $100MM | 0.0 | 0.0 | 0.0 | 1,738,168.5 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 952 | 26 | 121 | 33 | 74 | 38 | ||
Customer Buy | 529 | 12 | 53 | 17 | 30 | 17 | ||
Customer Sell | 259 | 8 | 54 | 14 | 26 | 17 | ||
Dealer to Dealer | 164 | 6 | 14 | * | 18 | * | ||
<= $1MM | 843 | 12 | 58 | * | 34 | 6 | ||
<= $10MM | 90 | 6 | 50 | 14 | 26 | 28 | ||
<= $100MM | 19 | 8 | 13 | 10 | 14 | * | ||
> $100MM | 0 | 0 | 0 | 6 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 98.3 | 98.2 | 100.2 |
Weighted Avg. Price | 99.6 | 95.5 | 100.4 |
Avg. Price Bottom 5 Trades | 76.8 | 88.8 | 99.2 |
2nd Quartile Price | 98.5 | 97.6 | 99.4 |
3rd Quartile Price | 100.2 | 99.8 | 100.7 |
4th Quartile Price | 100.8 | 101.3 | 103.1 |
Avg. Price Top 5 Trades | 108.5 | 103.2 | 101.2 |
Standard Deviation | 6.8 | 5.0 | 2.2 |
VOLUME OF TRADES (000'S) | 44,711.9 | 25,535.4 | 65,649.5 |
Customer Buy | 35,137.7 | 15,809.6 | 45,191.3 |
Customer Sell | 6,323.3 | 9,074.2 | * |
Dealer to Dealer | 3,250.8 | 651.6 | 0.0 |
<= $1MM | 5,709.3 | 2,626.8 | 0.0 |
<= $10MM | 19,786.1 | 22,908.5 | * |
<= $100MM | * | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 95 | 38 | 7 |
Customer Buy | 46 | 19 | 5 |
Customer Sell | 25 | 11 | * |
Dealer to Dealer | 24 | 8 | 0 |
<= $1MM | 85 | 31 | 0 |
<= $10MM | 9 | 7 | * |
<= $100MM | * | 0 | * |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 89.0 | 86.1 | 80.3 |
Weighted Avg. Price | 89.4 | 66.7 | 69.4 |
Avg. Price Bottom 5 Trades | 5.7 | 0.4 | 8.2 |
2nd Quartile Price | 84.8 | 83.2 | 77.4 |
3rd Quartile Price | 96.6 | 89.0 | 88.0 |
4th Quartile Price | 100.5 | 95.0 | 95.8 |
Avg. Price Top 5 Trades | 108.8 | 101.6 | 100.4 |
Standard Deviation | 20.9 | 15.2 | 22.9 |
VOLUME OF TRADES (000'S) | 137,906.5 | 443,214.4 | 197,061.6 |
Customer Buy | 47,609.8 | 281,695.6 | 82,888.6 |
Customer Sell | 80,580.4 | 109,757.8 | 79,962.1 |
Dealer to Dealer | 9,716.3 | 51,761.0 | 34,210.9 |
<= $1MM | 30,759.7 | 23,783.9 | 9,683.7 |
<= $10MM | 107,146.8 | 160,264.3 | 70,274.3 |
<= $100MM | 0.0 | 259,166.2 | 117,103.7 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 326 | 501 | 125 |
Customer Buy | 158 | 287 | 84 |
Customer Sell | 109 | 119 | 31 |
Dealer to Dealer | 59 | 95 | 10 |
<= $1MM | 290 | 449 | 104 |
<= $10MM | 36 | 40 | 14 |
<= $100MM | 0 | 12 | 7 |
> $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 |
Customer Sell | 0.0 | 0.0 | 0.0 |
Dealer to Dealer | 0.0 | 0.0 | 0.0 |
<= $1MM | 0.0 | * | 0.0 |
<= $10MM | 0.0 | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 0 | * | 0 |
Customer Buy | 0 | * | 0 |
Customer Sell | 0 | 0 | 0 |
Dealer to Dealer | 0 | 0 | 0 |
<= $1MM | 0 | * | 0 |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 4.1 | 11.6 | 7.0 |
Weighted Avg. Price | 10.4 | 12.4 | 10.9 |
Avg. Price Bottom 5 Trades | 0.2 | 8.6 | 5.1 |
2nd Quartile Price | 0.1 | 9.1 | 3.4 |
3rd Quartile Price | 0.9 | 12.4 | 3.6 |
4th Quartile Price | 11.6 | 19.0 | 18.4 |
Avg. Price Top 5 Trades | 6.2 | 14.3 | 9.4 |
Standard Deviation | 5.5 | 6.2 | 7.7 |
VOLUME OF TRADES (000'S) | 8,313.7 | 222,867.0 | 71,793.3 |
Customer Buy | 3,950.3 | * | * |
Customer Sell | * | * | * |
Dealer to Dealer | * | 0.0 | * |
<= $1MM | 1,280.3 | * | * |
<= $10MM | * | 0.0 | * |
<= $100MM | 0.0 | 222,595.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 12 | 7 | 7 |
Customer Buy | 5 | * | * |
Customer Sell | * | * | * |
Dealer to Dealer | * | 0 | * |
<= $1MM | 9 | * | * |
<= $10MM | * | 0 | * |
<= $100MM | 0 | 5 | * |
> $100MM | 0 | 0 | 0 |