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 | 96.4 | 0.0 | 103.9 | 0.0 | 100.4 | 99.7 | ||
Weighted Avg. Price | 96.9 | 0.0 | 103.1 | 0.0 | 100.7 | 99.7 | ||
Avg. Price Bottom 5 Trades | 85.3 | 0.0 | 99.9 | 0.0 | 97.8 | 99.4 | ||
2nd Quartile Price | 93.0 | 0.0 | 101.4 | 0.0 | 99.9 | 99.8 | ||
3rd Quartile Price | 98.8 | 0.0 | 104.0 | 0.0 | 100.0 | 99.9 | ||
4th Quartile Price | 102.2 | 0.0 | 106.4 | 0.0 | 100.3 | 100.0 | ||
Avg. Price Top 5 Trades | 103.2 | 0.0 | 109.5 | 0.0 | 105.9 | 100.0 | ||
Standard Deviation | 6.6 | 0.0 | 2.9 | 0.0 | 1.7 | 0.6 | ||
VOLUME OF TRADES (000'S) | 2,140.3 | 0.0 | 162,154.7 | 0.0 | 282,070.0 | 16,175.0 | ||
Customer Buy | 1,330.2 | 0.0 | 105,443.5 | 0.0 | 144,502.6 | 6,705.0 | ||
Customer Sell | 385.0 | 0.0 | 51,511.4 | 0.0 | 103,839.5 | * | ||
Dealer to Dealer | 425.1 | 0.0 | 5,199.8 | 0.0 | 33,727.8 | 0.0 | ||
<= $1MM | 2,140.3 | 0.0 | 22,250.7 | 0.0 | 14,783.0 | * | ||
<= $10MM | 0.0 | 0.0 | 77,029.7 | 0.0 | 212,365.0 | 14,670.0 | ||
<= $100MM | 0.0 | 0.0 | * | 0.0 | * | 0.0 | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 38 | 0 | 105 | 0 | 121 | 8 | ||
Customer Buy | 21 | 0 | 48 | 0 | 66 | 5 | ||
Customer Sell | 7 | 0 | 31 | 0 | 40 | * | ||
Dealer to Dealer | 10 | 0 | 26 | 0 | 15 | 0 | ||
<= $1MM | 38 | 0 | 79 | 0 | 67 | * | ||
<= $10MM | 0 | 0 | 22 | 0 | 50 | 5 | ||
<= $100MM | 0 | 0 | * | 0 | * | 0 | ||
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 88.6 | 0.0 | 99.7 | * | 103.0 | * | ||
Weighted Avg. Price | 78.5 | 0.0 | 100.5 | * | 101.4 | * | ||
Avg. Price Bottom 5 Trades | 29.4 | 0.0 | 79.1 | * | 100.1 | * | ||
2nd Quartile Price | 84.5 | 0.0 | 97.5 | * | 100.7 | * | ||
3rd Quartile Price | 93.2 | 0.0 | 102.2 | * | 102.0 | * | ||
4th Quartile Price | 97.0 | 0.0 | 105.6 | * | 107.0 | * | ||
Avg. Price Top 5 Trades | 102.7 | 0.0 | 110.3 | * | 107.7 | * | ||
Standard Deviation | 14.8 | 0.0 | 10.0 | * | 3.8 | * | ||
VOLUME OF TRADES (000'S) | 229,634.1 | 0.0 | 181,753.8 | * | 26,633.6 | * | ||
Customer Buy | 103,845.9 | 0.0 | 97,170.5 | 0.0 | 14,115.6 | * | ||
Customer Sell | 90,536.9 | 0.0 | 70,053.5 | * | 7,163.5 | * | ||
Dealer to Dealer | 35,251.3 | 0.0 | * | 0.0 | * | 0.0 | ||
<= $1MM | 10,630.5 | 0.0 | 7,566.8 | 0.0 | 6,876.0 | * | ||
<= $10MM | 109,697.4 | 0.0 | 110,053.3 | 0.0 | * | * | ||
<= $100MM | 109,306.3 | 0.0 | * | * | 0.0 | 0.0 | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 234 | 0 | 46 | * | 17 | * | ||
Customer Buy | 128 | 0 | 27 | 0 | 7 | * | ||
Customer Sell | 57 | 0 | 15 | * | 7 | * | ||
Dealer to Dealer | 49 | 0 | * | 0 | * | 0 | ||
<= $1MM | 205 | 0 | 22 | 0 | 13 | * | ||
<= $10MM | 22 | 0 | 20 | 0 | * | * | ||
<= $100MM | 7 | 0 | * | * | 0 | 0 | ||
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 95.7 | 99.4 | * |
Weighted Avg. Price | 98.1 | 94.7 | * |
Avg. Price Bottom 5 Trades | 85.9 | 97.2 | * |
2nd Quartile Price | 89.5 | 98.8 | * |
3rd Quartile Price | 98.6 | 102.2 | * |
4th Quartile Price | 100.3 | 103.0 | * |
Avg. Price Top 5 Trades | 102.7 | 101.6 | * |
Standard Deviation | 6.9 | 3.9 | * |
VOLUME OF TRADES (000'S) | 1,236.0 | 715.7 | * |
Customer Buy | 1,100.4 | 56.3 | * |
Customer Sell | 57.6 | * | 0.0 |
Dealer to Dealer | 78.0 | * | * |
<= $1MM | 1,236.0 | 715.7 | * |
<= $10MM | 0.0 | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 24 | 10 | * |
Customer Buy | 13 | 5 | * |
Customer Sell | 5 | * | 0 |
Dealer to Dealer | 6 | * | * |
<= $1MM | 24 | 10 | * |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 88.2 | 89.0 | 87.0 |
Weighted Avg. Price | 90.8 | 69.2 | 91.2 |
Avg. Price Bottom 5 Trades | 50.3 | 28.5 | 69.3 |
2nd Quartile Price | 88.3 | 85.8 | 83.6 |
3rd Quartile Price | 95.5 | 92.8 | 92.8 |
4th Quartile Price | 99.8 | 96.5 | 95.5 |
Avg. Price Top 5 Trades | 102.4 | 101.5 | 98.1 |
Standard Deviation | 19.1 | 14.3 | 10.6 |
VOLUME OF TRADES (000'S) | 20,056.5 | 132,364.2 | 77,213.4 |
Customer Buy | 6,610.0 | 55,513.6 | 41,722.2 |
Customer Sell | 13,170.6 | 51,246.5 | 26,119.8 |
Dealer to Dealer | 275.9 | 25,604.1 | 9,371.3 |
<= $1MM | 1,611.9 | 6,187.3 | 2,831.2 |
<= $10MM | * | 67,761.7 | * |
<= $100MM | 0.0 | * | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 43 | 156 | 35 |
Customer Buy | 17 | 94 | 17 |
Customer Sell | 13 | 33 | 11 |
Dealer to Dealer | 13 | 29 | 7 |
<= $1MM | 40 | 137 | 28 |
<= $10MM | * | 15 | * |
<= $100MM | 0 | * | * |
> $100MM | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 0.0 | 0.0 | 0.0 |
Weighted Avg. Price | 0.0 | 0.0 | 0.0 |
Avg. Price Bottom 5 Trades | 0.0 | 0.0 | 0.0 |
2nd Quartile Price | 0.0 | 0.0 | 0.0 |
3rd Quartile Price | 0.0 | 0.0 | 0.0 |
4th Quartile Price | 0.0 | 0.0 | 0.0 |
Avg. Price Top 5 Trades | 0.0 | 0.0 | 0.0 |
Standard Deviation | 0.0 | 0.0 | 0.0 |
VOLUME OF TRADES (000'S) | 0.0 | 0.0 | 0.0 |
Customer Buy | 0.0 | 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 | 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 | 0 |
Customer Buy | 0 | 0 | 0 |
Customer Sell | 0 | 0 | 0 |
Dealer to Dealer | 0 | 0 | 0 |
<= $1MM | 0 | 0 | 0 |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 0.0 | 0.0 | 0.0 |
Weighted Avg. Price | 0.0 | 0.0 | 0.0 |
Avg. Price Bottom 5 Trades | 0.0 | 0.0 | 0.0 |
2nd Quartile Price | 0.0 | 0.0 | 0.0 |
3rd Quartile Price | 0.0 | 0.0 | 0.0 |
4th Quartile Price | 0.0 | 0.0 | 0.0 |
Avg. Price Top 5 Trades | 0.0 | 0.0 | 0.0 |
Standard Deviation | 0.0 | 0.0 | 0.0 |
VOLUME OF TRADES (000'S) | 0.0 | 0.0 | 0.0 |
Customer Buy | 0.0 | 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 | 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 | 0 |
Customer Buy | 0 | 0 | 0 |
Customer Sell | 0 | 0 | 0 |
Dealer to Dealer | 0 | 0 | 0 |
<= $1MM | 0 | 0 | 0 |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 |