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 | * | 102.0 | 6.5 | 99.9 | 96.2 | ||
Weighted Avg. Price | 97.7 | * | 102.4 | 6.8 | 99.2 | 97.6 | ||
Avg. Price Bottom 5 Trades | 84.4 | * | 82.6 | 6.0 | 83.2 | 87.7 | ||
2nd Quartile Price | 94.5 | * | 100.5 | 6.4 | 99.8 | 95.1 | ||
3rd Quartile Price | 97.8 | * | 103.1 | 6.7 | 100.0 | 98.3 | ||
4th Quartile Price | 100.5 | * | 104.8 | 7.1 | 100.4 | 98.8 | ||
Avg. Price Top 5 Trades | 103.2 | * | 109.9 | 7.1 | 109.9 | 99.6 | ||
Standard Deviation | 5.6 | * | 5.4 | 0.8 | 3.4 | 5.1 | ||
VOLUME OF TRADES (000'S) | 114,639.5 | * | 638,260.8 | 264,825.1 | 1,727,427.7 | 256,334.4 | ||
Customer Buy | 68,936.2 | 0.0 | 317,698.5 | 238,208.4 | 619,879.3 | 138,084.4 | ||
Customer Sell | 31,733.5 | * | 311,962.2 | * | 893,050.4 | 71,650.0 | ||
Dealer to Dealer | * | * | * | 0.0 | 214,498.0 | * | ||
<= $1MM | 7,205.6 | * | 13,717.6 | * | 27,196.2 | * | ||
<= $10MM | 26,915.0 | 0.0 | 396,064.5 | * | 511,244.0 | 55,234.4 | ||
<= $100MM | 80,518.9 | 0.0 | 228,478.7 | 251,105.7 | 819,419.5 | 198,200.0 | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | * | 0.0 | ||
NUMBER OF TRADES | 48 | * | 151 | 10 | 257 | 24 | ||
Customer Buy | 25 | 0 | 83 | 6 | 116 | 13 | ||
Customer Sell | 20 | * | 65 | * | 112 | 8 | ||
Dealer to Dealer | * | * | * | 0 | 29 | * | ||
<= $1MM | 31 | * | 43 | * | 96 | * | ||
<= $10MM | 11 | 0 | 94 | * | 120 | 14 | ||
<= $100MM | 6 | 0 | 14 | 5 | 40 | 7 | ||
> $100MM | 0 | 0 | 0 | 0 | * | 0 | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 77.3 | * | 91.6 | * | 100.6 | 66.9 | ||
Weighted Avg. Price | 63.8 | * | 81.1 | * | 99.8 | 65.1 | ||
Avg. Price Bottom 5 Trades | 12.7 | * | 33.9 | * | 97.3 | 57.5 | ||
2nd Quartile Price | 63.5 | * | 88.5 | * | 98.8 | 61.8 | ||
3rd Quartile Price | 82.6 | * | 100.0 | * | 99.3 | 72.2 | ||
4th Quartile Price | 92.5 | * | 104.1 | * | 103.1 | 90.5 | ||
Avg. Price Top 5 Trades | 100.6 | * | 110.8 | * | 106.1 | 77.3 | ||
Standard Deviation | 18.7 | * | 21.6 | * | 3.6 | 21.2 | ||
VOLUME OF TRADES (000'S) | 1,530,159.5 | * | 448,519.6 | * | 31,625.7 | 36,400.0 | ||
Customer Buy | 912,170.1 | * | 296,875.6 | * | 24,510.7 | * | ||
Customer Sell | 587,901.6 | 0.0 | 145,119.2 | * | 3,621.9 | * | ||
Dealer to Dealer | 30,087.8 | 0.0 | 6,524.8 | 0.0 | * | 0.0 | ||
<= $1MM | 23,809.4 | * | 6,908.7 | 0.0 | 5,518.4 | 0.0 | ||
<= $10MM | 230,496.2 | 0.0 | 271,259.1 | 0.0 | 26,107.3 | 36,400.0 | ||
<= $100MM | 1,061,323.2 | 0.0 | 170,351.8 | 0.0 | 0.0 | 0.0 | ||
> $100MM | * | 0.0 | 0.0 | * | 0.0 | 0.0 | ||
NUMBER OF TRADES | 383 | * | 91 | * | 23 | 7 | ||
Customer Buy | 192 | * | 47 | * | 14 | * | ||
Customer Sell | 140 | 0 | 33 | * | 5 | * | ||
Dealer to Dealer | 51 | 0 | 11 | 0 | * | 0 | ||
<= $1MM | 283 | * | 28 | 0 | 12 | 0 | ||
<= $10MM | 52 | 0 | 54 | 0 | 11 | 7 | ||
<= $100MM | 46 | 0 | 9 | 0 | 0 | 0 | ||
> $100MM | * | 0 | 0 | * | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 95.6 | 95.8 | 99.1 |
Weighted Avg. Price | 98.0 | 95.1 | 99.2 |
Avg. Price Bottom 5 Trades | 87.0 | 90.2 | 96.3 |
2nd Quartile Price | 93.5 | 96.3 | 96.6 |
3rd Quartile Price | 97.5 | 98.5 | 100.5 |
4th Quartile Price | 100.0 | 99.8 | 103.1 |
Avg. Price Top 5 Trades | 100.9 | 99.3 | 102.2 |
Standard Deviation | 5.6 | 6.6 | 3.3 |
VOLUME OF TRADES (000'S) | 7,303.7 | 39,511.2 | 67,824.6 |
Customer Buy | 6,106.1 | 24,620.6 | 38,209.6 |
Customer Sell | 1,193.2 | 14,815.7 | * |
Dealer to Dealer | * | * | * |
<= $1MM | 3,496.6 | 1,447.1 | * |
<= $10MM | * | 13,476.1 | * |
<= $100MM | 0.0 | * | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 24 | 13 | 11 |
Customer Buy | 11 | 7 | 7 |
Customer Sell | 12 | 5 | * |
Dealer to Dealer | * | * | * |
<= $1MM | 23 | 5 | * |
<= $10MM | * | 6 | * |
<= $100MM | 0 | * | * |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 79.4 | 77.2 | 74.9 |
Weighted Avg. Price | 89.5 | 60.0 | 74.1 |
Avg. Price Bottom 5 Trades | 12.7 | 36.7 | 47.5 |
2nd Quartile Price | 77.0 | 63.4 | 62.0 |
3rd Quartile Price | 88.5 | 81.8 | 76.0 |
4th Quartile Price | 94.5 | 92.8 | 87.3 |
Avg. Price Top 5 Trades | 99.0 | 99.5 | 99.8 |
Standard Deviation | 23.1 | 17.6 | 15.9 |
VOLUME OF TRADES (000'S) | 48,364.0 | 1,166,041.0 | 315,754.5 |
Customer Buy | 21,736.1 | 660,921.1 | 229,512.9 |
Customer Sell | 18,741.5 | 485,430.3 | 83,729.7 |
Dealer to Dealer | 7,886.4 | 19,689.6 | 2,511.9 |
<= $1MM | 5,421.5 | 13,209.0 | 5,178.9 |
<= $10MM | 42,942.5 | 140,421.1 | 47,132.6 |
<= $100MM | 0.0 | 797,880.2 | 263,443.0 |
> $100MM | 0.0 | * | 0.0 |
NUMBER OF TRADES | 89 | 223 | 71 |
Customer Buy | 47 | 105 | 40 |
Customer Sell | 26 | 91 | 23 |
Dealer to Dealer | 16 | 27 | 8 |
<= $1MM | 79 | 159 | 45 |
<= $10MM | 10 | 29 | 13 |
<= $100MM | 0 | 33 | 13 |
> $100MM | 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 |
<= $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 | 0 |
Customer Sell | * | 0 | 0 |
Dealer to Dealer | * | 0 | 0 |
<= $1MM | * | 0 | 0 |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 |
Non-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 |