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 | 98.1 | 0.0 | 103.2 | 5.2 | 99.6 | 99.2 | ||
Weighted Avg. Price | 100.5 | 0.0 | 103.8 | 5.3 | 98.8 | 99.5 | ||
Avg. Price Bottom 5 Trades | 83.5 | 0.0 | 81.9 | 4.4 | 83.8 | 95.3 | ||
2nd Quartile Price | 95.9 | 0.0 | 100.4 | 4.5 | 99.9 | 99.5 | ||
3rd Quartile Price | 99.5 | 0.0 | 102.4 | 6.0 | 100.1 | 100.1 | ||
4th Quartile Price | 100.5 | 0.0 | 106.7 | 6.5 | 100.4 | 100.2 | ||
Avg. Price Top 5 Trades | 103.7 | 0.0 | 114.3 | 6.2 | 104.9 | 100.5 | ||
Standard Deviation | 4.2 | 0.0 | 5.1 | 1.2 | 2.9 | 2.1 | ||
VOLUME OF TRADES (000'S) | 210,943.6 | 0.0 | 520,540.4 | 230,858.0 | 1,168,840.8 | 176,745.0 | ||
Customer Buy | 82,170.1 | 0.0 | 264,511.0 | * | 481,024.6 | 61,110.0 | ||
Customer Sell | 122,749.7 | 0.0 | 204,598.5 | 204,965.6 | 559,923.3 | 75,260.0 | ||
Dealer to Dealer | 6,023.8 | 0.0 | 51,430.8 | 0.0 | 127,892.9 | 40,375.0 | ||
<= $1MM | 10,813.7 | 0.0 | 41,352.7 | * | 65,014.9 | 12,525.0 | ||
<= $10MM | 120,951.1 | 0.0 | 344,076.2 | * | 582,944.5 | 141,820.0 | ||
<= $100MM | 79,178.8 | 0.0 | 135,111.5 | 226,804.5 | 520,881.3 | * | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 122 | 0 | 209 | 9 | 402 | 51 | ||
Customer Buy | 46 | 0 | 88 | * | 151 | 11 | ||
Customer Sell | 52 | 0 | 101 | 7 | 216 | 26 | ||
Dealer to Dealer | 24 | 0 | 20 | 0 | 35 | 14 | ||
<= $1MM | 84 | 0 | 100 | * | 203 | 23 | ||
<= $10MM | 32 | 0 | 100 | * | 179 | 26 | ||
<= $100MM | 6 | 0 | 9 | 7 | 20 | * | ||
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 82.7 | 47.0 | 94.8 | 2.3 | 88.7 | 68.5 | ||
Weighted Avg. Price | 74.2 | 29.7 | 85.2 | 2.3 | 76.0 | 58.5 | ||
Avg. Price Bottom 5 Trades | 5.7 | 13.0 | 6.3 | 2.3 | 11.0 | 19.9 | ||
2nd Quartile Price | 78.6 | 27.2 | 97.0 | * | 84.1 | 55.8 | ||
3rd Quartile Price | 87.5 | 61.5 | 99.9 | * | 100.1 | 77.5 | ||
4th Quartile Price | 93.3 | 77.9 | 100.6 | * | 103.3 | 92.8 | ||
Avg. Price Top 5 Trades | 107.5 | 76.1 | 110.3 | 2.3 | 107.6 | 98.2 | ||
Standard Deviation | 18.1 | 31.8 | 18.4 | 2.9 | 27.8 | 29.2 | ||
VOLUME OF TRADES (000'S) | 1,444,945.7 | 32,328.2 | 864,557.5 | 347,347.5 | 182,243.1 | 97,527.3 | ||
Customer Buy | 611,694.2 | 16,906.8 | 394,028.8 | 71,175.5 | 47,823.1 | 48,252.3 | ||
Customer Sell | 781,698.7 | * | 380,365.1 | * | 128,020.8 | 49,275.0 | ||
Dealer to Dealer | 51,552.9 | * | 90,163.7 | 0.0 | 6,399.2 | 0.0 | ||
<= $1MM | 35,855.7 | 3,144.3 | 18,969.4 | * | 14,241.7 | * | ||
<= $10MM | 608,977.6 | 0.0 | 418,085.8 | 10,296.0 | 149,151.8 | 96,877.3 | ||
<= $100MM | 800,112.3 | * | 427,502.3 | * | * | 0.0 | ||
> $100MM | 0.0 | 0.0 | 0.0 | * | 0.0 | 0.0 | ||
NUMBER OF TRADES | 621 | 12 | 225 | 11 | 75 | 27 | ||
Customer Buy | 287 | 8 | 128 | 9 | 27 | 13 | ||
Customer Sell | 235 | * | 69 | * | 43 | 14 | ||
Dealer to Dealer | 99 | * | 28 | 0 | 5 | 0 | ||
<= $1MM | 446 | 10 | 118 | * | 28 | * | ||
<= $10MM | 133 | 0 | 86 | 7 | 46 | 25 | ||
<= $100MM | 42 | * | 21 | * | * | 0 | ||
> $100MM | 0 | 0 | 0 | * | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 96.4 | 97.9 | 100.6 |
Weighted Avg. Price | 98.7 | 96.4 | 101.2 |
Avg. Price Bottom 5 Trades | 85.2 | 92.7 | 97.1 |
2nd Quartile Price | 95.3 | 95.6 | 99.4 |
3rd Quartile Price | 98.5 | 99.5 | 101.5 |
4th Quartile Price | 99.8 | 100.1 | 102.3 |
Avg. Price Top 5 Trades | 100.6 | 100.9 | 103.5 |
Standard Deviation | 5.0 | 3.1 | 2.5 |
VOLUME OF TRADES (000'S) | 8,047.3 | 25,071.7 | 177,824.6 |
Customer Buy | 6,031.0 | 11,708.2 | 64,430.8 |
Customer Sell | 1,358.2 | 10,407.7 | 110,983.7 |
Dealer to Dealer | 658.1 | 2,955.7 | * |
<= $1MM | 3,333.0 | 4,022.1 | 3,458.5 |
<= $10MM | * | 21,049.6 | 95,187.2 |
<= $100MM | 0.0 | 0.0 | 79,178.8 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 49 | 39 | 34 |
Customer Buy | 18 | 13 | 15 |
Customer Sell | 18 | 16 | 18 |
Dealer to Dealer | 13 | 10 | * |
<= $1MM | 47 | 29 | 8 |
<= $10MM | * | 10 | 20 |
<= $100MM | 0 | 0 | 6 |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 90.2 | 80.6 | 82.0 |
Weighted Avg. Price | 85.0 | 73.2 | 78.0 |
Avg. Price Bottom 5 Trades | 51.4 | 8.1 | 49.5 |
2nd Quartile Price | 87.4 | 76.5 | 76.0 |
3rd Quartile Price | 93.0 | 86.6 | 86.5 |
4th Quartile Price | 96.0 | 92.0 | 89.8 |
Avg. Price Top 5 Trades | 103.1 | 106.9 | 96.4 |
Standard Deviation | 11.8 | 19.9 | 12.6 |
VOLUME OF TRADES (000'S) | 33,125.4 | 1,194,516.5 | 217,303.8 |
Customer Buy | 14,937.7 | 492,031.8 | 104,724.7 |
Customer Sell | 15,707.4 | 656,314.0 | 109,677.2 |
Dealer to Dealer | 2,480.3 | 46,170.7 | 2,901.9 |
<= $1MM | 12,765.1 | 18,457.0 | 4,633.7 |
<= $10MM | 20,360.3 | 506,559.8 | 82,057.6 |
<= $100MM | 0.0 | 669,499.7 | 130,612.6 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 127 | 417 | 77 |
Customer Buy | 66 | 174 | 47 |
Customer Sell | 41 | 173 | 21 |
Dealer to Dealer | 20 | 70 | 9 |
<= $1MM | 118 | 277 | 51 |
<= $10MM | 9 | 106 | 18 |
<= $100MM | 0 | 34 | 8 |
> $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 | * | 59.0 | * |
Weighted Avg. Price | * | 29.1 | * |
Avg. Price Bottom 5 Trades | * | 55.1 | * |
2nd Quartile Price | * | 66.0 | * |
3rd Quartile Price | * | 77.9 | * |
4th Quartile Price | * | 78.9 | * |
Avg. Price Top 5 Trades | * | 65.4 | * |
Standard Deviation | * | 25.0 | * |
VOLUME OF TRADES (000'S) | * | 30,424.0 | * |
Customer Buy | * | * | * |
Customer Sell | 0.0 | * | 0.0 |
Dealer to Dealer | * | * | 0.0 |
<= $1MM | * | * | * |
<= $10MM | 0.0 | 0.0 | 0.0 |
<= $100MM | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 6 | * |
Customer Buy | * | * | * |
Customer Sell | 0 | * | 0 |
Dealer to Dealer | * | * | 0 |
<= $1MM | * | * | * |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | * | 0 |
> $100MM | 0 | 0 | 0 |