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 | 99.9 | * | 101.9 | 5.5 | 99.8 | 99.9 | ||
Weighted Avg. Price | 98.5 | * | 102.6 | 4.6 | 100.1 | 99.8 | ||
Avg. Price Bottom 5 Trades | 93.3 | * | 76.1 | 2.0 | 96.6 | 99.1 | ||
2nd Quartile Price | 99.5 | * | 100.7 | 4.4 | 99.5 | 100.0 | ||
3rd Quartile Price | 100.3 | * | 102.4 | 5.5 | 100.0 | 100.1 | ||
4th Quartile Price | 101.1 | * | 104.5 | 6.5 | 100.2 | 100.6 | ||
Avg. Price Top 5 Trades | 103.8 | * | 107.7 | 10.0 | 104.9 | 100.7 | ||
Standard Deviation | 2.4 | * | 5.0 | 2.2 | 1.1 | 1.2 | ||
VOLUME OF TRADES (000'S) | 57,699.7 | * | 652,484.8 | 1,033,010.6 | 789,766.7 | 68,792.2 | ||
Customer Buy | 34,611.8 | * | 289,241.6 | 558,517.6 | 434,355.6 | 12,476.4 | ||
Customer Sell | 22,574.6 | * | 190,509.2 | 434,076.9 | 299,633.4 | 46,315.8 | ||
Dealer to Dealer | 513.3 | 0.0 | 172,734.0 | * | 55,777.7 | * | ||
<= $1MM | 6,248.2 | 0.0 | 37,502.2 | * | 78,847.7 | 3,476.4 | ||
<= $10MM | 32,672.5 | 0.0 | 361,122.1 | 49,389.7 | 456,397.1 | 45,505.8 | ||
<= $100MM | * | * | 253,860.5 | 732,121.8 | 254,522.0 | * | ||
> $100MM | 0.0 | 0.0 | 0.0 | * | 0.0 | 0.0 | ||
NUMBER OF TRADES | 107 | * | 211 | 42 | 405 | 14 | ||
Customer Buy | 33 | * | 95 | 10 | 174 | 6 | ||
Customer Sell | 46 | * | 84 | 30 | 170 | 6 | ||
Dealer to Dealer | 28 | 0 | 32 | * | 61 | * | ||
<= $1MM | 100 | 0 | 108 | * | 259 | 5 | ||
<= $10MM | 6 | 0 | 91 | 14 | 133 | 8 | ||
<= $100MM | * | * | 12 | 23 | 13 | * | ||
> $100MM | 0 | 0 | 0 | * | 0 | 0 | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 147.9 | 46.1 | 95.1 | 7.5 | 89.1 | 92.9 | ||
Weighted Avg. Price | 111.2 | 7.5 | 97.4 | 5.9 | 99.8 | 89.0 | ||
Avg. Price Bottom 5 Trades | 29.3 | 9.2 | 74.2 | 2.3 | 59.3 | 59.9 | ||
2nd Quartile Price | 84.5 | 16.5 | 87.5 | 5.0 | 82.0 | 94.0 | ||
3rd Quartile Price | 91.3 | 70.0 | 99.9 | 6.2 | 82.0 | 99.5 | ||
4th Quartile Price | 99.0 | 77.0 | 102.5 | 6.8 | 100.4 | 100.2 | ||
Avg. Price Top 5 Trades | 3,935.8 | 80.9 | 107.7 | 29.1 | 105.7 | 100.6 | ||
Standard Deviation | 719.5 | 35.4 | 9.0 | 12.2 | 12.4 | 13.3 | ||
VOLUME OF TRADES (000'S) | 646,410.1 | 32,018.1 | 522,895.9 | 1,328,271.9 | 107,805.2 | 120,730.4 | ||
Customer Buy | 258,157.6 | 29,448.7 | 354,457.6 | 491,861.7 | 46,573.2 | 69,115.2 | ||
Customer Sell | 358,869.7 | 1,137.8 | 112,686.6 | 776,198.3 | 35,483.8 | 45,955.2 | ||
Dealer to Dealer | 29,382.9 | * | 55,751.7 | 60,211.9 | 25,748.1 | * | ||
<= $1MM | 18,854.2 | 3,063.7 | 23,982.7 | 8,771.6 | 11,341.2 | 10,320.0 | ||
<= $10MM | 217,281.5 | * | 236,133.0 | 47,754.1 | 63,238.9 | 100,210.4 | ||
<= $100MM | 410,274.4 | * | 155,158.3 | 670,176.8 | * | * | ||
> $100MM | 0.0 | 0.0 | * | 601,569.4 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 388 | 15 | 188 | 61 | 105 | 42 | ||
Customer Buy | 135 | 7 | 107 | 18 | 66 | 21 | ||
Customer Sell | 181 | 5 | 49 | 30 | 31 | 19 | ||
Dealer to Dealer | 72 | * | 32 | 13 | 8 | * | ||
<= $1MM | 302 | 13 | 132 | 14 | 85 | 13 | ||
<= $10MM | 59 | * | 50 | 21 | 17 | 28 | ||
<= $100MM | 27 | * | 5 | 21 | * | * | ||
> $100MM | 0 | 0 | * | 5 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 99.5 | 100.6 | * |
Weighted Avg. Price | 99.0 | 100.0 | * |
Avg. Price Bottom 5 Trades | 93.3 | 99.1 | * |
2nd Quartile Price | 98.6 | 100.2 | * |
3rd Quartile Price | 100.0 | 100.8 | * |
4th Quartile Price | 101.1 | 101.3 | * |
Avg. Price Top 5 Trades | 103.5 | 101.5 | * |
Standard Deviation | 2.8 | 0.9 | * |
VOLUME OF TRADES (000'S) | 19,184.8 | 14,042.5 | * |
Customer Buy | 11,151.8 | 4,681.0 | * |
Customer Sell | 7,728.1 | 9,153.1 | * |
Dealer to Dealer | 304.9 | 208.4 | 0.0 |
<= $1MM | 4,427.9 | 1,073.1 | * |
<= $10MM | * | * | * |
<= $100MM | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 65 | 39 | * |
Customer Buy | 27 | 5 | * |
Customer Sell | 25 | 19 | * |
Dealer to Dealer | 13 | 15 | 0 |
<= $1MM | 63 | 36 | * |
<= $10MM | * | * | * |
<= $100MM | 0 | 0 | * |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 91.1 | 148.4 | 318.7 |
Weighted Avg. Price | 90.1 | 94.3 | 191.7 |
Avg. Price Bottom 5 Trades | 64.4 | 29.3 | 51.8 |
2nd Quartile Price | 86.0 | 84.3 | 76.3 |
3rd Quartile Price | 96.3 | 90.3 | 90.6 |
4th Quartile Price | 99.5 | 98.0 | 96.5 |
Avg. Price Top 5 Trades | 101.7 | 2,723.0 | 2,080.8 |
Standard Deviation | 11.2 | 687.8 | 1,530.4 |
VOLUME OF TRADES (000'S) | 44,182.7 | 488,359.8 | 113,867.6 |
Customer Buy | 20,473.2 | 171,097.7 | 66,586.7 |
Customer Sell | 19,227.4 | 292,549.9 | 47,092.4 |
Dealer to Dealer | 4,482.1 | 24,712.2 | 188.6 |
<= $1MM | 8,689.3 | 8,477.0 | 1,687.9 |
<= $10MM | 35,493.3 | 125,100.6 | 56,687.6 |
<= $100MM | 0.0 | 354,782.2 | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 128 | 218 | 42 |
Customer Buy | 39 | 78 | 18 |
Customer Sell | 64 | 98 | 19 |
Dealer to Dealer | 25 | 42 | 5 |
<= $1MM | 113 | 160 | 29 |
<= $10MM | 15 | 34 | 10 |
<= $100MM | 0 | 24 | * |
> $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 |
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 |
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 | 51.4 | 62.1 | * |
Weighted Avg. Price | 12.6 | 5.8 | * |
Avg. Price Bottom 5 Trades | 51.4 | 62.1 | * |
2nd Quartile Price | * | * | * |
3rd Quartile Price | * | * | * |
4th Quartile Price | * | * | * |
Avg. Price Top 5 Trades | 51.4 | 62.1 | * |
Standard Deviation | 44.8 | 28.7 | * |
VOLUME OF TRADES (000'S) | 412.9 | 24,830.9 | * |
Customer Buy | * | * | * |
Customer Sell | * | * | * |
Dealer to Dealer | 0.0 | * | * |
<= $1MM | 412.9 | 714.8 | * |
<= $10MM | 0.0 | 0.0 | * |
<= $100MM | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 5 | 6 | * |
Customer Buy | * | * | * |
Customer Sell | * | * | * |
Dealer to Dealer | 0 | * | * |
<= $1MM | 5 | 5 | * |
<= $10MM | 0 | 0 | * |
<= $100MM | 0 | * | 0 |
> $100MM | 0 | 0 | 0 |