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 | 98.7 | * | 99.0 | * | 99.0 | 99.7 | ||
Weighted Avg. Price | 97.6 | * | 99.9 | * | 98.9 | 100.0 | ||
Avg. Price Bottom 5 Trades | 97.1 | * | 92.8 | * | 93.8 | 99.0 | ||
2nd Quartile Price | 98.0 | * | 97.9 | * | 98.3 | 100.0 | ||
3rd Quartile Price | 98.5 | * | 99.5 | * | 99.0 | 100.2 | ||
4th Quartile Price | 100.0 | * | 100.5 | * | 99.8 | 100.4 | ||
Avg. Price Top 5 Trades | 100.6 | * | 103.9 | * | 102.0 | 100.4 | ||
Standard Deviation | 1.4 | * | 2.6 | * | 1.4 | 1.3 | ||
VOLUME OF TRADES (000'S) | 158,221.9 | * | 130,231.8 | * | 1,904,030.0 | 28,621.5 | ||
Customer Buy | 45,509.3 | * | 55,382.3 | 0.0 | 908,228.8 | 2,021.5 | ||
Customer Sell | 111,525.6 | 0.0 | 73,998.0 | * | 967,911.1 | * | ||
Dealer to Dealer | 1,186.9 | 0.0 | 851.5 | 0.0 | 27,890.1 | 10,600.0 | ||
<= $1MM | 2,304.9 | 0.0 | 11,704.9 | * | 23,823.2 | 5,621.5 | ||
<= $10MM | 0.0 | * | 72,972.9 | * | 171,625.8 | * | ||
<= $100MM | 155,917.0 | 0.0 | * | 0.0 | 208,581.0 | * | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | * | 0.0 | ||
NUMBER OF TRADES | 26 | * | 99 | * | 210 | 13 | ||
Customer Buy | 11 | * | 52 | 0 | 111 | 6 | ||
Customer Sell | 10 | 0 | 41 | * | 70 | * | ||
Dealer to Dealer | 5 | 0 | 6 | 0 | 29 | 5 | ||
<= $1MM | 21 | 0 | 68 | * | 139 | 10 | ||
<= $10MM | 0 | * | 28 | * | 59 | * | ||
<= $100MM | 5 | 0 | * | 0 | 8 | * | ||
> $100MM | 0 | 0 | 0 | 0 | * | 0 | ||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 67.2 | 1.9 | 97.5 | 0.0 | 99.6 | 66.3 | ||
Weighted Avg. Price | 72.5 | 1.3 | 95.3 | 0.0 | 99.2 | 66.3 | ||
Avg. Price Bottom 5 Trades | 3.6 | 1.9 | 84.7 | 0.0 | 98.6 | 36.4 | ||
2nd Quartile Price | 52.5 | * | 97.2 | 0.0 | 99.0 | 49.0 | ||
3rd Quartile Price | 87.7 | * | 99.9 | 0.0 | 100.0 | 99.9 | ||
4th Quartile Price | 95.5 | * | 101.5 | 0.0 | 101.6 | 100.5 | ||
Avg. Price Top 5 Trades | 100.8 | 1.9 | 102.2 | 0.0 | 100.6 | 100.6 | ||
Standard Deviation | 39.4 | 0.3 | 6.8 | 0.0 | 1.3 | 40.5 | ||
VOLUME OF TRADES (000'S) | 252,060.1 | 701.1 | 44,260.5 | 0.0 | 18,051.9 | 69,085.0 | ||
Customer Buy | 138,650.0 | * | 28,958.6 | 0.0 | * | 41,085.0 | ||
Customer Sell | 112,433.3 | * | 10,672.0 | 0.0 | 9,025.9 | * | ||
Dealer to Dealer | 976.8 | * | 4,630.0 | 0.0 | * | 0.0 | ||
<= $1MM | 15,532.8 | 701.1 | 6,212.5 | 0.0 | * | * | ||
<= $10MM | 25,798.0 | 0.0 | 38,048.1 | 0.0 | 17,334.8 | 37,335.0 | ||
<= $100MM | 210,729.3 | 0.0 | 0.0 | 0.0 | 0.0 | * | ||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
NUMBER OF TRADES | 356 | 5 | 33 | 0 | 10 | 15 | ||
Customer Buy | 261 | * | 16 | 0 | * | 11 | ||
Customer Sell | 60 | * | 9 | 0 | 5 | * | ||
Dealer to Dealer | 35 | * | 8 | 0 | * | 0 | ||
<= $1MM | 340 | 5 | 23 | 0 | * | * | ||
<= $10MM | 7 | 0 | 10 | 0 | 6 | 10 | ||
<= $100MM | 9 | 0 | 0 | 0 | 0 | * | ||
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
Investment Grade | |||
AVERAGE PRICE | 99.5 | 99.0 | 97.6 |
Weighted Avg. Price | 99.1 | 99.7 | 97.6 |
Avg. Price Bottom 5 Trades | 98.6 | 99.0 | 96.9 |
2nd Quartile Price | 99.0 | * | 97.8 |
3rd Quartile Price | 100.0 | * | 98.1 |
4th Quartile Price | 101.0 | * | 99.0 |
Avg. Price Top 5 Trades | 100.2 | 99.0 | 98.3 |
Standard Deviation | 1.3 | 1.2 | 1.1 |
VOLUME OF TRADES (000'S) | 265.0 | 297.1 | 157,659.8 |
Customer Buy | 196.2 | * | * |
Customer Sell | * | 26.0 | * |
Dealer to Dealer | * | * | * |
<= $1MM | 265.0 | 297.1 | * |
<= $10MM | 0.0 | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | 155,917.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 9 | 8 | 9 |
Customer Buy | 7 | * | * |
Customer Sell | * | 5 | * |
Dealer to Dealer | * | * | * |
<= $1MM | 9 | 8 | * |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | 5 |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | 95.4 | 50.1 | 88.7 |
Weighted Avg. Price | 97.3 | 75.0 | 68.4 |
Avg. Price Bottom 5 Trades | 83.6 | 2.9 | 54.2 |
2nd Quartile Price | 94.8 | 0.0 | 87.7 |
3rd Quartile Price | 96.5 | 79.4 | 87.7 |
4th Quartile Price | 99.1 | 88.6 | 98.5 |
Avg. Price Top 5 Trades | 100.8 | 99.9 | 98.9 |
Standard Deviation | 6.1 | 43.2 | 12.1 |
VOLUME OF TRADES (000'S) | 6,885.3 | 126,064.1 | 119,110.7 |
Customer Buy | 5,584.7 | 49,956.7 | 83,108.6 |
Customer Sell | 1,173.4 | 75,721.7 | 35,538.2 |
Dealer to Dealer | 127.2 | 385.6 | 463.9 |
<= $1MM | 2,734.2 | 10,297.4 | 2,501.1 |
<= $10MM | * | 21,646.9 | 0.0 |
<= $100MM | 0.0 | * | 116,609.6 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 59 | 209 | 88 |
Customer Buy | 23 | 165 | 73 |
Customer Sell | 31 | 21 | 8 |
Dealer to Dealer | 5 | 23 | 7 |
<= $1MM | 57 | 200 | 83 |
<= $10MM | * | 5 | 0 |
<= $100MM | 0 | * | 5 |
> $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 | 0.0 |
<= $10MM | 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 | 0 |
<= $10MM | 0 | 0 | * |
<= $100MM | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 |
Non-Investment Grade † | |||
AVERAGE PRICE | * | * | 0.0 |
Weighted Avg. Price | * | * | 0.0 |
Avg. Price Bottom 5 Trades | * | * | 0.0 |
2nd Quartile Price | * | * | 0.0 |
3rd Quartile Price | * | * | 0.0 |
4th Quartile Price | * | * | 0.0 |
Avg. Price Top 5 Trades | * | * | 0.0 |
Standard Deviation | * | * | 0.0 |
VOLUME OF TRADES (000'S) | * | * | 0.0 |
Customer Buy | * | 0.0 | 0.0 |
Customer Sell | 0.0 | * | 0.0 |
Dealer to Dealer | 0.0 | * | 0.0 |
<= $1MM | * | * | 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 |
Customer Buy | * | 0 | 0 |
Customer Sell | 0 | * | 0 |
Dealer to Dealer | 0 | * | 0 |
<= $1MM | * | * | 0 |
<= $10MM | 0 | 0 | 0 |
<= $100MM | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 |