METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
ABS | CBO/CDO/CLO | |||||
Investment Grade | ||||||||
AVERAGE PRICE | 93.8 | 0.0 | 96.5 | 95.9 | ||||
Weighted Avg. Price | 91.0 | 0.0 | 97.0 | 96.2 | ||||
Avg. Price Bottom 5 Trades | 73.0 | 0.0 | 83.8 | 89.0 | ||||
2nd Quartile Price | 90.0 | 0.0 | 95.1 | 94.5 | ||||
3rd Quartile Price | 95.3 | 0.0 | 97.8 | 96.3 | ||||
4th Quartile Price | 98.1 | 0.0 | 99.2 | 97.8 | ||||
Avg. Price Top 5 Trades | 111.0 | 0.0 | 100.6 | 100.0 | ||||
Standard Deviation | 8.8 | 0.0 | 3.9 | 2.4 | ||||
VOLUME OF TRADES (000'S) | 81,935.5 | 0.0 | 745,422.5 | 621,383.8 | ||||
Customer Buy | 35,578.4 | 0.0 | 316,112.3 | 268,523.0 | ||||
Customer Sell | 45,105.9 | 0.0 | 373,785.9 | 352,860.8 | ||||
Dealer to Dealer | 1,251.2 | 0.0 | 55,524.3 | 0.0 | ||||
<= $1MM | 16,378.5 | 0.0 | 55,809.0 | 19,689.8 | ||||
<= $10MM | 34,641.6 | 0.0 | 480,310.5 | 384,158.8 | ||||
<= $100MM | * | 0.0 | 209,303.0 | 217,535.2 | ||||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | ||||
NUMBER OF TRADES | 79 | 0 | 312 | 129 | ||||
Customer Buy | 32 | 0 | 113 | 62 | ||||
Customer Sell | 36 | 0 | 172 | 67 | ||||
Dealer to Dealer | 11 | 0 | 27 | 0 | ||||
<= $1MM | 62 | 0 | 173 | 34 | ||||
<= $10MM | 15 | 0 | 128 | 83 | ||||
<= $100MM | * | 0 | 11 | 12 | ||||
> $100MM | 0 | 0 | 0 | 0 | ||||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 74.1 | * | 784.9 | 71.5 | ||||
Weighted Avg. Price | 47.4 | * | 105.0 | 31.6 | ||||
Avg. Price Bottom 5 Trades | 4.2 | * | 73.4 | 9.3 | ||||
2nd Quartile Price | 60.3 | * | 89.8 | 50.0 | ||||
3rd Quartile Price | 79.0 | * | 94.8 | 88.2 | ||||
4th Quartile Price | 91.0 | * | 100.0 | 93.0 | ||||
Avg. Price Top 5 Trades | 101.1 | * | 3,683.5 | 98.2 | ||||
Standard Deviation | 20.1 | * | 2,469.4 | 30.5 | ||||
VOLUME OF TRADES (000'S) | 291,417.3 | * | 59,452.2 | 297,420.2 | ||||
Customer Buy | 81,587.5 | * | 26,779.1 | 258,814.8 | ||||
Customer Sell | 99,015.5 | * | 32,673.1 | 38,605.4 | ||||
Dealer to Dealer | 110,814.3 | 0.0 | 0.0 | 0.0 | ||||
<= $1MM | 17,331.4 | * | 1,293.8 | 4,978.2 | ||||
<= $10MM | 73,894.6 | * | 58,158.3 | 100,184.2 | ||||
<= $100MM | 200,191.3 | 0.0 | 0.0 | 192,257.8 | ||||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | ||||
NUMBER OF TRADES | 289 | * | 31 | 45 | ||||
Customer Buy | 162 | * | 16 | 28 | ||||
Customer Sell | 80 | * | 15 | 17 | ||||
Dealer to Dealer | 47 | 0 | 0 | 0 | ||||
<= $1MM | 258 | * | 19 | 8 | ||||
<= $10MM | 22 | * | 12 | 32 | ||||
<= $100MM | 9 | 0 | 0 | 5 | ||||
> $100MM | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 95.7 | 0.0 | * | 91.4 |
Weighted Avg. Price | 91.8 | 0.0 | * | 90.8 |
Avg. Price Bottom 5 Trades | 77.1 | 0.0 | * | 82.0 |
2nd Quartile Price | 92.8 | 0.0 | * | 86.5 |
3rd Quartile Price | 97.5 | 0.0 | * | 91.0 |
4th Quartile Price | 99.5 | 0.0 | * | 97.1 |
Avg. Price Top 5 Trades | 111.0 | 0.0 | * | 98.3 |
Standard Deviation | 10.5 | 0.0 | * | 5.9 |
VOLUME OF TRADES (000'S) | 8,801.8 | 0.0 | * | 71,689.6 |
Customer Buy | 5,406.7 | 0.0 | 0.0 | 30,171.7 |
Customer Sell | 2,143.9 | 0.0 | * | 41,517.9 |
Dealer to Dealer | 1,251.2 | 0.0 | 0.0 | 0.0 |
<= $1MM | 5,759.2 | 0.0 | * | 10,408.9 |
<= $10MM | * | 0.0 | * | 30,365.3 |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 41 | 0 | * | 36 |
Customer Buy | 16 | 0 | 0 | 16 |
Customer Sell | 14 | 0 | * | 20 |
Dealer to Dealer | 11 | 0 | 0 | 0 |
<= $1MM | 40 | 0 | * | 21 |
<= $10MM | * | 0 | * | 13 |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
Non-Investment Grade † | ||||
AVERAGE PRICE | 73.0 | * | * | 93.3 |
Weighted Avg. Price | 39.0 | * | * | 92.1 |
Avg. Price Bottom 5 Trades | 4.2 | * | * | 89.6 |
2nd Quartile Price | 60.2 | * | * | 92.0 |
3rd Quartile Price | 77.4 | * | * | 93.7 |
4th Quartile Price | 90.1 | * | * | 97.5 |
Avg. Price Top 5 Trades | 101.1 | * | * | 97.5 |
Standard Deviation | 20.0 | * | * | 4.4 |
VOLUME OF TRADES (000'S) | 245,644.3 | * | * | 22,003.6 |
Customer Buy | 67,965.9 | 0.0 | 0.0 | 13,621.5 |
Customer Sell | 66,864.0 | * | * | 8,382.0 |
Dealer to Dealer | 110,814.3 | 0.0 | 0.0 | 0.0 |
<= $1MM | 13,767.9 | 0.0 | 0.0 | 3,563.5 |
<= $10MM | 48,468.9 | * | 0.0 | 18,440.1 |
<= $100MM | 183,407.5 | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 274 | * | * | 13 |
Customer Buy | 157 | 0 | 0 | 5 |
Customer Sell | 70 | * | * | 8 |
Dealer to Dealer | 47 | 0 | 0 | 0 |
<= $1MM | 250 | 0 | 0 | 8 |
<= $10MM | 16 | * | 0 | 5 |
<= $100MM | 8 | 0 | * | 0 |
> $100MM | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 0.0 | 0.0 | 0.0 | 0.0 |
Weighted Avg. Price | 0.0 | 0.0 | 0.0 | 0.0 |
Avg. Price Bottom 5 Trades | 0.0 | 0.0 | 0.0 | 0.0 |
2nd Quartile Price | 0.0 | 0.0 | 0.0 | 0.0 |
3rd Quartile Price | 0.0 | 0.0 | 0.0 | 0.0 |
4th Quartile Price | 0.0 | 0.0 | 0.0 | 0.0 |
Avg. Price Top 5 Trades | 0.0 | 0.0 | 0.0 | 0.0 |
Standard Deviation | 0.0 | 0.0 | 0.0 | 0.0 |
VOLUME OF TRADES (000'S) | 0.0 | 0.0 | 0.0 | 0.0 |
Customer Buy | 0.0 | 0.0 | 0.0 | 0.0 |
Customer Sell | 0.0 | 0.0 | 0.0 | 0.0 |
Dealer to Dealer | 0.0 | 0.0 | 0.0 | 0.0 |
<= $1MM | 0.0 | 0.0 | 0.0 | 0.0 |
<= $10MM | 0.0 | 0.0 | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 0 | 0 | 0 | 0 |
Customer Buy | 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 |
<= $100MM | 0 | 0 | 0 | 0 |
> $100MM | 0 | 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 | 0.0 |
Customer Sell | 0.0 | 0.0 | 0.0 | * |
Dealer to Dealer | 0.0 | 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 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 0 | 0 | * |
Customer Buy | * | 0 | 0 | 0 |
Customer Sell | 0 | 0 | 0 | * |
Dealer to Dealer | 0 | 0 | 0 | 0 |
<= $1MM | * | 0 | 0 | 0 |
<= $10MM | 0 | 0 | 0 | * |
<= $100MM | 0 | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 | 0 |