METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
ABS | CBO/CDO/CLO | |||||
Investment Grade | ||||||||
AVERAGE PRICE | 87.4 | * | 98.4 | 99.7 | ||||
Weighted Avg. Price | 90.0 | * | 99.4 | 99.9 | ||||
Avg. Price Bottom 5 Trades | 63.3 | * | 86.4 | 95.7 | ||||
2nd Quartile Price | 81.1 | * | 97.4 | 99.8 | ||||
3rd Quartile Price | 86.0 | * | 99.4 | 100.0 | ||||
4th Quartile Price | 95.5 | * | 100.1 | 100.1 | ||||
Avg. Price Top 5 Trades | 101.5 | * | 104.5 | 101.0 | ||||
Standard Deviation | 9.4 | * | 2.9 | 1.0 | ||||
VOLUME OF TRADES (000'S) | 219,472.3 | * | 847,015.0 | 835,807.8 | ||||
Customer Buy | 131,551.0 | * | 407,593.3 | 383,709.4 | ||||
Customer Sell | 81,197.6 | - | 388,280.3 | 403,526.6 | ||||
Dealer to Dealer | 6,723.7 | - | 51,141.5 | 48,571.8 | ||||
<= $1MM | 25,635.4 | - | 64,055.7 | 37,291.8 | ||||
<= $10MM | 155,999.3 | - | 426,242.6 | 446,483.5 | ||||
<= $100MM | * | * | 356,716.7 | 352,032.5 | ||||
> $100MM | - | - | - | - | ||||
NUMBER OF TRADES | 128 | * | 519 | 183 | ||||
Customer Buy | 58 | * | 177 | 87 | ||||
Customer Sell | 49 | - | 250 | 80 | ||||
Dealer to Dealer | 21 | - | 92 | 16 | ||||
<= $1MM | 84 | - | 373 | 61 | ||||
<= $10MM | 42 | - | 128 | 110 | ||||
<= $100MM | * | * | 18 | 12 | ||||
> $100MM | - | - | - | - | ||||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 66.9 | * | 67.1 | 84.6 | ||||
Weighted Avg. Price | 83.0 | * | 69.7 | 81.3 | ||||
Avg. Price Bottom 5 Trades | 15.8 | * | 0.2 | 29.2 | ||||
2nd Quartile Price | 55.0 | * | 30.1 | 81.3 | ||||
3rd Quartile Price | 71.0 | * | 89.3 | 93.5 | ||||
4th Quartile Price | 84.3 | * | 100.5 | 99.6 | ||||
Avg. Price Top 5 Trades | 102.1 | * | 107.5 | 101.7 | ||||
Standard Deviation | 22.2 | * | 39.8 | 22.2 | ||||
VOLUME OF TRADES (000'S) | 162,451.8 | * | 194,108.4 | 253,869.9 | ||||
Customer Buy | 85,807.0 | * | 74,088.0 | 118,890.8 | ||||
Customer Sell | 60,955.3 | * | 119,938.0 | 134,979.1 | ||||
Dealer to Dealer | 15,689.6 | * | * | - | ||||
<= $1MM | 8,710.3 | * | 9,369.4 | 10,396.8 | ||||
<= $10MM | 140,233.5 | - | 171,518.4 | 176,813.1 | ||||
<= $100MM | * | - | * | * | ||||
> $100MM | - | - | - | - | ||||
NUMBER OF TRADES | 297 | * | 74 | 70 | ||||
Customer Buy | 69 | * | 33 | 34 | ||||
Customer Sell | 114 | * | 39 | 36 | ||||
Dealer to Dealer | 114 | * | * | - | ||||
<= $1MM | 261 | * | 26 | 16 | ||||
<= $10MM | 35 | - | 47 | 50 | ||||
<= $100MM | * | - | * | * | ||||
> $100MM | - | - | - | - |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 85.4 | * | - | 88.2 |
Weighted Avg. Price | 91.2 | * | - | 89.9 |
Avg. Price Bottom 5 Trades | 73.9 | * | - | 73.7 |
2nd Quartile Price | 85.0 | * | - | 80.6 |
3rd Quartile Price | 88.0 | * | - | 86.0 |
4th Quartile Price | 90.5 | * | - | 97.3 |
Avg. Price Top 5 Trades | 94.2 | * | - | 101.5 |
Standard Deviation | 11.1 | * | - | 8.7 |
VOLUME OF TRADES (000'S) | 4,966.2 | * | - | 214,501.4 |
Customer Buy | 4,207.7 | * | - | 127,338.6 |
Customer Sell | 460.5 | - | - | 80,737.1 |
Dealer to Dealer | 298.0 | - | - | 6,425.6 |
<= $1MM | 803.7 | * | - | 24,827.1 |
<= $10MM | * | - | - | 151,836.7 |
<= $100MM | - | - | - | * |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 33 | * | - | 94 |
Customer Buy | 7 | * | - | 50 |
Customer Sell | 14 | - | - | 35 |
Dealer to Dealer | 12 | - | - | 9 |
<= $1MM | 32 | * | - | 51 |
<= $10MM | * | - | - | 41 |
<= $100MM | - | - | - | * |
> $100MM | - | - | - | - |
Non-Investment Grade † | ||||
AVERAGE PRICE | 65.3 | - | - | 86.9 |
Weighted Avg. Price | 80.6 | - | - | 86.4 |
Avg. Price Bottom 5 Trades | 15.8 | - | - | 58.1 |
2nd Quartile Price | 51.5 | - | - | 87.2 |
3rd Quartile Price | 70.2 | - | - | 93.9 |
4th Quartile Price | 83.0 | - | - | 100.6 |
Avg. Price Top 5 Trades | 99.9 | - | - | 101.3 |
Standard Deviation | 21.8 | - | - | 17.2 |
VOLUME OF TRADES (000'S) | 94,382.2 | - | - | 68,069.6 |
Customer Buy | 52,365.1 | - | - | 33,441.8 |
Customer Sell | 26,327.5 | - | - | 34,627.8 |
Dealer to Dealer | 15,689.6 | - | - | - |
<= $1MM | 5,465.9 | - | - | 3,244.4 |
<= $10MM | 75,408.3 | - | - | 64,825.2 |
<= $100MM | * | - | - | - |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 274 | - | - | 23 |
Customer Buy | 60 | - | - | 9 |
Customer Sell | 100 | - | - | 14 |
Dealer to Dealer | 114 | - | - | - |
<= $1MM | 256 | - | - | 5 |
<= $10MM | 17 | - | - | 18 |
<= $100MM | * | - | - | - |
> $100MM | - | - | - | - |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | - | - | - | * |
Weighted Avg. Price | - | - | - | * |
Avg. Price Bottom 5 Trades | - | - | - | * |
2nd Quartile Price | - | - | - | * |
3rd Quartile Price | - | - | - | * |
4th Quartile Price | - | - | - | * |
Avg. Price Top 5 Trades | - | - | - | * |
Standard Deviation | - | - | - | * |
VOLUME OF TRADES (000'S) | - | - | - | * |
Customer Buy | - | - | - | * |
Customer Sell | - | - | - | - |
Dealer to Dealer | - | - | - | - |
<= $1MM | - | - | - | - |
<= $10MM | - | - | - | - |
<= $100MM | - | - | - | * |
> $100MM | - | - | - | - |
NUMBER OF TRADES | - | - | - | * |
Customer Buy | - | - | - | * |
Customer Sell | - | - | - | - |
Dealer to Dealer | - | - | - | - |
<= $1MM | - | - | - | - |
<= $10MM | - | - | - | - |
<= $100MM | - | - | - | * |
> $100MM | - | - | - | - |
Non-Investment Grade † | ||||
AVERAGE PRICE | * | - | - | - |
Weighted Avg. Price | * | - | - | - |
Avg. Price Bottom 5 Trades | * | - | - | - |
2nd Quartile Price | * | - | - | - |
3rd Quartile Price | * | - | - | - |
4th Quartile Price | * | - | - | - |
Avg. Price Top 5 Trades | * | - | - | - |
Standard Deviation | * | - | - | - |
VOLUME OF TRADES (000'S) | * | - | - | - |
Customer Buy | * | - | - | - |
Customer Sell | * | - | - | - |
Dealer to Dealer | * | - | - | - |
<= $1MM | * | - | - | - |
<= $10MM | - | - | - | - |
<= $100MM | - | - | - | - |
> $100MM | - | - | - | - |
NUMBER OF TRADES | * | - | - | - |
Customer Buy | * | - | - | - |
Customer Sell | * | - | - | - |
Dealer to Dealer | * | - | - | - |
<= $1MM | * | - | - | - |
<= $10MM | - | - | - | - |
<= $100MM | - | - | - | - |
> $100MM | - | - | - | - |