METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
ABS | CBO/CDO/CLO | |||||
Investment Grade | ||||||||
AVERAGE PRICE | 90.2 | 0.0 | 98.8 | 100.2 | ||||
Weighted Avg. Price | 88.9 | 0.0 | 99.0 | 100.1 | ||||
Avg. Price Bottom 5 Trades | 77.1 | 0.0 | 86.6 | 94.5 | ||||
2nd Quartile Price | 84.1 | 0.0 | 98.4 | 100.1 | ||||
3rd Quartile Price | 91.3 | 0.0 | 99.7 | 100.2 | ||||
4th Quartile Price | 96.1 | 0.0 | 100.3 | 100.4 | ||||
Avg. Price Top 5 Trades | 101.5 | 0.0 | 102.9 | 103.3 | ||||
Standard Deviation | 7.4 | 0.0 | 2.8 | 1.5 | ||||
VOLUME OF TRADES (000'S) | 292,660.5 | 0.0 | 587,077.3 | 285,922.0 | ||||
Customer Buy | 234,901.2 | 0.0 | 314,676.4 | 133,755.9 | ||||
Customer Sell | 42,493.4 | 0.0 | 188,099.8 | 111,451.2 | ||||
Dealer to Dealer | 15,265.9 | 0.0 | 84,301.1 | * | ||||
<= $1MM | 8,378.7 | 0.0 | 34,501.9 | 43,081.6 | ||||
<= $10MM | 115,044.0 | 0.0 | 323,036.9 | 179,756.2 | ||||
<= $100MM | 169,237.8 | 0.0 | 229,538.5 | * | ||||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | ||||
NUMBER OF TRADES | 81 | 0 | 305 | 144 | ||||
Customer Buy | 51 | 0 | 156 | 59 | ||||
Customer Sell | 20 | 0 | 124 | 83 | ||||
Dealer to Dealer | 10 | 0 | 25 | * | ||||
<= $1MM | 44 | 0 | 190 | 64 | ||||
<= $10MM | 27 | 0 | 100 | 76 | ||||
<= $100MM | 10 | 0 | 15 | * | ||||
> $100MM | 0 | 0 | 0 | 0 | ||||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 61.5 | 0.0 | 647.9 | 91.0 | ||||
Weighted Avg. Price | 87.3 | 0.0 | 95.3 | 86.0 | ||||
Avg. Price Bottom 5 Trades | 4.6 | 0.0 | 76.8 | 74.6 | ||||
2nd Quartile Price | 45.0 | 0.0 | 95.3 | 91.9 | ||||
3rd Quartile Price | 65.0 | 0.0 | 100.1 | 99.3 | ||||
4th Quartile Price | 85.4 | 0.0 | 105.3 | 100.6 | ||||
Avg. Price Top 5 Trades | 101.5 | 0.0 | 3,407.3 | 100.5 | ||||
Standard Deviation | 26.8 | 0.0 | 2,300.4 | 19.0 | ||||
VOLUME OF TRADES (000'S) | 77,065.9 | 0.0 | 57,290.2 | 156,379.7 | ||||
Customer Buy | 40,974.7 | 0.0 | 25,610.3 | 89,779.7 | ||||
Customer Sell | 34,935.9 | 0.0 | 31,679.9 | 66,600.0 | ||||
Dealer to Dealer | 1,155.4 | 0.0 | 0.0 | 0.0 | ||||
<= $1MM | 8,835.2 | 0.0 | 6,338.4 | 6,000.0 | ||||
<= $10MM | 68,230.8 | 0.0 | 40,648.8 | * | ||||
<= $100MM | 0.0 | 0.0 | * | 127,139.7 | ||||
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | ||||
NUMBER OF TRADES | 200 | 0 | 36 | 17 | ||||
Customer Buy | 98 | 0 | 15 | 10 | ||||
Customer Sell | 57 | 0 | 21 | 7 | ||||
Dealer to Dealer | 45 | 0 | 0 | 0 | ||||
<= $1MM | 182 | 0 | 19 | 6 | ||||
<= $10MM | 18 | 0 | 16 | * | ||||
<= $100MM | 0 | 0 | * | 7 | ||||
> $100MM | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 91.1 | 0.0 | * | 89.8 |
Weighted Avg. Price | 96.4 | 0.0 | * | 88.8 |
Avg. Price Bottom 5 Trades | 79.2 | 0.0 | * | 80.2 |
2nd Quartile Price | 90.0 | 0.0 | * | 83.8 |
3rd Quartile Price | 93.8 | 0.0 | * | 89.1 |
4th Quartile Price | 96.1 | 0.0 | * | 96.6 |
Avg. Price Top 5 Trades | 97.8 | 0.0 | * | 101.5 |
Standard Deviation | 7.9 | 0.0 | * | 7.4 |
VOLUME OF TRADES (000'S) | 4,031.2 | 0.0 | * | 287,953.8 |
Customer Buy | 3,746.1 | 0.0 | * | 230,479.6 |
Customer Sell | * | 0.0 | 0.0 | 42,468.1 |
Dealer to Dealer | 259.8 | 0.0 | 0.0 | 15,006.1 |
<= $1MM | 2,826.9 | 0.0 | * | 4,876.3 |
<= $10MM | * | 0.0 | 0.0 | 113,839.8 |
<= $100MM | 0.0 | 0.0 | 0.0 | 169,237.8 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 20 | 0 | * | 60 |
Customer Buy | 12 | 0 | * | 38 |
Customer Sell | * | 0 | 0 | 17 |
Dealer to Dealer | 5 | 0 | 0 | 5 |
<= $1MM | 19 | 0 | * | 24 |
<= $10MM | * | 0 | 0 | 26 |
<= $100MM | 0 | 0 | 0 | 10 |
> $100MM | 0 | 0 | 0 | 0 |
Non-Investment Grade † | ||||
AVERAGE PRICE | 58.1 | 0.0 | 0.0 | 94.3 |
Weighted Avg. Price | 71.2 | 0.0 | 0.0 | 90.1 |
Avg. Price Bottom 5 Trades | 4.6 | 0.0 | 0.0 | 78.5 |
2nd Quartile Price | 43.0 | 0.0 | 0.0 | 95.6 |
3rd Quartile Price | 59.0 | 0.0 | 0.0 | 100.3 |
4th Quartile Price | 79.3 | 0.0 | 0.0 | 101.3 |
Avg. Price Top 5 Trades | 97.5 | 0.0 | 0.0 | 101.5 |
Standard Deviation | 25.6 | 0.0 | 0.0 | 11.2 |
VOLUME OF TRADES (000'S) | 11,200.3 | 0.0 | 0.0 | 65,865.7 |
Customer Buy | 5,939.8 | 0.0 | 0.0 | 35,034.9 |
Customer Sell | 4,105.1 | 0.0 | 0.0 | 30,830.8 |
Dealer to Dealer | 1,155.4 | 0.0 | 0.0 | 0.0 |
<= $1MM | 6,459.2 | 0.0 | 0.0 | * |
<= $10MM | * | 0.0 | 0.0 | 63,489.7 |
<= $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 181 | 0 | 0 | 19 |
Customer Buy | 87 | 0 | 0 | 11 |
Customer Sell | 49 | 0 | 0 | 8 |
Dealer to Dealer | 45 | 0 | 0 | 0 |
<= $1MM | 179 | 0 | 0 | * |
<= $10MM | * | 0 | 0 | 16 |
<= $100MM | 0 | 0 | 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 | 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 |