METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
ABS | ||||||
Investment Grade | ||||||||
AVERAGE PRICE | 91.0 | - | 99.4 | |||||
Weighted Avg. Price | 92.9 | - | 99.4 | |||||
Avg. Price Bottom 5 Trades | 78.2 | - | 84.8 | |||||
2nd Quartile Price | 84.7 | - | 99.2 | |||||
3rd Quartile Price | 92.2 | - | 100.3 | |||||
4th Quartile Price | 99.0 | - | 100.9 | |||||
Avg. Price Top 5 Trades | 101.6 | - | 105.4 | |||||
Standard Deviation | 7.8 | - | 3.0 | |||||
VOLUME OF TRADES (000'S) | 173,496.9 | - | 986,226.6 | |||||
Customer Buy | 88,564.9 | - | 331,985.1 | |||||
Customer Sell | 76,973.3 | - | 587,568.7 | |||||
Dealer to Dealer | 7,958.6 | - | 66,672.8 | |||||
<= $1MM | 12,552.3 | - | 42,232.1 | |||||
<= $10MM | 128,874.1 | - | 344,149.9 | |||||
<= $100MM | * | - | 599,844.5 | |||||
> $100MM | - | - | - | |||||
NUMBER OF TRADES | 108 | - | 380 | |||||
Customer Buy | 36 | - | 164 | |||||
Customer Sell | 46 | - | 151 | |||||
Dealer to Dealer | 26 | - | 65 | |||||
<= $1MM | 66 | - | 274 | |||||
<= $10MM | 40 | - | 83 | |||||
<= $100MM | * | - | 23 | |||||
> $100MM | - | - | - | |||||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 68.4 | * | 1,111.5 | |||||
Weighted Avg. Price | 64.5 | * | 383.7 | |||||
Avg. Price Bottom 5 Trades | 16.5 | * | 89.4 | |||||
2nd Quartile Price | 44.0 | * | 92.5 | |||||
3rd Quartile Price | 79.1 | * | 99.7 | |||||
4th Quartile Price | 92.2 | * | 103.6 | |||||
Avg. Price Top 5 Trades | 101.2 | * | 8,816.3 | |||||
Standard Deviation | 25.9 | * | 2,825.0 | |||||
VOLUME OF TRADES (000'S) | 189,462.3 | * | 58,460.1 | |||||
Customer Buy | 90,028.5 | * | 27,072.7 | |||||
Customer Sell | 97,562.9 | * | 24,089.9 | |||||
Dealer to Dealer | 1,870.9 | * | 7,297.5 | |||||
<= $1MM | 10,810.0 | - | 14,214.7 | |||||
<= $10MM | 99,570.5 | - | 44,245.4 | |||||
<= $100MM | * | * | - | |||||
> $100MM | - | - | - | |||||
NUMBER OF TRADES | 134 | * | 72 | |||||
Customer Buy | 60 | * | 30 | |||||
Customer Sell | 62 | * | 34 | |||||
Dealer to Dealer | 12 | * | 8 | |||||
<= $1MM | 111 | - | 54 | |||||
<= $10MM | 19 | - | 18 | |||||
<= $100MM | * | * | - | |||||
> $100MM | - | - | - |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 90.6 | - | * | 91.1 |
Weighted Avg. Price | 92.8 | - | * | 92.9 |
Avg. Price Bottom 5 Trades | 83.5 | - | * | 78.2 |
2nd Quartile Price | 88.4 | - | * | 82.1 |
3rd Quartile Price | 90.4 | - | * | 92.4 |
4th Quartile Price | 94.8 | - | * | 99.7 |
Avg. Price Top 5 Trades | 97.7 | - | * | 101.6 |
Standard Deviation | 5.2 | - | * | 8.8 |
VOLUME OF TRADES (000'S) | 2,178.1 | - | * | 170,692.0 |
Customer Buy | 983.3 | - | * | 87,182.9 |
Customer Sell | 983.5 | - | * | 75,875.8 |
Dealer to Dealer | 211.4 | - | * | 7,633.3 |
<= $1MM | 2,178.1 | - | * | 9,747.5 |
<= $10MM | - | - | - | 128,874.1 |
<= $100MM | - | - | - | * |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 29 | - | * | 76 |
Customer Buy | 9 | - | * | 26 |
Customer Sell | 11 | - | * | 34 |
Dealer to Dealer | 9 | - | * | 16 |
<= $1MM | 29 | - | * | 34 |
<= $10MM | - | - | - | 40 |
<= $100MM | - | - | - | * |
> $100MM | - | - | - | - |
Non-Investment Grade † | ||||
AVERAGE PRICE | 61.6 | - | - | 99.3 |
Weighted Avg. Price | 23.7 | - | - | 99.1 |
Avg. Price Bottom 5 Trades | 16.5 | - | - | 96.9 |
2nd Quartile Price | 42.0 | - | - | 99.1 |
3rd Quartile Price | 60.0 | - | - | 99.6 |
4th Quartile Price | 84.3 | - | - | 100.2 |
Avg. Price Top 5 Trades | 96.1 | - | - | 101.2 |
Standard Deviation | 23.8 | - | - | 1.6 |
VOLUME OF TRADES (000'S) | 86,906.8 | - | - | 102,555.5 |
Customer Buy | 47,475.3 | - | - | 42,553.1 |
Customer Sell | 37,911.8 | - | - | 59,651.1 |
Dealer to Dealer | 1,519.6 | - | - | * |
<= $1MM | 7,373.1 | - | - | 3,437.0 |
<= $10MM | * | - | - | 88,688.5 |
<= $100MM | * | - | - | * |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 110 | - | - | 24 |
Customer Buy | 50 | - | - | 10 |
Customer Sell | 49 | - | - | 13 |
Dealer to Dealer | 11 | - | - | * |
<= $1MM | 103 | - | - | 8 |
<= $10MM | * | - | - | 15 |
<= $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 | - | - | - | - |