METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
ABS | ||||||
Investment Grade | ||||||||
AVERAGE PRICE | 94.3 | * | 99.7 | |||||
Weighted Avg. Price | 97.7 | * | 100.2 | |||||
Avg. Price Bottom 5 Trades | 69.7 | * | 86.9 | |||||
2nd Quartile Price | 90.1 | * | 99.4 | |||||
3rd Quartile Price | 98.5 | * | 100.1 | |||||
4th Quartile Price | 100.3 | * | 100.9 | |||||
Avg. Price Top 5 Trades | 102.3 | * | 103.7 | |||||
Standard Deviation | 8.4 | * | 2.2 | |||||
VOLUME OF TRADES (000'S) | 252,343.8 | * | 687,123.0 | |||||
Customer Buy | 124,305.4 | * | 222,274.5 | |||||
Customer Sell | 118,136.8 | - | 461,828.7 | |||||
Dealer to Dealer | 9,901.6 | * | 3,019.8 | |||||
<= $1MM | 27,419.7 | - | 60,186.2 | |||||
<= $10MM | 113,823.2 | - | 349,861.8 | |||||
<= $100MM | 111,100.9 | * | 277,075.0 | |||||
> $100MM | - | - | - | |||||
NUMBER OF TRADES | 135 | * | 416 | |||||
Customer Buy | 41 | * | 123 | |||||
Customer Sell | 81 | - | 247 | |||||
Dealer to Dealer | 13 | * | 46 | |||||
<= $1MM | 93 | - | 304 | |||||
<= $10MM | 34 | - | 95 | |||||
<= $100MM | 8 | * | 17 | |||||
> $100MM | - | - | - | |||||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 63.3 | * | 282.4 | |||||
Weighted Avg. Price | 96.6 | * | 52.1 | |||||
Avg. Price Bottom 5 Trades | 15.2 | * | 47.3 | |||||
2nd Quartile Price | 44.1 | * | 90.0 | |||||
3rd Quartile Price | 67.3 | * | 98.2 | |||||
4th Quartile Price | 82.5 | * | 101.9 | |||||
Avg. Price Top 5 Trades | 103.1 | * | 2,083.5 | |||||
Standard Deviation | 23.3 | * | 1,374.2 | |||||
VOLUME OF TRADES (000'S) | 70,488.4 | * | 140,500.4 | |||||
Customer Buy | 36,966.1 | * | 73,837.8 | |||||
Customer Sell | 22,294.1 | - | 61,172.2 | |||||
Dealer to Dealer | 11,228.1 | * | 5,490.4 | |||||
<= $1MM | 12,545.9 | * | 11,230.6 | |||||
<= $10MM | 57,942.5 | - | 63,372.3 | |||||
<= $100MM | - | - | * | |||||
> $100MM | - | - | - | |||||
NUMBER OF TRADES | 398 | * | 52 | |||||
Customer Buy | 118 | * | 20 | |||||
Customer Sell | 191 | - | 26 | |||||
Dealer to Dealer | 89 | * | 6 | |||||
<= $1MM | 383 | * | 34 | |||||
<= $10MM | 15 | - | 16 | |||||
<= $100MM | - | - | * | |||||
> $100MM | - | - | - |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 85.8 | * | 89.3 | 95.7 |
Weighted Avg. Price | 94.0 | * | 89.9 | 97.9 |
Avg. Price Bottom 5 Trades | 83.4 | * | 89.3 | 69.7 |
2nd Quartile Price | 82.5 | * | * | 94.0 |
3rd Quartile Price | 84.4 | * | * | 99.3 |
4th Quartile Price | 91.4 | * | * | 100.7 |
Avg. Price Top 5 Trades | 88.9 | * | 89.3 | 102.3 |
Standard Deviation | 6.1 | * | 10.9 | 7.8 |
VOLUME OF TRADES (000'S) | 295.3 | * | 2,447.3 | 248,251.7 |
Customer Buy | * | * | * | 123,203.0 |
Customer Sell | 19.2 | * | * | 115,204.0 |
Dealer to Dealer | 57.0 | - | - | 9,844.6 |
<= $1MM | 295.3 | * | * | 25,422.6 |
<= $10MM | - | - | * | 111,728.2 |
<= $100MM | - | - | - | 111,100.9 |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 14 | * | 5 | 114 |
Customer Buy | * | * | * | 34 |
Customer Sell | 6 | * | * | 72 |
Dealer to Dealer | 5 | - | - | 8 |
<= $1MM | 14 | * | * | 73 |
<= $10MM | - | - | * | 33 |
<= $100MM | - | - | - | 8 |
> $100MM | - | - | - | - |
Non-Investment Grade † | ||||
AVERAGE PRICE | 61.4 | - | - | 94.3 |
Weighted Avg. Price | 76.4 | - | - | 99.6 |
Avg. Price Bottom 5 Trades | 15.2 | - | - | 73.9 |
2nd Quartile Price | 43.3 | - | - | 98.2 |
3rd Quartile Price | 60.0 | - | - | 100.9 |
4th Quartile Price | 81.4 | - | - | 101.5 |
Avg. Price Top 5 Trades | 101.7 | - | - | 102.6 |
Standard Deviation | 22.5 | - | - | 11.9 |
VOLUME OF TRADES (000'S) | 9,153.5 | - | - | 61,334.9 |
Customer Buy | 4,651.4 | - | - | 32,314.7 |
Customer Sell | 2,285.4 | - | - | 20,008.7 |
Dealer to Dealer | 2,216.7 | - | - | * |
<= $1MM | 9,153.5 | - | - | 3,392.4 |
<= $10MM | - | - | - | 57,942.5 |
<= $100MM | - | - | - | - |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 375 | - | - | 23 |
Customer Buy | 107 | - | - | 11 |
Customer Sell | 183 | - | - | 8 |
Dealer to Dealer | 85 | - | - | * |
<= $1MM | 375 | - | - | 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 | - | - | - | - |