METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
ABS | ||||||
Investment Grade | ||||||||
AVERAGE PRICE | 89.1 | * | 99.3 | |||||
Weighted Avg. Price | 92.4 | * | 99.9 | |||||
Avg. Price Bottom 5 Trades | 62.8 | * | 86.3 | |||||
2nd Quartile Price | 82.0 | * | 98.8 | |||||
3rd Quartile Price | 90.4 | * | 99.4 | |||||
4th Quartile Price | 97.3 | * | 100.5 | |||||
Avg. Price Top 5 Trades | 101.0 | * | 110.3 | |||||
Standard Deviation | 9.8 | * | 2.5 | |||||
VOLUME OF TRADES (000'S) | 374,410.6 | * | 1,273,280.0 | |||||
Customer Buy | 219,088.3 | * | 583,997.3 | |||||
Customer Sell | 151,961.5 | - | 669,800.9 | |||||
Dealer to Dealer | 3,360.7 | * | 19,481.8 | |||||
<= $1MM | 7,050.2 | - | 60,364.2 | |||||
<= $10MM | 159,799.7 | * | 535,141.2 | |||||
<= $100MM | 207,560.6 | - | 677,774.6 | |||||
> $100MM | - | - | - | |||||
NUMBER OF TRADES | 111 | * | 571 | |||||
Customer Buy | 45 | * | 292 | |||||
Customer Sell | 46 | - | 212 | |||||
Dealer to Dealer | 20 | * | 67 | |||||
<= $1MM | 62 | - | 391 | |||||
<= $10MM | 37 | * | 150 | |||||
<= $100MM | 12 | - | 30 | |||||
> $100MM | - | - | - | |||||
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 71.8 | 17.6 | 463.6 | |||||
Weighted Avg. Price | 90.0 | 6.9 | 100.7 | |||||
Avg. Price Bottom 5 Trades | 9.6 | 10.7 | 57.6 | |||||
2nd Quartile Price | 57.0 | 0.5 | 97.2 | |||||
3rd Quartile Price | 79.3 | 19.3 | 102.0 | |||||
4th Quartile Price | 89.0 | 58.6 | 105.0 | |||||
Avg. Price Top 5 Trades | 109.9 | 24.6 | 3,406.0 | |||||
Standard Deviation | 22.6 | 24.4 | 1,887.9 | |||||
VOLUME OF TRADES (000'S) | 189,265.5 | 1,113.2 | 142,875.2 | |||||
Customer Buy | 65,711.2 | 721.5 | 59,625.0 | |||||
Customer Sell | 100,677.1 | * | 67,616.0 | |||||
Dealer to Dealer | 22,877.2 | - | 15,634.2 | |||||
<= $1MM | 12,294.4 | 1,113.2 | 6,421.3 | |||||
<= $10MM | 74,652.3 | - | 136,453.9 | |||||
<= $100MM | 102,318.7 | - | - | |||||
> $100MM | - | - | - | |||||
NUMBER OF TRADES | 354 | 7 | 54 | |||||
Customer Buy | 163 | 5 | 25 | |||||
Customer Sell | 161 | * | 24 | |||||
Dealer to Dealer | 30 | - | 5 | |||||
<= $1MM | 327 | 7 | 13 | |||||
<= $10MM | 21 | - | 41 | |||||
<= $100MM | 6 | - | - | |||||
> $100MM | - | - | - |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 86.3 | - | * | 91.5 |
Weighted Avg. Price | 93.9 | - | * | 92.3 |
Avg. Price Bottom 5 Trades | 64.6 | - | * | 79.9 |
2nd Quartile Price | 87.6 | - | * | 81.9 |
3rd Quartile Price | 90.0 | - | * | 94.2 |
4th Quartile Price | 91.0 | - | * | 99.9 |
Avg. Price Top 5 Trades | 96.4 | - | * | 101.0 |
Standard Deviation | 10.5 | - | * | 8.5 |
VOLUME OF TRADES (000'S) | 1,692.3 | - | * | 369,736.8 |
Customer Buy | 620.8 | - | - | 218,467.4 |
Customer Sell | 746.1 | - | * | 148,234.0 |
Dealer to Dealer | 325.4 | - | - | * |
<= $1MM | 1,692.3 | - | - | 5,357.9 |
<= $10MM | - | - | * | 156,818.2 |
<= $100MM | - | - | - | 207,560.6 |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 53 | - | * | 57 |
Customer Buy | 11 | - | - | 34 |
Customer Sell | 26 | - | * | 19 |
Dealer to Dealer | 16 | - | - | * |
<= $1MM | 53 | - | - | 9 |
<= $10MM | - | - | * | 36 |
<= $100MM | - | - | - | 12 |
> $100MM | - | - | - | - |
Non-Investment Grade † | ||||
AVERAGE PRICE | 70.1 | * | - | 97.6 |
Weighted Avg. Price | 77.7 | * | - | 96.0 |
Avg. Price Bottom 5 Trades | 9.6 | * | - | 89.4 |
2nd Quartile Price | 53.1 | * | - | 99.3 |
3rd Quartile Price | 77.0 | * | - | 99.6 |
4th Quartile Price | 87.6 | * | - | 100.7 |
Avg. Price Top 5 Trades | 109.0 | * | - | 101.4 |
Standard Deviation | 22.4 | * | - | 5.0 |
VOLUME OF TRADES (000'S) | 56,485.2 | * | - | 129,637.8 |
Customer Buy | 28,585.7 | * | - | 35,554.2 |
Customer Sell | 18,496.0 | * | - | 80,609.8 |
Dealer to Dealer | 9,403.5 | - | - | * |
<= $1MM | 9,252.3 | - | - | * |
<= $10MM | 15,942.2 | * | - | 55,567.6 |
<= $100MM | * | - | - | * |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 330 | * | - | 22 |
Customer Buy | 155 | * | - | 7 |
Customer Sell | 146 | * | - | 14 |
Dealer to Dealer | 29 | - | - | * |
<= $1MM | 323 | - | - | * |
<= $10MM | 5 | * | - | 14 |
<= $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 | 17.6 | - | - | - |
Weighted Avg. Price | 6.9 | - | - | - |
Avg. Price Bottom 5 Trades | 10.7 | - | - | - |
2nd Quartile Price | 0.5 | - | - | - |
3rd Quartile Price | 19.3 | - | - | - |
4th Quartile Price | 58.6 | - | - | - |
Avg. Price Top 5 Trades | 24.6 | - | - | - |
Standard Deviation | 24.4 | - | - | - |
VOLUME OF TRADES (000'S) | 1,113.2 | - | - | - |
Customer Buy | 721.5 | - | - | - |
Customer Sell | * | - | - | - |
Dealer to Dealer | - | - | - | - |
<= $1MM | 1,113.2 | - | - | - |
<= $10MM | - | - | - | - |
<= $100MM | - | - | - | - |
> $100MM | - | - | - | - |
NUMBER OF TRADES | 7 | - | - | - |
Customer Buy | 5 | - | - | - |
Customer Sell | * | - | - | - |
Dealer to Dealer | - | - | - | - |
<= $1MM | 7 | - | - | - |
<= $10MM | - | - | - | - |
<= $100MM | - | - | - | - |
> $100MM | - | - | - | - |