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Trading volume increased in 3Q07, although prices declined, LSTA study finds
By Sara Rosenberg
New York, Dec. 13 - Trading volume in the third quarter reached a record high of $146 billion, while at the same time, the market saw unprecedented price declines as 99% of loans recorded mark-to-market losses, according to an LSTA secondary trading settlement study.
Of the total trading volume number, U.S. volume was $124.7 billion, an increase of 7% from the previous quarter.
Par volume was $141.4 billion, an increase of 6%, and distressed volume was $4.9 billion, a decrease of 51%.
As for prices, during the third quarter, 75% of facilities recorded declines between 1% and 5%, with an additional 16% of loans falling by more than 5%.
In the quarter, 8% of loans were below 90, 49% of loans were in the 90 to 98 range, 39% of loans were in the 98 to 100 range and 4% of loans were above 100. By comparison, in the second quarter, 3% of loans were below 90, 4% of loans were in the 90 to 98 range, 20% of loans were in the 98 to 100 range and 73% of loans were above 100.
Also, for the second consecutive quarter, 31% of facilities traded 20 or more times, the highest quarterly percentages on record, the study said. By comparison, during 2006, a quarterly average of 29% of facilities traded 20 or more times.
Looking past the third quarter, during October, the secondary rebounded with 65% of loans advancing and 34% declining, and then in November, the market fell again with 4% of loans advancing and 95% of loans declining.
In October, 8% of loans were below 90, 41% of loans were in the 90 to 98 range, 46% of loans were in the 98 to 100 range and 4% of loans were above 100, and in November, 15% of loans were below 90, 64% of loans were in the 90 to 98 range, 20% of loans were in the 98 to 100 range and 1% of loans were above 100.
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