METRIC | STRUCTURED PRODUCT TYPE | |||||||
NON-AGENCY CMO (P&I) |
NON-AGENCY CMO (IO/PO) |
NON-AGENCY CMBS (P&I) |
NON-AGENCY CMBS (IO/PO) |
AGENCY CMBS (P&I) |
AGENCY CMBS (IO/PO) |
ABS | CBO/CDO/CLO | |
Investment Grade | ||||||||
AVERAGE PRICE | 98.7 | 0.0 | 101.0 | 102.6 | 100.9 | 0.0 | 99.8 | 98.9 |
Weighted Avg. Price | 100.1 | 0.0 | 100.3 | 102.1 | 100.4 | 0.0 | 100.2 | 99.0 |
Avg. Price Bottom 5 Trades | 92.9 | 0.0 | 85.6 | 102.5 | 98.4 | 0.0 | 97.5 | 97.2 |
2nd Quartile Price | 99.4 | 0.0 | 100.0 | 103.3 | 99.5 | 0.0 | 99.3 | 98.3 |
3rd Quartile Price | 99.9 | 0.0 | 101.7 | 103.4 | 100.6 | 0.0 | 99.9 | 99.2 |
4th Quartile Price | 100.7 | 0.0 | 103.8 | 103.4 | 102.1 | 0.0 | 100.2 | 99.9 |
Avg. Price Top 5 Trades | 101.2 | 0.0 | 105.6 | 102.9 | 105.4 | 0.0 | 101.9 | 100.1 |
Standard Deviation | 4.2 | 0.0 | 4.6 | 1.1 | 2.2 | 0.0 | 0.9 | 1.2 |
VOLUME OF TRADES (000'S) | 37,939.6 | 0.0 | 269,761.8 | 35,100.0 | 49,765.3 | 0.0 | 455,580.3 | 73,995.0 |
Customer Buy | 28,484.0 | 0.0 | 184,468.7 | * | 20,825.9 | 0.0 | 303,979.7 | 52,445.0 |
Customer Sell | 9,348.3 | 0.0 | 81,363.1 | * | 18,859.1 | 0.0 | 144,474.6 | * |
Dealer to Dealer | 107.3 | 0.0 | 3,930.0 | * | 10,080.3 | 0.0 | 7,126.0 | * |
<= $1MM | 2,558.3 | 0.0 | 20,530.3 | 0.0 | 8,683.3 | 0.0 | 32,437.9 | 2,745.0 |
<= $10MM | 15,826.6 | 0.0 | 157,117.5 | 35,100.0 | 41,082.1 | 0.0 | 250,932.8 | 71,250.0 |
<= $100MM | * | 0.0 | 92,114.0 | 0.0 | 0.0 | 0.0 | 172,209.6 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 32 | 0 | 92 | 6 | 42 | 0 | 192 | 22 |
Customer Buy | 14 | 0 | 55 | * | 15 | 0 | 116 | 17 |
Customer Sell | 12 | 0 | 31 | * | 18 | 0 | 70 | * |
Dealer to Dealer | 6 | 0 | 6 | * | 9 | 0 | 6 | * |
<= $1MM | 24 | 0 | 44 | 0 | 33 | 0 | 109 | 5 |
<= $10MM | 7 | 0 | 42 | 6 | 9 | 0 | 73 | 17 |
<= $100MM | * | 0 | 6 | 0 | 0 | 0 | 10 | 0 |
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 85.8 | 0.0 | 82.7 | * | 99.4 | 11.3 | 431.7 | 90.2 |
Weighted Avg. Price | 74.1 | 0.0 | 83.6 | * | 101.6 | 3.5 | 129.5 | 85.1 |
Avg. Price Bottom 5 Trades | 32.7 | 0.0 | 56.8 | * | 89.2 | 11.3 | 96.9 | 75.0 |
2nd Quartile Price | 82.0 | 0.0 | 66.9 | * | 98.8 | * | 100.0 | 91.5 |
3rd Quartile Price | 90.6 | 0.0 | 89.8 | * | 100.0 | * | 100.4 | 96.6 |
4th Quartile Price | 95.6 | 0.0 | 100.3 | * | 101.5 | * | 101.2 | 99.9 |
Avg. Price Top 5 Trades | 100.0 | 0.0 | 102.2 | * | 104.2 | 11.3 | 1,826.4 | 100.0 |
Standard Deviation | 14.8 | 0.0 | 18.4 | * | 3.9 | 17.1 | 1,208.1 | 17.5 |
VOLUME OF TRADES (000'S) | 37,646.9 | 0.0 | 89,707.1 | * | 242,418.8 | 1,498,277.7 | 67,848.2 | 58,684.3 |
Customer Buy | 21,503.5 | 0.0 | 56,839.7 | 0.0 | 59,663.9 | * | 41,618.4 | 38,974.3 |
Customer Sell | 14,957.6 | 0.0 | 32,867.4 | * | 123,432.8 | * | 19,672.4 | 19,710.0 |
Dealer to Dealer | 1,185.8 | 0.0 | 0.0 | 0.0 | 59,322.1 | 0.0 | * | 0.0 |
<= $1MM | 6,798.6 | 0.0 | 2,941.0 | * | 5,830.8 | 0.0 | 5,666.2 | * |
<= $10MM | 30,848.3 | 0.0 | 74,043.1 | 0.0 | 79,969.9 | * | 62,182.0 | 55,684.3 |
<= $100MM | 0.0 | 0.0 | * | * | 156,618.0 | 0.0 | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | * | 0.0 | 0.0 |
NUMBER OF TRADES | 122 | 0 | 27 | * | 72 | 5 | 26 | 17 |
Customer Buy | 66 | 0 | 16 | 0 | 15 | * | 12 | 10 |
Customer Sell | 29 | 0 | 11 | * | 31 | * | 10 | 7 |
Dealer to Dealer | 27 | 0 | 0 | 0 | 26 | 0 | * | 0 |
<= $1MM | 112 | 0 | 12 | * | 39 | 0 | 9 | * |
<= $10MM | 10 | 0 | 14 | 0 | 24 | * | 17 | 13 |
<= $100MM | 0 | 0 | * | * | 9 | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 | 0 | 0 | * | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 97.9 | 0.0 | * | 100.0 |
Weighted Avg. Price | 99.5 | 0.0 | * | 100.3 |
Avg. Price Bottom 5 Trades | 94.2 | 0.0 | * | 99.4 |
2nd Quartile Price | 99.4 | 0.0 | * | 100.4 |
3rd Quartile Price | 99.8 | 0.0 | * | 100.5 |
4th Quartile Price | 100.7 | 0.0 | * | 100.9 |
Avg. Price Top 5 Trades | 100.6 | 0.0 | * | 100.8 |
Standard Deviation | 5.1 | 0.0 | * | 1.5 |
VOLUME OF TRADES (000'S) | 7,652.2 | 0.0 | * | 29,751.6 |
Customer Buy | 2,876.5 | 0.0 | * | 25,339.6 |
Customer Sell | 4,668.5 | 0.0 | * | * |
Dealer to Dealer | 107.3 | 0.0 | 0.0 | 0.0 |
<= $1MM | 315.7 | 0.0 | * | * |
<= $10MM | * | 0.0 | 0.0 | * |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 20 | 0 | * | 9 |
Customer Buy | 7 | 0 | * | 6 |
Customer Sell | 7 | 0 | * | * |
Dealer to Dealer | 6 | 0 | 0 | 0 |
<= $1MM | 17 | 0 | * | * |
<= $10MM | * | 0 | 0 | * |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
Non-Investment Grade † | ||||
AVERAGE PRICE | 85.8 | 0.0 | 0.0 | 0.0 |
Weighted Avg. Price | 74.1 | 0.0 | 0.0 | 0.0 |
Avg. Price Bottom 5 Trades | 32.7 | 0.0 | 0.0 | 0.0 |
2nd Quartile Price | 82.0 | 0.0 | 0.0 | 0.0 |
3rd Quartile Price | 90.6 | 0.0 | 0.0 | 0.0 |
4th Quartile Price | 95.6 | 0.0 | 0.0 | 0.0 |
Avg. Price Top 5 Trades | 100.0 | 0.0 | 0.0 | 0.0 |
Standard Deviation | 14.8 | 0.0 | 0.0 | 0.0 |
VOLUME OF TRADES (000'S) | 37,646.9 | 0.0 | 0.0 | 0.0 |
Customer Buy | 21,503.5 | 0.0 | 0.0 | 0.0 |
Customer Sell | 14,957.6 | 0.0 | 0.0 | 0.0 |
Dealer to Dealer | 1,185.8 | 0.0 | 0.0 | 0.0 |
<= $1MM | 6,798.6 | 0.0 | 0.0 | 0.0 |
<= $10MM | 30,848.3 | 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 | 122 | 0 | 0 | 0 |
Customer Buy | 66 | 0 | 0 | 0 |
Customer Sell | 29 | 0 | 0 | 0 |
Dealer to Dealer | 27 | 0 | 0 | 0 |
<= $1MM | 112 | 0 | 0 | 0 |
<= $10MM | 10 | 0 | 0 | 0 |
<= $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 |