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 | 99.9 | 0.0 | 106.4 | * | 107.3 | 0.0 | 100.7 | 98.3 |
Weighted Avg. Price | 102.2 | 0.0 | 108.2 | * | 107.1 | 0.0 | 101.0 | 98.2 |
Avg. Price Bottom 5 Trades | 93.9 | 0.0 | 80.2 | * | 101.3 | 0.0 | 94.4 | 96.3 |
2nd Quartile Price | 99.2 | 0.0 | 103.3 | * | 104.3 | 0.0 | 99.2 | 97.8 |
3rd Quartile Price | 100.6 | 0.0 | 109.1 | * | 108.7 | 0.0 | 101.0 | 98.5 |
4th Quartile Price | 101.5 | 0.0 | 115.8 | * | 109.9 | 0.0 | 102.3 | 98.8 |
Avg. Price Top 5 Trades | 104.5 | 0.0 | 118.9 | * | 114.0 | 0.0 | 106.4 | 99.8 |
Standard Deviation | 4.0 | 0.0 | 11.2 | * | 4.6 | 0.0 | 2.4 | 1.1 |
VOLUME OF TRADES (000'S) | 64,189.5 | 0.0 | 279,136.8 | * | 17,462.6 | 0.0 | 363,434.1 | 120,930.9 |
Customer Buy | 36,899.4 | 0.0 | 150,973.1 | * | 14,454.8 | 0.0 | 272,792.8 | 71,676.3 |
Customer Sell | 27,228.1 | 0.0 | 126,989.7 | 0.0 | 2,933.4 | 0.0 | 83,102.5 | 45,254.6 |
Dealer to Dealer | 62.0 | 0.0 | * | 0.0 | 74.4 | 0.0 | 7,538.8 | * |
<= $1MM | 1,848.0 | 0.0 | 12,768.1 | 0.0 | 5,827.4 | 0.0 | 18,782.2 | 8,286.2 |
<= $10MM | * | 0.0 | 107,315.0 | 0.0 | * | 0.0 | 193,342.7 | 112,644.8 |
<= $100MM | * | 0.0 | 159,053.7 | * | 0.0 | 0.0 | 151,309.1 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 24 | 0 | 61 | * | 37 | 0 | 142 | 40 |
Customer Buy | 10 | 0 | 41 | * | 15 | 0 | 65 | 22 |
Customer Sell | 9 | 0 | 17 | 0 | 14 | 0 | 59 | 14 |
Dealer to Dealer | 5 | 0 | * | 0 | 8 | 0 | 18 | * |
<= $1MM | 18 | 0 | 27 | 0 | 34 | 0 | 82 | 12 |
<= $10MM | * | 0 | 24 | 0 | * | 0 | 52 | 28 |
<= $100MM | * | 0 | 10 | * | 0 | 0 | 8 | 0 |
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
Non-Investment Grade † | ||||||||
AVERAGE PRICE | 80.7 | 0.0 | 75.2 | * | 105.7 | 0.0 | 81.7 | * |
Weighted Avg. Price | 69.4 | 0.0 | 92.7 | * | 104.9 | 0.0 | 53.6 | * |
Avg. Price Bottom 5 Trades | 42.3 | 0.0 | 46.1 | * | 100.0 | 0.0 | 54.5 | * |
2nd Quartile Price | 79.7 | 0.0 | 53.0 | * | 100.5 | 0.0 | 90.0 | * |
3rd Quartile Price | 85.6 | 0.0 | 96.0 | * | 104.1 | 0.0 | 93.0 | * |
4th Quartile Price | 91.0 | 0.0 | 96.3 | * | 110.9 | 0.0 | 100.1 | * |
Avg. Price Top 5 Trades | 100.1 | 0.0 | 98.4 | * | 115.3 | 0.0 | 98.7 | * |
Standard Deviation | 17.4 | 0.0 | 29.9 | * | 7.7 | 0.0 | 25.7 | * |
VOLUME OF TRADES (000'S) | 63,806.7 | 0.0 | 14,333.2 | * | 113,705.9 | 0.0 | 90,603.2 | * |
Customer Buy | 35,449.2 | 0.0 | * | * | 17,843.5 | 0.0 | 50,958.2 | * |
Customer Sell | 22,971.9 | 0.0 | 7,509.2 | * | 73,555.1 | 0.0 | * | * |
Dealer to Dealer | 5,385.6 | 0.0 | 0.0 | 0.0 | 22,307.3 | 0.0 | * | 0.0 |
<= $1MM | 8,556.2 | 0.0 | 4,186.2 | * | 2,349.7 | 0.0 | 1,204.4 | 0.0 |
<= $10MM | 25,250.5 | 0.0 | * | 0.0 | 42,043.5 | 0.0 | 24,961.8 | * |
<= $100MM | * | 0.0 | 0.0 | * | * | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 80 | 0 | 12 | * | 18 | 0 | 15 | * |
Customer Buy | 39 | 0 | * | * | 5 | 0 | 7 | * |
Customer Sell | 22 | 0 | 8 | * | 6 | 0 | * | * |
Dealer to Dealer | 19 | 0 | 0 | 0 | 7 | 0 | * | 0 |
<= $1MM | 71 | 0 | 9 | * | 9 | 0 | 7 | 0 |
<= $10MM | 7 | 0 | * | 0 | 8 | 0 | 6 | * |
<= $100MM | * | 0 | 0 | * | * | 0 | * | 0 |
> $100MM | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
Investment Grade | ||||
AVERAGE PRICE | 98.7 | * | 0.0 | 102.3 |
Weighted Avg. Price | 99.3 | * | 0.0 | 102.2 |
Avg. Price Bottom 5 Trades | 94.0 | * | 0.0 | 101.1 |
2nd Quartile Price | 99.1 | * | 0.0 | 100.6 |
3rd Quartile Price | 100.2 | * | 0.0 | 101.5 |
4th Quartile Price | 101.5 | * | 0.0 | 102.6 |
Avg. Price Top 5 Trades | 101.9 | * | 0.0 | 103.4 |
Standard Deviation | 4.2 | * | 0.0 | 3.0 |
VOLUME OF TRADES (000'S) | 1,111.6 | * | 0.0 | 63,014.8 |
Customer Buy | * | * | 0.0 | 36,306.0 |
Customer Sell | 519.3 | 0.0 | 0.0 | * |
Dealer to Dealer | 62.0 | 0.0 | 0.0 | 0.0 |
<= $1MM | 1,111.6 | * | 0.0 | * |
<= $10MM | 0.0 | 0.0 | 0.0 | * |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 15 | * | 0 | 8 |
Customer Buy | * | * | 0 | 6 |
Customer Sell | 7 | 0 | 0 | * |
Dealer to Dealer | 5 | 0 | 0 | 0 |
<= $1MM | 15 | * | 0 | * |
<= $10MM | 0 | 0 | 0 | * |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
Non-Investment Grade † | ||||
AVERAGE PRICE | 81.4 | 0.0 | * | 0.0 |
Weighted Avg. Price | 83.3 | 0.0 | * | 0.0 |
Avg. Price Bottom 5 Trades | 42.3 | 0.0 | * | 0.0 |
2nd Quartile Price | 80.0 | 0.0 | * | 0.0 |
3rd Quartile Price | 86.0 | 0.0 | * | 0.0 |
4th Quartile Price | 92.4 | 0.0 | * | 0.0 |
Avg. Price Top 5 Trades | 100.1 | 0.0 | * | 0.0 |
Standard Deviation | 17.1 | 0.0 | * | 0.0 |
VOLUME OF TRADES (000'S) | 33,806.7 | 0.0 | * | 0.0 |
Customer Buy | 20,449.2 | 0.0 | * | 0.0 |
Customer Sell | 7,971.9 | 0.0 | * | 0.0 |
Dealer to Dealer | 5,385.6 | 0.0 | 0.0 | 0.0 |
<= $1MM | 8,556.2 | 0.0 | 0.0 | 0.0 |
<= $10MM | 25,250.5 | 0.0 | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 78 | 0 | * | 0 |
Customer Buy | 38 | 0 | * | 0 |
Customer Sell | 21 | 0 | * | 0 |
Dealer to Dealer | 19 | 0 | 0 | 0 |
<= $1MM | 71 | 0 | 0 | 0 |
<= $10MM | 7 | 0 | 0 | 0 |
<= $100MM | 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 |