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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Non-Agency CMO | CMBS | ABS | CBO/CDO/CLO
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

Pricing Table: Non-Agency CMO (P&I) by Deal Vintage
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

Pricing Table: Non-Agency CMO (IO/PO) by Deal Vintage
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

* Indicates trade count is less than 5
† Includes Unrated Securities
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

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