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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 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

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 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

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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