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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS
Pricing Table: Non-Agency CMO | ABS| CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 85.5 3.4 99.4 99.9
Weighted Avg. Price 91.0 2.0 99.7 99.5
Avg. Price Bottom 5 Trades 17.2 2.0 74.6 92.9
2nd Quartile Price 83.9 2.1 99.1 100.1
3rd Quartile Price 89.9 2.6 100.3 100.1
4th Quartile Price 97.3 9.4 101.0 100.2
Avg. Price Top 5 Trades 102.6 4.2 104.3 101.7
Standard Deviation 21.2 2.9 4.1 2.5
VOLUME OF TRADES (000'S) 80,801.7 570,072.1 653,058.9 271,691.6
Customer Buy 43,874.3 570,072.1 337,381.3 124,451.2
Customer Sell 29,442.6 - 236,747.1 135,684.0
Dealer to Dealer 7,484.9 - 78,930.6 11,556.4
<= $1MM 14,220.3 - 57,198.4 19,104.7
<= $10MM 66,581.4 - 310,312.4 201,877.3
<= $100MM - 252,664.3 285,548.1 *
> $100MM - * - -
NUMBER OF TRADES 68 7 367 93
Customer Buy 36 7 203 44
Customer Sell 20 - 112 39
Dealer to Dealer 12 - 52 10
<= $1MM 54 - 263 42
<= $10MM 14 - 90 48
<= $100MM - 6 14 *
> $100MM - * - -
Non-Investment Grade †
AVERAGE PRICE 60.4 6.4 98.6 98.0
Weighted Avg. Price 77.2 12.6 99.1 94.4
Avg. Price Bottom 5 Trades 9.0 0.9 91.9 85.3
2nd Quartile Price 40.0 1.9 97.5 96.8
3rd Quartile Price 64.9 2.9 100.3 100.3
4th Quartile Price 82.7 3.2 101.2 100.6
Avg. Price Top 5 Trades 102.8 11.4 103.1 102.7
Standard Deviation 26.5 11.0 3.7 5.9
VOLUME OF TRADES (000'S) 49,477.8 3,059.2 245,510.3 137,092.8
Customer Buy 34,828.7 * 114,299.5 74,455.0
Customer Sell 13,962.3 2,272.3 72,797.6 60,637.8
Dealer to Dealer 686.7 * 58,413.2 *
<= $1MM 10,436.7 1,887.1 6,260.6 15,050.0
<= $10MM 39,041.1 * 86,901.1 99,042.8
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 233 14 47 54
Customer Buy 85 * 16 26
Customer Sell 104 7 17 26
Dealer to Dealer 44 * 14 *
<= $1MM 222 13 17 19
<= $10MM 11 * 26 33
<= $100MM - - * *
> $100MM - - - -

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 72.0 - * 91.8
Weighted Avg. Price 98.4 - * 90.8
Avg. Price Bottom 5 Trades 17.2 - * 81.6
2nd Quartile Price 72.0 - * 84.6
3rd Quartile Price 90.7 - * 89.9
4th Quartile Price 93.4 - * 100.0
Avg. Price Top 5 Trades 97.3 - * 102.6
Standard Deviation 32.0 - * 7.6
VOLUME OF TRADES (000'S) 1,411.7 - * 78,841.3
Customer Buy 1,231.2 - * 42,368.7
Customer Sell 27.7 - * 29,140.6
Dealer to Dealer 152.9 - - 7,332.0
<= $1MM 1,411.7 - * 12,259.9
<= $10MM - - - 66,581.4
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 22 - * 44
Customer Buy 10 - * 25
Customer Sell 5 - * 14
Dealer to Dealer 7 - - 5
<= $1MM 22 - * 30
<= $10MM - - - 14
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 57.8 - - 99.6
Weighted Avg. Price 56.9 - - 102.1
Avg. Price Bottom 5 Trades 9.0 - - 96.5
2nd Quartile Price 38.6 - - 99.3
3rd Quartile Price 60.5 - - 99.6
4th Quartile Price 80.0 - - 101.5
Avg. Price Top 5 Trades 98.0 - - 102.8
Standard Deviation 25.3 - - 3.2
VOLUME OF TRADES (000'S) 27,239.3 - - 22,238.5
Customer Buy 21,597.0 - - 13,231.7
Customer Sell 4,955.6 - - 9,006.7
Dealer to Dealer 686.7 - - -
<= $1MM 6,060.2 - - 4,376.5
<= $10MM 21,179.1 - - 17,862.0
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 219 - - 14
Customer Buy 76 - - 9
Customer Sell 99 - - 5
Dealer to Dealer 44 - - -
<= $1MM 213 - - 9
<= $10MM 6 - - 5
<= $100MM - - - -
> $100MM - - - -

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 - - - 3.4
Weighted Avg. Price - - - 2.0
Avg. Price Bottom 5 Trades - - - 2.0
2nd Quartile Price - - - 2.1
3rd Quartile Price - - - 2.6
4th Quartile Price - - - 9.4
Avg. Price Top 5 Trades - - - 4.2
Standard Deviation - - - 2.9
VOLUME OF TRADES (000'S) - - - 570,072.1
Customer Buy - - - 570,072.1
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 252,664.3
> $100MM - - - *
NUMBER OF TRADES - - - 7
Customer Buy - - - 7
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 6
> $100MM - - - *
Non-Investment Grade †
AVERAGE PRICE 6.4 - - -
Weighted Avg. Price 12.6 - - -
Avg. Price Bottom 5 Trades 0.9 - - -
2nd Quartile Price 1.9 - - -
3rd Quartile Price 2.9 - - -
4th Quartile Price 3.2 - - -
Avg. Price Top 5 Trades 11.4 - - -
Standard Deviation 11.0 - - -
VOLUME OF TRADES (000'S) 3,059.2 - - -
Customer Buy * - - -
Customer Sell 2,272.3 - - -
Dealer to Dealer * - - -
<= $1MM 1,887.1 - - -
<= $10MM * - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 14 - - -
Customer Buy * - - -
Customer Sell 7 - - -
Dealer to Dealer * - - -
<= $1MM 13 - - -
<= $10MM * - - -
<= $100MM - - - -
> $100MM - - - -

* 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 List or 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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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