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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 94.5 * 99.3 100.1
Weighted Avg. Price 95.4 * 99.7 100.3
Avg. Price Bottom 5 Trades 78.6 * 88.6 93.8
2nd Quartile Price 91.6 * 98.9 100.2
3rd Quartile Price 97.6 * 100.0 100.3
4th Quartile Price 99.5 * 100.7 100.7
Avg. Price Top 5 Trades 101.0 * 103.2 101.1
Standard Deviation 6.5 * 2.6 2.1
VOLUME OF TRADES (000'S) 247,542.5 * 771,280.3 659,901.1
Customer Buy 143,074.2 * 430,770.1 338,377.2
Customer Sell 80,600.6 * 312,912.4 301,963.9
Dealer to Dealer 23,867.7 - 27,597.8 *
<= $1MM 13,331.2 - 63,851.6 16,726.9
<= $10MM 128,436.3 - 317,554.7 247,920.7
<= $100MM 105,775.0 * 389,874.0 395,253.4
> $100MM - - - -
NUMBER OF TRADES 85 * 371 93
Customer Buy 51 * 176 48
Customer Sell 27 * 151 41
Dealer to Dealer 7 - 44 *
<= $1MM 44 - 260 24
<= $10MM 32 - 93 57
<= $100MM 9 * 18 12
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 62.7 * 97.5 78.3
Weighted Avg. Price 72.9 * 98.4 77.7
Avg. Price Bottom 5 Trades 5.0 * 83.6 35.8
2nd Quartile Price 45.0 * 94.9 64.7
3rd Quartile Price 65.4 * 99.4 93.1
4th Quartile Price 82.0 * 100.4 100.0
Avg. Price Top 5 Trades 100.8 * 107.1 100.9
Standard Deviation 24.3 * 6.1 24.7
VOLUME OF TRADES (000'S) 219,143.1 * 108,031.5 148,504.2
Customer Buy 127,817.2 * 57,949.6 79,065.0
Customer Sell 75,975.2 * 42,545.5 68,939.3
Dealer to Dealer 15,350.7 - * *
<= $1MM 12,305.3 - 17,042.6 7,857.0
<= $10MM 132,949.2 * 53,106.8 109,834.7
<= $100MM * * * *
> $100MM - - - -
NUMBER OF TRADES 199 * 61 49
Customer Buy 62 * 30 28
Customer Sell 85 * 27 20
Dealer to Dealer 52 - * *
<= $1MM 157 - 43 13
<= $10MM 38 * 16 34
<= $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 93.4 - - 94.8
Weighted Avg. Price 90.2 - - 95.8
Avg. Price Bottom 5 Trades 89.0 - - 78.6
2nd Quartile Price 90.4 - - 92.0
3rd Quartile Price 95.0 - - 99.0
4th Quartile Price 95.3 - - 100.0
Avg. Price Top 5 Trades 97.6 - - 101.0
Standard Deviation 4.2 - - 6.9
VOLUME OF TRADES (000'S) 19,796.0 - - 227,746.5
Customer Buy 10,353.5 - - 132,720.7
Customer Sell 9,348.4 - - 71,252.2
Dealer to Dealer * - - 23,773.6
<= $1MM 1,188.3 - - 12,143.0
<= $10MM * - - 109,828.5
<= $100MM - - - 105,775.0
> $100MM - - - -
NUMBER OF TRADES 16 - - 69
Customer Buy 6 - - 45
Customer Sell 8 - - 19
Dealer to Dealer * - - 5
<= $1MM 12 - - 32
<= $10MM * - - 28
<= $100MM - - - 9
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 60.3 * - 86.4
Weighted Avg. Price 69.6 * - 81.1
Avg. Price Bottom 5 Trades 5.0 * - 49.4
2nd Quartile Price 45.0 * - 96.4
3rd Quartile Price 60.0 * - 98.0
4th Quartile Price 80.1 * - 100.1
Avg. Price Top 5 Trades 96.8 * - 100.8
Standard Deviation 22.9 * - 25.0
VOLUME OF TRADES (000'S) 140,971.0 * - 73,310.1
Customer Buy 72,119.8 * - 53,266.5
Customer Sell 53,500.6 * - 20,043.7
Dealer to Dealer 15,350.7 - - -
<= $1MM 11,305.3 - - *
<= $10MM 55,777.2 * - 72,310.1
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 177 * - 20
Customer Buy 48 * - 13
Customer Sell 77 * - 7
Dealer to Dealer 52 - - -
<= $1MM 156 - - *
<= $10MM 17 * - 19
<= $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 - * - -
Weighted Avg. Price - * - -
Avg. Price Bottom 5 Trades - * - -
2nd Quartile Price - * - -
3rd Quartile Price - * - -
4th Quartile Price - * - -
Avg. Price Top 5 Trades - * - -
Standard Deviation - * - -
VOLUME OF TRADES (000'S) - * - -
Customer Buy - * - -
Customer Sell - * - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - * - -
> $100MM - - - -
NUMBER OF TRADES - * - -
Customer Buy - * - -
Customer Sell - * - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - * - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE * - - -
Weighted Avg. Price * - - -
Avg. Price Bottom 5 Trades * - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades * - - -
Standard Deviation * - - -
VOLUME OF TRADES (000'S) * - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM * - - -
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES * - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $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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