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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 99.0 - 99.7 99.4
Weighted Avg. Price 98.8 - 99.8 99.2
Avg. Price Bottom 5 Trades 94.7 - 96.3 90.1
2nd Quartile Price 98.8 - 98.6 99.9
3rd Quartile Price 99.6 - 99.7 100.0
4th Quartile Price 100.3 - 100.4 100.0
Avg. Price Top 5 Trades 101.0 - 109.1 100.2
Standard Deviation 1.9 - 1.8 2.8
VOLUME OF TRADES (000'S) 155,946.1 - 577,154.9 539,092.9
Customer Buy 99,363.2 - 306,775.4 227,451.1
Customer Sell 50,446.3 - 226,653.2 257,947.8
Dealer to Dealer 6,136.6 - 43,726.3 53,694.0
<= $1MM 5,067.3 - 45,304.5 25,028.3
<= $10MM 111,377.7 - 383,148.6 306,595.6
<= $100MM * - 148,701.8 207,469.0
> $100MM - - - -
NUMBER OF TRADES 50 - 362 123
Customer Buy 27 - 131 51
Customer Sell 18 - 139 56
Dealer to Dealer 5 - 92 16
<= $1MM 21 - 243 37
<= $10MM 28 - 109 73
<= $100MM * - 10 13
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 86.3 - 107.2 89.8
Weighted Avg. Price 90.7 - 101.4 81.0
Avg. Price Bottom 5 Trades 33.1 - 85.3 49.9
2nd Quartile Price 76.4 - 97.8 95.8
3rd Quartile Price 92.5 - 99.8 98.1
4th Quartile Price 98.0 - 101.5 99.5
Avg. Price Top 5 Trades 152.2 - 192.4 101.3
Standard Deviation 23.4 - 44.8 18.8
VOLUME OF TRADES (000'S) 191,178.7 - 120,300.8 189,546.9
Customer Buy 62,785.5 - 54,018.7 92,756.6
Customer Sell 122,168.6 - 57,865.7 79,465.4
Dealer to Dealer 6,224.6 - 8,416.3 *
<= $1MM 18,378.3 - 13,760.6 8,560.8
<= $10MM 112,509.7 - 64,143.1 105,961.2
<= $100MM * - * *
> $100MM - - - -
NUMBER OF TRADES 249 - 50 49
Customer Buy 121 - 19 25
Customer Sell 85 - 25 22
Dealer to Dealer 43 - 6 *
<= $1MM 206 - 30 13
<= $10MM 39 - 17 32
<= $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 99.7 - 97.0 99.1
Weighted Avg. Price 99.9 - 95.6 98.7
Avg. Price Bottom 5 Trades 98.7 - 97.0 96.3
2nd Quartile Price 99.7 - * 98.8
3rd Quartile Price 100.1 - * 99.2
4th Quartile Price 101.0 - * 99.8
Avg. Price Top 5 Trades 100.6 - 97.0 100.8
Standard Deviation 1.7 - 2.8 1.6
VOLUME OF TRADES (000'S) 11,219.8 - 320.9 144,405.4
Customer Buy 3,775.8 - * 95,367.0
Customer Sell * - * 46,604.1
Dealer to Dealer * - - *
<= $1MM 119.8 - 320.9 4,626.6
<= $10MM * - - 100,277.7
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 12 - 5 33
Customer Buy 5 - * 19
Customer Sell * - * 12
Dealer to Dealer * - - *
<= $1MM 9 - 5 7
<= $10MM * - - 25
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 86.3 * - 93.0
Weighted Avg. Price 90.7 * - 93.7
Avg. Price Bottom 5 Trades 33.1 * - 90.9
2nd Quartile Price 76.2 * - 97.1
3rd Quartile Price 92.4 * - 97.6
4th Quartile Price 98.0 * - 98.2
Avg. Price Top 5 Trades 152.2 * - 97.6
Standard Deviation 23.7 * - 8.0
VOLUME OF TRADES (000'S) 176,508.6 * - 12,751.5
Customer Buy 55,347.5 * - *
Customer Sell 114,936.5 * - *
Dealer to Dealer 6,224.6 - - -
<= $1MM 16,359.7 * - *
<= $10MM 99,858.2 - - 12,651.5
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 240 * - 7
Customer Buy 116 * - *
Customer Sell 81 * - *
Dealer to Dealer 43 - - -
<= $1MM 203 * - *
<= $10MM 33 - - 6
<= $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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