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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 97.7 * 98.1 98.5
Weighted Avg. Price 96.9 * 98.9 98.9
Avg. Price Bottom 5 Trades 91.9 * 89.4 93.8
2nd Quartile Price 95.8 * 96.7 98.5
3rd Quartile Price 98.5 * 99.0 99.0
4th Quartile Price 100.3 * 100.1 99.4
Avg. Price Top 5 Trades 101.4 * 101.4 100.0
Standard Deviation 3.1 * 2.6 1.6
VOLUME OF TRADES (000'S) 219,682.9 * 395,506.3 464,589.2
Customer Buy 84,910.4 * 242,365.7 283,628.7
Customer Sell 134,715.9 * 145,524.0 165,612.5
Dealer to Dealer 56.6 * 7,616.6 15,348.0
<= $1MM 4,836.0 * 42,104.3 21,959.8
<= $10MM 40,163.8 * 213,733.8 178,733.7
<= $100MM 174,683.1 - 139,668.2 263,895.7
> $100MM - - - -
NUMBER OF TRADES 59 * 269 100
Customer Buy 18 * 97 54
Customer Sell 30 * 130 40
Dealer to Dealer 11 * 42 6
<= $1MM 39 * 200 37
<= $10MM 11 * 62 48
<= $100MM 9 - 7 15
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 79.6 - 96.0 88.1
Weighted Avg. Price 91.4 - 96.5 43.1
Avg. Price Bottom 5 Trades 13.4 - 81.1 43.9
2nd Quartile Price 69.0 - 95.5 93.0
3rd Quartile Price 87.0 - 98.0 95.4
4th Quartile Price 97.0 - 100.0 96.8
Avg. Price Top 5 Trades 102.3 - 102.5 98.7
Standard Deviation 21.2 - 10.3 20.7
VOLUME OF TRADES (000'S) 98,236.7 - 68,790.6 209,018.0
Customer Buy 58,081.9 - 29,409.4 116,740.8
Customer Sell 39,811.4 - 39,381.2 92,277.2
Dealer to Dealer 343.3 - - -
<= $1MM 7,409.8 - 4,954.1 4,800.0
<= $10MM 37,209.8 - 63,836.4 83,463.6
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 232 - 39 38
Customer Buy 86 - 23 23
Customer Sell 86 - 16 15
Dealer to Dealer 60 - - -
<= $1MM 216 - 23 10
<= $10MM 13 - 16 26
<= $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 98.0 * * 95.8
Weighted Avg. Price 96.7 * * 96.1
Avg. Price Bottom 5 Trades 93.8 * * 93.1
2nd Quartile Price 96.0 * * 93.3
3rd Quartile Price 99.5 * * 97.3
4th Quartile Price 100.7 * * 97.6
Avg. Price Top 5 Trades 101.4 * * 97.9
Standard Deviation 3.0 * * 2.7
VOLUME OF TRADES (000'S) 47,830.6 * * 136,308.3
Customer Buy 22,335.5 * * 44,802.9
Customer Sell 25,438.5 * * 91,505.4
Dealer to Dealer 56.6 - - -
<= $1MM 3,319.7 - - *
<= $10MM * * - 32,732.3
<= $100MM * - * 102,059.7
> $100MM - - - -
NUMBER OF TRADES 41 * * 14
Customer Buy 10 * * 6
Customer Sell 20 * * 8
Dealer to Dealer 11 - - -
<= $1MM 37 - - *
<= $10MM * * - 7
<= $100MM * - * 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 79.0 - * *
Weighted Avg. Price 89.4 - * *
Avg. Price Bottom 5 Trades 13.4 - * *
2nd Quartile Price 69.0 - * *
3rd Quartile Price 86.3 - * *
4th Quartile Price 97.0 - * *
Avg. Price Top 5 Trades 102.3 - * *
Standard Deviation 21.3 - * *
VOLUME OF TRADES (000'S) 52,588.5 - * *
Customer Buy 36,949.9 - * *
Customer Sell 15,295.3 - * *
Dealer to Dealer 343.3 - - -
<= $1MM 6,069.8 - - *
<= $10MM 33,825.7 - * -
<= $100MM * - * -
> $100MM - - - -
NUMBER OF TRADES 224 - * *
Customer Buy 83 - * *
Customer Sell 81 - * *
Dealer to Dealer 60 - - -
<= $1MM 212 - - *
<= $10MM 11 - * -
<= $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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