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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/CDO 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 91.4 * 97.4 95.4
Weighted Avg. Price 91.9 * 99.0 96.2
Avg. Price Bottom 5 Trades 70.6 * 69.8 86.1
2nd Quartile Price 91.3 * 97.2 94.3
3rd Quartile Price 95.0 * 99.0 96.4
4th Quartile Price 98.4 * 99.9 98.0
Avg. Price Top 5 Trades 99.8 * 100.6 99.7
Standard Deviation 10.8 * 6.6 3.8
VOLUME OF TRADES (000'S) 306,643.4 * 320,697.2 426,942.8
Customer Buy 145,759.1 0.0 207,495.4 240,729.9
Customer Sell 160,702.2 0.0 82,009.9 167,412.9
Dealer to Dealer 182.1 * 31,191.8 *
<= $1MM 1,588.0 0.0 28,617.4 11,650.7
<= $10MM * * 197,771.8 222,362.1
<= $100MM 297,912.3 0.0 94,308.0 192,930.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 45 * 158 88
Customer Buy 13 0 77 52
Customer Sell 23 0 67 32
Dealer to Dealer 9 * 14 *
<= $1MM 33 0 94 15
<= $10MM * * 58 66
<= $100MM 10 0 6 7
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 74.8 0.0 90.6 79.6
Weighted Avg. Price 77.6 0.0 77.1 65.1
Avg. Price Bottom 5 Trades 3.2 0.0 42.8 35.2
2nd Quartile Price 60.5 0.0 93.0 77.7
3rd Quartile Price 86.0 0.0 96.9 81.2
4th Quartile Price 93.5 0.0 99.5 84.5
Avg. Price Top 5 Trades 100.1 0.0 102.1 95.8
Standard Deviation 25.7 0.0 22.1 12.7
VOLUME OF TRADES (000'S) 301,033.9 0.0 129,026.1 157,988.0
Customer Buy 143,896.4 0.0 79,123.8 100,964.6
Customer Sell 146,080.6 0.0 46,699.0 57,023.4
Dealer to Dealer 11,056.9 0.0 3,203.3 0.0
<= $1MM 16,079.1 0.0 2,969.7 53,386.8
<= $10MM 115,873.8 0.0 126,056.3 80,001.1
<= $100MM 169,081.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 207 0 60 161
Customer Buy 87 0 28 83
Customer Sell 75 0 22 78
Dealer to Dealer 45 0 10 0
<= $1MM 160 0 26 127
<= $10MM 37 0 34 33
<= $100MM 10 0 0 *
> $100MM 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 91.6 0.0 * 90.5
Weighted Avg. Price 96.9 0.0 * 91.9
Avg. Price Bottom 5 Trades 73.0 0.0 * 88.2
2nd Quartile Price 95.0 0.0 * 91.3
3rd Quartile Price 98.0 0.0 * 91.4
4th Quartile Price 99.3 0.0 * 92.7
Avg. Price Top 5 Trades 99.8 0.0 * 92.8
Standard Deviation 12.7 0.0 * 4.3
VOLUME OF TRADES (000'S) 1,050.5 0.0 * 305,555.4
Customer Buy 591.5 0.0 * 145,130.1
Customer Sell 276.9 0.0 0.0 160,425.3
Dealer to Dealer 182.1 0.0 0.0 0.0
<= $1MM 1,050.5 0.0 * *
<= $10MM 0.0 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 297,912.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 31 0 * 13
Customer Buy 6 0 * 6
Customer Sell 16 0 0 7
Dealer to Dealer 9 0 0 0
<= $1MM 31 0 * *
<= $10MM 0 0 0 *
<= $100MM 0 0 0 10
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 74.4 0.0 * *
Weighted Avg. Price 77.0 0.0 * *
Avg. Price Bottom 5 Trades 3.2 0.0 * *
2nd Quartile Price 60.0 0.0 * *
3rd Quartile Price 85.3 0.0 * *
4th Quartile Price 93.4 0.0 * *
Avg. Price Top 5 Trades 100.1 0.0 * *
Standard Deviation 25.7 0.0 * *
VOLUME OF TRADES (000'S) 292,236.7 0.0 * *
Customer Buy 137,459.5 0.0 * *
Customer Sell 143,720.3 0.0 * 0.0
Dealer to Dealer 11,056.9 0.0 0.0 0.0
<= $1MM 15,046.2 0.0 * *
<= $10MM 108,109.5 0.0 * *
<= $100MM 169,081.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 203 0 * *
Customer Buy 84 0 * *
Customer Sell 74 0 * 0
Dealer to Dealer 45 0 0 0
<= $1MM 158 0 * *
<= $10MM 35 0 * *
<= $100MM 10 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 *
Weighted Avg. Price 0.0 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 *
2nd Quartile Price 0.0 0.0 0.0 *
3rd Quartile Price 0.0 0.0 0.0 *
4th Quartile Price 0.0 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 *
Standard Deviation 0.0 0.0 0.0 *
VOLUME OF TRADES (000'S) 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 *
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 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 *
Customer Buy 0 0 0 0
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 *
<= $1MM 0 0 0 0
<= $10MM 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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.
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