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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 92.0 * 94.0 96.6
Weighted Avg. Price 89.6 * 97.4 97.1
Avg. Price Bottom 5 Trades 82.3 * 82.9 87.9
2nd Quartile Price 87.8 * 93.1 95.8
3rd Quartile Price 92.8 * 93.1 97.2
4th Quartile Price 96.0 * 93.4 98.3
Avg. Price Top 5 Trades 100.0 * 101.6 99.3
Standard Deviation 5.2 * 2.6 2.5
VOLUME OF TRADES (000'S) 168,262.5 * 666,468.8 782,136.2
Customer Buy 85,001.6 * 334,721.0 444,547.7
Customer Sell 51,711.1 - 322,041.8 305,655.2
Dealer to Dealer 31,549.7 - 9,705.9 31,933.3
<= $1MM 23,645.1 - 41,262.5 26,029.0
<= $10MM 120,406.8 - 268,279.4 389,593.3
<= $100MM * * 356,926.8 366,513.8
> $100MM - * - -
NUMBER OF TRADES 142 * 1,001 161
Customer Buy 48 * 829 88
Customer Sell 44 - 122 64
Dealer to Dealer 50 - 50 9
<= $1MM 95 - 906 43
<= $10MM 45 - 82 96
<= $100MM * * 13 22
> $100MM - * - -
Non-Investment Grade †
AVERAGE PRICE 81.2 - 92.2 79.6
Weighted Avg. Price 75.8 - 77.5 80.9
Avg. Price Bottom 5 Trades 18.6 - 46.6 46.2
2nd Quartile Price 61.2 - 92.6 83.3
3rd Quartile Price 81.0 - 97.6 87.0
4th Quartile Price 90.0 - 99.3 91.6
Avg. Price Top 5 Trades 494.8 - 101.2 95.8
Standard Deviation 69.7 - 15.1 18.2
VOLUME OF TRADES (000'S) 180,811.2 - 84,623.6 106,909.1
Customer Buy 85,243.6 - 35,196.6 44,869.1
Customer Sell 74,593.1 - 45,774.8 62,040.0
Dealer to Dealer 20,974.4 - * -
<= $1MM 11,946.8 - 3,400.6 *
<= $10MM 168,864.4 - 81,223.0 94,409.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 282 - 56 32
Customer Buy 165 - 18 13
Customer Sell 62 - 35 19
Dealer to Dealer 55 - * -
<= $1MM 231 - 34 *
<= $10MM 51 - 22 30
<= $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 94.3 - * 91.2
Weighted Avg. Price 93.9 - * 89.6
Avg. Price Bottom 5 Trades 89.2 - * 82.3
2nd Quartile Price 90.2 - * 87.0
3rd Quartile Price 94.0 - * 92.1
4th Quartile Price 99.3 - * 95.0
Avg. Price Top 5 Trades 100.0 - * 99.5
Standard Deviation 4.3 - * 5.3
VOLUME OF TRADES (000'S) 1,333.3 - * 166,903.0
Customer Buy 199.8 - - 84,801.8
Customer Sell 154.1 - - 51,557.0
Dealer to Dealer 979.4 - * 30,544.2
<= $1MM 1,333.3 - * 22,285.6
<= $10MM - - - 120,406.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 39 - * 102
Customer Buy 10 - - 38
Customer Sell 8 - - 36
Dealer to Dealer 21 - * 28
<= $1MM 39 - * 55
<= $10MM - - - 45
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 80.7 73.5 98.1 *
Weighted Avg. Price 74.0 61.2 96.8 *
Avg. Price Bottom 5 Trades 18.6 73.5 98.1 *
2nd Quartile Price 60.5 * * *
3rd Quartile Price 80.0 * * *
4th Quartile Price 89.0 * * *
Avg. Price Top 5 Trades 494.8 73.5 98.1 *
Standard Deviation 71.7 27.5 2.3 *
VOLUME OF TRADES (000'S) 125,301.0 23,186.1 18,124.1 *
Customer Buy 55,695.5 * 7,079.1 *
Customer Sell 52,385.3 * * *
Dealer to Dealer 17,220.3 * * -
<= $1MM 10,362.0 * - -
<= $10MM 114,939.1 * 18,124.1 *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 265 5 8 *
Customer Buy 155 * 5 *
Customer Sell 57 * * *
Dealer to Dealer 53 * * -
<= $1MM 229 * - -
<= $10MM 36 * 8 *
<= $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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