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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 90.0 - 96.2 96.0
Weighted Avg. Price 88.9 - 96.0 96.9
Avg. Price Bottom 5 Trades 80.3 - 82.3 86.4
2nd Quartile Price 87.4 - 95.4 95.6
3rd Quartile Price 90.8 - 97.2 97.6
4th Quartile Price 94.6 - 98.7 98.4
Avg. Price Top 5 Trades 97.7 - 101.7 99.5
Standard Deviation 5.4 - 3.8 3.8
VOLUME OF TRADES (000'S) 33,185.1 - 1,004,911.6 485,802.1
Customer Buy 21,484.9 - 519,749.2 170,820.8
Customer Sell 10,253.9 - 354,173.2 107,965.4
Dealer to Dealer 1,446.3 - 130,989.2 207,016.0
<= $1MM 5,210.3 - 40,551.0 14,675.7
<= $10MM 27,974.7 - 315,849.9 267,641.4
<= $100MM - - 648,510.6 203,485.0
> $100MM - - - -
NUMBER OF TRADES 52 - 353 95
Customer Buy 23 - 151 41
Customer Sell 19 - 158 24
Dealer to Dealer 10 - 44 30
<= $1MM 39 - 233 25
<= $10MM 13 - 91 59
<= $100MM - - 29 11
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.5 * 91.5 81.3
Weighted Avg. Price 48.4 * 96.1 67.3
Avg. Price Bottom 5 Trades 7.3 * 79.7 53.2
2nd Quartile Price 52.4 * 84.1 76.0
3rd Quartile Price 80.0 * 94.5 84.3
4th Quartile Price 88.4 * 99.0 89.9
Avg. Price Top 5 Trades 96.2 * 100.6 95.2
Standard Deviation 24.7 * 9.0 13.1
VOLUME OF TRADES (000'S) 96,604.5 * 117,025.4 183,720.0
Customer Buy 45,506.4 - 67,107.0 92,845.0
Customer Sell 48,782.1 * 48,977.3 88,875.0
Dealer to Dealer 2,316.1 * * *
<= $1MM 8,775.9 * 4,676.9 5,405.0
<= $10MM 42,384.0 - 65,836.5 88,185.0
<= $100MM * - * *
> $100MM - - - -
NUMBER OF TRADES 142 * 32 44
Customer Buy 58 - 18 21
Customer Sell 48 * 12 22
Dealer to Dealer 36 * * *
<= $1MM 125 * 10 14
<= $10MM 15 - 20 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 91.0 - * 87.4
Weighted Avg. Price 91.1 - * 88.0
Avg. Price Bottom 5 Trades 82.8 - * 80.7
2nd Quartile Price 89.0 - * 80.9
3rd Quartile Price 91.8 - * 88.5
4th Quartile Price 94.7 - * 94.5
Avg. Price Top 5 Trades 97.4 - * 94.5
Standard Deviation 4.7 - * 6.2
VOLUME OF TRADES (000'S) 4,163.4 - * 23,070.2
Customer Buy 2,621.7 - * 13,841.8
Customer Sell 1,502.7 - * 7,821.2
Dealer to Dealer 39.1 - - *
<= $1MM 2,555.3 - * 1,725.0
<= $10MM * - * 21,345.3
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 34 - * 15
Customer Buy 13 - * 8
Customer Sell 12 - * 6
Dealer to Dealer 9 - - *
<= $1MM 33 - * 5
<= $10MM * - * 10
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.3 - * 65.0
Weighted Avg. Price 65.0 - * 31.7
Avg. Price Bottom 5 Trades 10.0 - * 58.8
2nd Quartile Price 52.4 - * 85.1
3rd Quartile Price 80.0 - * 88.5
4th Quartile Price 88.0 - * 96.1
Avg. Price Top 5 Trades 96.1 - * 74.5
Standard Deviation 24.3 - * 36.9
VOLUME OF TRADES (000'S) 28,186.9 - * 56,330.5
Customer Buy 13,798.5 - * *
Customer Sell 12,072.4 - * *
Dealer to Dealer 2,316.1 - - -
<= $1MM 8,775.9 - - -
<= $10MM 19,411.0 - * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 133 - * 6
Customer Buy 54 - * *
Customer Sell 43 - * *
Dealer to Dealer 36 - - -
<= $1MM 125 - - -
<= $10MM 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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