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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 88.6 - 97.0 98.5
Weighted Avg. Price 90.8 - 96.8 99.0
Avg. Price Bottom 5 Trades 73.3 - 83.6 91.8
2nd Quartile Price 83.6 - 96.1 98.1
3rd Quartile Price 89.5 - 97.5 98.8
4th Quartile Price 94.1 - 99.2 99.6
Avg. Price Top 5 Trades 99.9 - 100.8 100.3
Standard Deviation 7.7 - 3.2 1.6
VOLUME OF TRADES (000'S) 191,687.6 - 560,973.7 1,626,748.4
Customer Buy 72,890.0 - 239,077.4 834,451.8
Customer Sell 102,269.3 - 311,469.2 725,941.1
Dealer to Dealer 16,528.3 - 10,427.1 66,355.5
<= $1MM 5,573.7 - 37,937.6 60,570.8
<= $10MM 106,605.3 - 296,067.1 739,894.4
<= $100MM 79,508.6 - 226,969.0 826,283.1
> $100MM - - - -
NUMBER OF TRADES 88 - 234 280
Customer Buy 30 - 119 147
Customer Sell 42 - 100 106
Dealer to Dealer 16 - 15 27
<= $1MM 49 - 135 86
<= $10MM 33 - 89 164
<= $100MM 6 - 10 30
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 57.7 * 82.8 94.2
Weighted Avg. Price 51.3 * 67.9 96.1
Avg. Price Bottom 5 Trades 0.2 * 30.8 82.0
2nd Quartile Price 34.3 * 84.3 91.1
3rd Quartile Price 70.0 * 96.8 95.3
4th Quartile Price 81.0 * 98.7 99.4
Avg. Price Top 5 Trades 99.1 * 100.2 102.0
Standard Deviation 29.2 * 30.0 5.9
VOLUME OF TRADES (000'S) 158,943.4 * 193,942.7 283,703.2
Customer Buy 73,179.6 * 93,552.0 133,025.2
Customer Sell 68,042.2 * 98,790.7 141,082.5
Dealer to Dealer 17,721.7 - * 9,595.4
<= $1MM 16,877.2 * 3,580.2 13,395.7
<= $10MM 93,590.5 - 78,749.4 270,307.4
<= $100MM * - 111,613.1 -
> $100MM - - - -
NUMBER OF TRADES 202 * 43 88
Customer Buy 78 * 18 44
Customer Sell 69 * 24 39
Dealer to Dealer 55 - * 5
<= $1MM 171 * 10 19
<= $10MM 27 - 24 69
<= $100MM * - 9 -
> $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 89.2 * * 88.8
Weighted Avg. Price 93.5 * * 90.7
Avg. Price Bottom 5 Trades 80.2 * * 76.8
2nd Quartile Price 87.8 * * 83.4
3rd Quartile Price 93.0 * * 87.6
4th Quartile Price 94.0 * * 97.3
Avg. Price Top 5 Trades 94.2 * * 99.9
Standard Deviation 7.9 * * 7.5
VOLUME OF TRADES (000'S) 3,148.1 * * 186,676.0
Customer Buy 1,521.6 * - 71,312.6
Customer Sell 1,499.6 * * 98,971.9
Dealer to Dealer 127.0 * - 16,391.5
<= $1MM 351.5 * - 5,146.8
<= $10MM * - * 102,020.6
<= $100MM - - - 79,508.6
> $100MM - - - -
NUMBER OF TRADES 24 * * 60
Customer Buy 11 * - 18
Customer Sell 7 * * 33
Dealer to Dealer 6 * - 9
<= $1MM 22 * - 24
<= $10MM * - * 30
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 55.9 - - 95.3
Weighted Avg. Price 39.5 - - 91.1
Avg. Price Bottom 5 Trades 0.2 - - 92.8
2nd Quartile Price 32.5 - - 92.3
3rd Quartile Price 63.3 - - 98.5
4th Quartile Price 81.0 - - 100.0
Avg. Price Top 5 Trades 94.5 - - 98.3
Standard Deviation 28.7 - - 5.3
VOLUME OF TRADES (000'S) 122,407.9 - - 36,535.6
Customer Buy 64,322.9 - - *
Customer Sell 40,363.3 - - 27,678.9
Dealer to Dealer 17,721.7 - - -
<= $1MM 13,953.1 - - 2,924.1
<= $10MM 70,779.5 - - *
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 193 - - 9
Customer Buy 75 - - *
Customer Sell 63 - - 6
Dealer to Dealer 55 - - -
<= $1MM 166 - - 5
<= $10MM 24 - - *
<= $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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