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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 90.9 * 96.7 99.4
Weighted Avg. Price 77.6 * 97.3 99.4
Avg. Price Bottom 5 Trades 75.1 * 87.8 96.7
2nd Quartile Price 89.9 * 95.8 99.2
3rd Quartile Price 94.8 * 97.1 99.6
4th Quartile Price 97.3 * 98.8 99.8
Avg. Price Top 5 Trades 98.2 * 100.0 100.5
Standard Deviation 9.3 * 2.7 0.8
VOLUME OF TRADES (000'S) 187,892.4 * 599,752.4 401,617.1
Customer Buy 50,342.0 * 316,871.5 256,797.0
Customer Sell 135,639.8 - 269,200.4 129,600.1
Dealer to Dealer 1,910.7 - 13,680.5 *
<= $1MM 2,933.3 - 14,950.6 15,715.4
<= $10MM 22,840.7 - 261,167.7 217,095.5
<= $100MM 162,118.4 - 323,634.1 168,806.2
> $100MM - * - -
NUMBER OF TRADES 31 * 201 84
Customer Buy 19 * 106 51
Customer Sell 6 - 68 29
Dealer to Dealer 6 - 27 *
<= $1MM 20 - 123 23
<= $10MM 6 - 63 52
<= $100MM 5 - 15 9
> $100MM - * - -
Non-Investment Grade †
AVERAGE PRICE 61.4 - 648.5 70.4
Weighted Avg. Price 60.2 - 93.2 51.3
Avg. Price Bottom 5 Trades 16.3 - 60.9 41.2
2nd Quartile Price 45.3 - 92.9 57.0
3rd Quartile Price 62.0 - 99.5 84.6
4th Quartile Price 80.5 - 100.0 95.8
Avg. Price Top 5 Trades 95.7 - 3,067.6 96.2
Standard Deviation 23.7 - 1,816.5 24.6
VOLUME OF TRADES (000'S) 64,766.9 - 92,810.0 83,417.3
Customer Buy 42,427.9 - 61,775.3 50,561.3
Customer Sell 18,684.9 - 31,034.6 32,856.1
Dealer to Dealer 3,654.1 - - -
<= $1MM 3,785.6 - 2,917.6 *
<= $10MM 42,377.3 - 36,943.1 29,300.0
<= $100MM * - * *
> $100MM - - - -
NUMBER OF TRADES 124 - 32 18
Customer Buy 90 - 17 12
Customer Sell 18 - 15 6
Dealer to Dealer 16 - - -
<= $1MM 115 - 13 *
<= $10MM 8 - 15 12
<= $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 94.8 - * 87.1
Weighted Avg. Price 95.8 - * 77.6
Avg. Price Bottom 5 Trades 94.8 - * 75.1
2nd Quartile Price * - * 81.4
3rd Quartile Price * - * 91.1
4th Quartile Price * - * 97.9
Avg. Price Top 5 Trades 94.8 - * 98.6
Standard Deviation 2.7 - * 11.1
VOLUME OF TRADES (000'S) 118.6 - * 187,358.4
Customer Buy 59.5 - * 49,867.1
Customer Sell * - - 135,638.8
Dealer to Dealer * - - *
<= $1MM 118.6 - * 2,399.3
<= $10MM - - - 22,840.7
<= $100MM - - - 162,118.4
> $100MM - - - -
NUMBER OF TRADES 10 - * 17
Customer Buy 7 - * 8
Customer Sell * - - 5
Dealer to Dealer * - - *
<= $1MM 10 - * 6
<= $10MM - - - 6
<= $100MM - - - 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 61.4 - - -
Weighted Avg. Price 60.2 - - -
Avg. Price Bottom 5 Trades 16.3 - - -
2nd Quartile Price 45.3 - - -
3rd Quartile Price 62.0 - - -
4th Quartile Price 80.5 - - -
Avg. Price Top 5 Trades 95.7 - - -
Standard Deviation 23.7 - - -
VOLUME OF TRADES (000'S) 64,766.9 - - -
Customer Buy 42,427.9 - - -
Customer Sell 18,684.9 - - -
Dealer to Dealer 3,654.1 - - -
<= $1MM 3,785.6 - - -
<= $10MM 42,377.3 - - -
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 124 - - -
Customer Buy 90 - - -
Customer Sell 18 - - -
Dealer to Dealer 16 - - -
<= $1MM 115 - - -
<= $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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