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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 82.9 - 97.9 97.8
Weighted Avg. Price 79.3 - 97.1 98.0
Avg. Price Bottom 5 Trades 56.5 - 82.2 86.8
2nd Quartile Price 77.1 - 98.4 98.1
3rd Quartile Price 85.8 - 98.4 99.0
4th Quartile Price 90.9 - 98.4 99.6
Avg. Price Top 5 Trades 96.1 - 100.9 100.3
Standard Deviation 10.6 - 2.1 3.3
VOLUME OF TRADES (000'S) 184,406.0 - 791,508.3 596,668.2
Customer Buy 92,706.3 - 404,201.1 314,210.1
Customer Sell 81,864.2 - 351,421.4 276,658.1
Dealer to Dealer 9,835.5 - 35,885.9 5,800.0
<= $1MM 10,360.5 - 46,076.7 16,673.3
<= $10MM 80,270.7 - 412,738.1 352,226.4
<= $100MM 93,774.9 - 332,693.5 227,768.5
> $100MM - - - -
NUMBER OF TRADES 84 - 1,275 125
Customer Buy 30 - 1,069 69
Customer Sell 35 - 174 51
Dealer to Dealer 19 - 32 5
<= $1MM 56 - 1,160 25
<= $10MM 23 - 99 86
<= $100MM 5 - 16 14
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.2 - 92.0 86.2
Weighted Avg. Price 81.4 - 81.6 89.4
Avg. Price Bottom 5 Trades 19.6 - 30.1 69.1
2nd Quartile Price 43.7 - 90.3 82.2
3rd Quartile Price 71.8 - 98.3 87.8
4th Quartile Price 86.3 - 100.0 94.1
Avg. Price Top 5 Trades 93.9 - 109.8 99.4
Standard Deviation 22.7 - 19.7 10.3
VOLUME OF TRADES (000'S) 147,307.8 - 241,831.8 63,264.7
Customer Buy 54,664.4 - 87,121.0 31,832.4
Customer Sell 92,471.2 - 134,360.0 31,432.4
Dealer to Dealer 172.2 - 20,350.9 -
<= $1MM 10,574.6 - 13,840.9 4,592.6
<= $10MM 93,751.7 - 141,704.6 58,672.1
<= $100MM * - 86,286.3 -
> $100MM - - - -
NUMBER OF TRADES 125 - 72 31
Customer Buy 37 - 35 15
Customer Sell 67 - 32 16
Dealer to Dealer 21 - 5 -
<= $1MM 102 - 30 10
<= $10MM 20 - 37 21
<= $100MM * - 5 -
> $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 88.0 - * 79.5
Weighted Avg. Price 89.7 - * 79.2
Avg. Price Bottom 5 Trades 77.7 - * 56.5
2nd Quartile Price 86.5 - * 75.2
3rd Quartile Price 90.9 - * 79.3
4th Quartile Price 92.4 - * 90.4
Avg. Price Top 5 Trades 93.7 - * 95.6
Standard Deviation 6.3 - * 11.4
VOLUME OF TRADES (000'S) 123.9 - * 183,486.7
Customer Buy 29.3 - * 91,984.6
Customer Sell 47.4 - * 81,713.7
Dealer to Dealer 47.1 - - 9,788.4
<= $1MM 123.9 - * 9,441.2
<= $10MM - - - 80,270.7
<= $100MM - - - 93,774.9
> $100MM - - - -
NUMBER OF TRADES 30 - * 51
Customer Buy 6 - * 22
Customer Sell 13 - * 21
Dealer to Dealer 11 - - 8
<= $1MM 30 - * 23
<= $10MM - - - 23
<= $100MM - - - 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 62.5 - - 79.3
Weighted Avg. Price 81.1 - - 82.2
Avg. Price Bottom 5 Trades 19.6 - - 64.0
2nd Quartile Price 43.0 - - 85.7
3rd Quartile Price 70.3 - - 86.8
4th Quartile Price 84.1 - - 91.0
Avg. Price Top 5 Trades 93.9 - - 89.8
Standard Deviation 22.5 - - 18.5
VOLUME OF TRADES (000'S) 108,611.5 - - 38,696.3
Customer Buy 37,289.2 - - 17,375.1
Customer Sell 71,150.1 - - 21,321.1
Dealer to Dealer 172.2 - - -
<= $1MM 8,359.9 - - 2,214.7
<= $10MM 57,270.1 - - 36,481.6
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 112 - - 13
Customer Buy 32 - - 5
Customer Sell 59 - - 8
Dealer to Dealer 21 - - -
<= $1MM 97 - - 5
<= $10MM 12 - - 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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