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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 91.3 - 98.0 98.2
Weighted Avg. Price 92.0 - 98.6 96.6
Avg. Price Bottom 5 Trades 74.7 - 80.0 78.2
2nd Quartile Price 87.4 - 96.4 99.3
3rd Quartile Price 92.1 - 99.0 100.0
4th Quartile Price 96.0 - 100.0 100.1
Avg. Price Top 5 Trades 101.2 - 104.6 100.4
Standard Deviation 6.2 - 3.4 5.6
VOLUME OF TRADES (000'S) 147,742.8 - 1,206,190.8 647,036.8
Customer Buy 109,421.6 - 429,431.8 393,901.6
Customer Sell 37,821.5 - 657,242.0 218,835.3
Dealer to Dealer 499.7 - 119,517.0 34,300.0
<= $1MM 13,049.1 - 54,051.3 25,446.0
<= $10MM 89,105.5 - 535,944.4 387,669.5
<= $100MM * - 616,195.1 233,921.3
> $100MM - - - -
NUMBER OF TRADES 134 - 499 170
Customer Buy 52 - 202 86
Customer Sell 66 - 244 78
Dealer to Dealer 16 - 53 6
<= $1MM 107 - 312 45
<= $10MM 24 - 150 110
<= $100MM * - 37 15
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 53.5 * 93.6 89.7
Weighted Avg. Price 50.5 * 93.2 87.7
Avg. Price Bottom 5 Trades 0.4 * 65.8 43.6
2nd Quartile Price 19.8 * 90.1 84.9
3rd Quartile Price 65.5 * 97.4 97.4
4th Quartile Price 84.5 * 100.2 100.0
Avg. Price Top 5 Trades 145.3 * 107.0 100.5
Standard Deviation 36.7 * 11.0 16.1
VOLUME OF TRADES (000'S) 171,179.1 * 247,005.9 340,680.4
Customer Buy 82,785.9 - 108,583.8 185,411.7
Customer Sell 82,551.1 * 116,391.5 155,268.6
Dealer to Dealer 5,842.1 - 22,030.6 -
<= $1MM 33,164.7 - 11,282.0 11,896.0
<= $10MM 138,014.4 - 204,995.2 282,863.4
<= $100MM - * * *
> $100MM - - - -
NUMBER OF TRADES 322 * 83 102
Customer Buy 127 - 41 57
Customer Sell 142 * 34 45
Dealer to Dealer 53 - 8 -
<= $1MM 277 - 24 17
<= $10MM 45 - 57 81
<= $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 91.4 * - 91.3
Weighted Avg. Price 91.4 * - 92.1
Avg. Price Bottom 5 Trades 78.6 * - 78.2
2nd Quartile Price 89.0 * - 85.1
3rd Quartile Price 92.2 * - 93.2
4th Quartile Price 94.8 * - 99.1
Avg. Price Top 5 Trades 98.5 * - 101.2
Standard Deviation 4.9 * - 8.3
VOLUME OF TRADES (000'S) 5,377.4 * - 141,317.1
Customer Buy 1,423.0 * - 107,841.8
Customer Sell 3,454.7 * - 33,475.3
Dealer to Dealer 499.7 - - -
<= $1MM 5,377.4 * - 6,623.4
<= $10MM - - - 89,105.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 85 * - 46
Customer Buy 24 * - 27
Customer Sell 45 * - 19
Dealer to Dealer 16 - - -
<= $1MM 85 * - 19
<= $10MM - - - 24
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 51.7 * - 87.3
Weighted Avg. Price 38.7 * - 86.8
Avg. Price Bottom 5 Trades 0.4 * - 66.1
2nd Quartile Price 11.0 * - 87.0
3rd Quartile Price 60.9 * - 96.8
4th Quartile Price 81.0 * - 99.3
Avg. Price Top 5 Trades 145.1 * - 99.3
Standard Deviation 36.6 * - 17.6
VOLUME OF TRADES (000'S) 129,292.3 * - 41,875.7
Customer Buy 61,957.4 - - 20,828.5
Customer Sell 62,869.8 * - 19,670.2
Dealer to Dealer 4,465.1 - - *
<= $1MM 32,135.5 * - *
<= $10MM 97,156.8 - - 40,857.6
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 306 * - 15
Customer Buy 122 - - 5
Customer Sell 132 * - 9
Dealer to Dealer 52 - - *
<= $1MM 273 * - *
<= $10MM 33 - - 12
<= $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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