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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/CDO 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 90.1 0.0 97.7 99.0
Weighted Avg. Price 86.6 0.0 97.7 99.0
Avg. Price Bottom 5 Trades 67.2 0.0 77.9 83.9
2nd Quartile Price 85.1 0.0 97.3 99.5
3rd Quartile Price 91.1 0.0 98.9 100.1
4th Quartile Price 96.0 0.0 99.6 100.1
Avg. Price Top 5 Trades 101.6 0.0 102.4 100.4
Standard Deviation 7.9 0.0 3.5 3.3
VOLUME OF TRADES (000'S) 418,841.5 0.0 930,387.5 598,609.3
Customer Buy 158,753.2 0.0 472,209.1 281,263.2
Customer Sell 211,882.0 0.0 434,927.4 276,110.8
Dealer to Dealer 48,206.3 0.0 23,251.0 41,235.3
<= $1MM 18,904.6 0.0 44,655.0 22,899.8
<= $10MM 218,206.6 0.0 409,926.4 422,451.5
<= $100MM 181,730.4 0.0 475,806.1 153,258.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 152 0 475 154
Customer Buy 59 0 246 83
Customer Sell 79 0 170 63
Dealer to Dealer 14 0 59 8
<= $1MM 94 0 319 33
<= $10MM 51 0 129 111
<= $100MM 7 0 27 10
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 72.3 20.4 93.9 92.3
Weighted Avg. Price 78.9 0.2 83.3 94.8
Avg. Price Bottom 5 Trades 5.8 12.5 60.5 64.8
2nd Quartile Price 63.0 1.3 94.0 91.5
3rd Quartile Price 79.4 59.5 98.4 96.6
4th Quartile Price 86.9 60.2 100.1 99.0
Avg. Price Top 5 Trades 108.1 24.5 104.8 100.2
Standard Deviation 21.5 30.6 13.5 12.4
VOLUME OF TRADES (000'S) 178,214.8 9,594.6 145,067.8 294,681.8
Customer Buy 104,132.7 * 72,104.7 113,382.3
Customer Sell 69,613.0 * 70,886.6 181,299.5
Dealer to Dealer 4,469.0 0.0 * 0.0
<= $1MM 12,521.2 * 13,094.5 6,650.0
<= $10MM 111,161.8 * 99,518.9 146,031.8
<= $100MM * 0.0 * 142,000.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 421 6 62 58
Customer Buy 221 * 31 28
Customer Sell 170 * 28 30
Dealer to Dealer 30 0 * 0
<= $1MM 380 * 29 9
<= $10MM 37 * 31 44
<= $100MM * 0 * 5
> $100MM 0 0 0 0

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 89.8 0.0 * 90.5
Weighted Avg. Price 94.5 0.0 * 86.5
Avg. Price Bottom 5 Trades 80.1 0.0 * 67.2
2nd Quartile Price 86.8 0.0 * 83.4
3rd Quartile Price 90.7 0.0 * 92.8
4th Quartile Price 93.3 0.0 * 99.3
Avg. Price Top 5 Trades 96.7 0.0 * 101.6
Standard Deviation 4.5 0.0 * 10.3
VOLUME OF TRADES (000'S) 6,554.8 0.0 * 410,626.8
Customer Buy 1,490.0 0.0 * 156,683.2
Customer Sell 4,614.4 0.0 * 206,187.6
Dealer to Dealer 450.4 0.0 0.0 47,755.9
<= $1MM 5,070.8 0.0 * 12,173.8
<= $10MM * 0.0 0.0 216,722.6
<= $100MM 0.0 0.0 0.0 181,730.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 73 0 * 76
Customer Buy 27 0 * 31
Customer Sell 39 0 * 38
Dealer to Dealer 7 0 0 7
<= $1MM 72 0 * 19
<= $10MM * 0 0 50
<= $100MM 0 0 0 7
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 71.5 0.0 * 90.3
Weighted Avg. Price 68.8 0.0 * 92.1
Avg. Price Bottom 5 Trades 5.8 0.0 * 73.6
2nd Quartile Price 61.8 0.0 * 85.8
3rd Quartile Price 78.7 0.0 * 96.6
4th Quartile Price 86.6 0.0 * 99.2
Avg. Price Top 5 Trades 108.1 0.0 * 100.2
Standard Deviation 21.3 0.0 * 10.6
VOLUME OF TRADES (000'S) 101,001.8 0.0 * 76,059.6
Customer Buy 62,373.4 0.0 * 41,182.6
Customer Sell 36,497.3 0.0 * 32,539.1
Dealer to Dealer 2,131.0 0.0 0.0 *
<= $1MM 11,198.8 0.0 * *
<= $10MM 50,728.7 0.0 0.0 60,433.1
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 395 0 * 22
Customer Buy 211 0 * 8
Customer Sell 156 0 * 12
Dealer to Dealer 28 0 0 *
<= $1MM 375 0 * *
<= $10MM 17 0 0 20
<= $100MM * 0 0 *
> $100MM 0 0 0 0

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 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 0
Customer Buy 0 0 0 0
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 20.4 0.0 0.0 0.0
Weighted Avg. Price 0.2 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 12.5 0.0 0.0 0.0
2nd Quartile Price 1.3 0.0 0.0 0.0
3rd Quartile Price 59.5 0.0 0.0 0.0
4th Quartile Price 60.2 0.0 0.0 0.0
Avg. Price Top 5 Trades 24.5 0.0 0.0 0.0
Standard Deviation 30.6 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 9,594.6 0.0 0.0 0.0
Customer Buy * 0.0 0.0 0.0
Customer Sell * 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM * 0.0 0.0 0.0
<= $10MM * 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 6 0 0 0
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM * 0 0 0
<= $10MM * 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0

* 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 Listor 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 tracedataservices@finra.org.
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