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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 92.6 * 98.8 100.2
Weighted Avg. Price 90.5 * 99.4 100.2
Avg. Price Bottom 5 Trades 73.4 * 87.0 98.9
2nd Quartile Price 89.4 * 98.2 100.0
3rd Quartile Price 93.5 * 99.4 100.1
4th Quartile Price 99.4 * 100.0 100.2
Avg. Price Top 5 Trades 100.6 * 102.5 103.1
Standard Deviation 7.7 * 2.3 0.8
VOLUME OF TRADES (000'S) 135,396.7 * 754,992.6 469,734.5
Customer Buy 93,298.0 - 250,916.6 226,534.0
Customer Sell 38,784.2 * 454,670.8 215,133.5
Dealer to Dealer 3,314.5 - 49,405.2 28,067.0
<= $1MM 6,554.9 - 34,344.6 33,083.3
<= $10MM 48,654.8 - 455,681.8 218,966.9
<= $100MM * * 264,966.2 217,684.3
> $100MM - - - -
NUMBER OF TRADES 64 * 391 116
Customer Buy 33 - 168 55
Customer Sell 24 * 173 56
Dealer to Dealer 7 - 50 5
<= $1MM 42 - 265 50
<= $10MM 19 - 108 51
<= $100MM * * 18 15
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.0 0.5 97.0 86.5
Weighted Avg. Price 79.3 0.2 95.5 64.5
Avg. Price Bottom 5 Trades 12.0 0.5 86.6 29.2
2nd Quartile Price 48.3 * 94.0 82.2
3rd Quartile Price 73.0 * 100.0 99.0
4th Quartile Price 86.0 * 100.6 100.1
Avg. Price Top 5 Trades 100.6 0.5 102.8 104.0
Standard Deviation 23.8 1.7 5.6 23.1
VOLUME OF TRADES (000'S) 63,435.2 349,629.8 294,659.5 212,143.5
Customer Buy 37,374.8 * 98,470.2 119,606.5
Customer Sell 23,963.3 348,966.3 196,189.3 92,537.0
Dealer to Dealer 2,097.1 - - -
<= $1MM 13,963.4 11,354.2 5,383.5 5,850.0
<= $10MM 49,471.7 180,455.9 104,540.1 143,193.5
<= $100MM - 157,819.6 184,735.9 *
> $100MM - - - -
NUMBER OF TRADES 231 84 43 58
Customer Buy 100 * 16 33
Customer Sell 86 82 27 25
Dealer to Dealer 45 - - -
<= $1MM 215 36 9 9
<= $10MM 16 40 24 47
<= $100MM - 8 10 *
> $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 91.9 * * 93.4
Weighted Avg. Price 96.5 * * 90.4
Avg. Price Bottom 5 Trades 86.4 * * 73.4
2nd Quartile Price 91.0 * * 89.3
3rd Quartile Price 92.0 * * 98.5
4th Quartile Price 95.0 * * 100.2
Avg. Price Top 5 Trades 97.3 * * 100.6
Standard Deviation 3.8 * * 10.2
VOLUME OF TRADES (000'S) 1,973.5 * * 129,246.9
Customer Buy 1,186.6 * * 87,935.1
Customer Sell 743.9 - - 38,040.3
Dealer to Dealer * - - *
<= $1MM 1,973.5 * * 3,858.2
<= $10MM - * * 45,201.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 26 * * 33
Customer Buy 10 * * 18
Customer Sell 12 - - 12
Dealer to Dealer * - - *
<= $1MM 26 * * 13
<= $10MM - * * 17
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.7 - - 91.9
Weighted Avg. Price 71.6 - - 87.4
Avg. Price Bottom 5 Trades 12.0 - - 82.4
2nd Quartile Price 47.2 - - 83.5
3rd Quartile Price 71.2 - - 99.5
4th Quartile Price 85.0 - - 100.1
Avg. Price Top 5 Trades 99.3 - - 100.5
Standard Deviation 23.6 - - 11.1
VOLUME OF TRADES (000'S) 32,376.6 - - 31,058.6
Customer Buy 23,546.3 - - 13,828.5
Customer Sell 6,733.2 - - 17,230.1
Dealer to Dealer 2,097.1 - - -
<= $1MM 10,999.5 - - 2,964.0
<= $10MM 21,377.1 - - 28,094.6
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 220 - - 11
Customer Buy 95 - - 5
Customer Sell 80 - - 6
Dealer to Dealer 45 - - -
<= $1MM 210 - - 5
<= $10MM 10 - - 6
<= $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 * - 0.1 0.1
Weighted Avg. Price * - 0.1 0.1
Avg. Price Bottom 5 Trades * - 0.1 0.1
2nd Quartile Price * - * *
3rd Quartile Price * - * *
4th Quartile Price * - * *
Avg. Price Top 5 Trades * - 0.1 0.1
Standard Deviation * - - -
VOLUME OF TRADES (000'S) * - 2,801.3 345,501.6
Customer Buy * - - -
Customer Sell * - 2,801.3 345,501.6
Dealer to Dealer - - - -
<= $1MM * - * 9,062.0
<= $10MM - - * 178,619.9
<= $100MM - - - 157,819.6
> $100MM - - - -
NUMBER OF TRADES * - 5 75
Customer Buy * - - -
Customer Sell * - 5 75
Dealer to Dealer - - - -
<= $1MM * - * 28
<= $10MM - - * 39
<= $100MM - - - 8
> $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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