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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 87.2 - 98.3 100.0
Weighted Avg. Price 88.8 - 98.9 100.1
Avg. Price Bottom 5 Trades 40.9 - 76.8 97.4
2nd Quartile Price 81.2 - 98.0 100.1
3rd Quartile Price 90.0 - 99.2 100.1
4th Quartile Price 95.2 - 100.0 100.2
Avg. Price Top 5 Trades 100.6 - 103.2 101.5
Standard Deviation 13.6 - 3.7 0.8
VOLUME OF TRADES (000'S) 269,307.8 - 752,624.3 424,723.3
Customer Buy 161,612.9 - 420,207.8 181,794.8
Customer Sell 98,721.8 - 274,026.9 237,928.5
Dealer to Dealer 8,973.1 - 58,389.7 *
<= $1MM 10,057.2 - 52,448.1 23,112.9
<= $10MM 140,883.8 - 418,822.7 275,364.4
<= $100MM 118,366.8 - 281,353.5 126,245.9
> $100MM - - - -
NUMBER OF TRADES 99 - 389 124
Customer Buy 44 - 168 39
Customer Sell 44 - 167 84
Dealer to Dealer 11 - 54 *
<= $1MM 60 - 262 50
<= $10MM 32 - 108 66
<= $100MM 7 - 19 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.5 4.6 95.5 77.9
Weighted Avg. Price 84.3 6.0 98.0 57.1
Avg. Price Bottom 5 Trades 14.2 4.6 74.3 24.1
2nd Quartile Price 47.4 * 92.6 50.0
3rd Quartile Price 74.5 * 96.6 97.4
4th Quartile Price 84.0 * 100.6 100.0
Avg. Price Top 5 Trades 103.4 4.6 107.1 102.7
Standard Deviation 21.4 2.6 8.9 32.6
VOLUME OF TRADES (000'S) 61,424.1 23,997.9 209,923.1 110,818.0
Customer Buy 41,281.6 * 142,053.8 60,291.8
Customer Sell 18,959.3 * 67,869.2 37,626.3
Dealer to Dealer 1,183.2 - - *
<= $1MM 14,312.5 * 6,882.1 9,016.0
<= $10MM 47,111.7 * 141,825.5 53,724.1
<= $100MM - * * *
> $100MM - - - -
NUMBER OF TRADES 332 5 59 34
Customer Buy 128 * 32 20
Customer Sell 146 * 27 11
Dealer to Dealer 58 - - *
<= $1MM 319 * 23 14
<= $10MM 13 * 32 16
<= $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 82.7 * * 89.2
Weighted Avg. Price 96.0 * * 88.7
Avg. Price Bottom 5 Trades 40.9 * * 77.0
2nd Quartile Price 81.3 * * 80.6
3rd Quartile Price 91.4 * * 88.2
4th Quartile Price 95.0 * * 96.6
Avg. Price Top 5 Trades 96.8 * * 100.6
Standard Deviation 20.1 * * 8.3
VOLUME OF TRADES (000'S) 2,141.3 * * 261,733.4
Customer Buy 1,385.0 * * 157,511.4
Customer Sell 733.0 * * 95,272.2
Dealer to Dealer 23.3 - - *
<= $1MM 2,141.3 * - 7,883.4
<= $10MM - - * 135,483.2
<= $100MM - - - 118,366.8
> $100MM - - - -
NUMBER OF TRADES 33 * * 62
Customer Buy 10 * * 32
Customer Sell 15 * * 27
Dealer to Dealer 8 - - *
<= $1MM 33 * - 25
<= $10MM - - * 30
<= $100MM - - - 7
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.7 - - 94.2
Weighted Avg. Price 74.3 - - 98.8
Avg. Price Bottom 5 Trades 14.2 - - 90.0
2nd Quartile Price 47.0 - - 98.3
3rd Quartile Price 74.2 - - 98.5
4th Quartile Price 84.0 - - 100.2
Avg. Price Top 5 Trades 103.3 - - 99.0
Standard Deviation 21.1 - - 13.6
VOLUME OF TRADES (000'S) 36,297.5 - - 25,126.6
Customer Buy 27,659.9 - - 13,621.7
Customer Sell 7,454.4 - - *
Dealer to Dealer 1,183.2 - - -
<= $1MM 13,730.7 - - *
<= $10MM 22,566.8 - - 24,544.9
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 323 - - 9
Customer Buy 122 - - 6
Customer Sell 143 - - *
Dealer to Dealer 58 - - -
<= $1MM 316 - - *
<= $10MM 7 - - 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 4.6 - - -
Weighted Avg. Price 6.0 - - -
Avg. Price Bottom 5 Trades 4.6 - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades 4.6 - - -
Standard Deviation 2.6 - - -
VOLUME OF TRADES (000'S) 23,997.9 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM * - - -
<= $10MM * - - -
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 5 - - -
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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