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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 90.2 0.0 98.8 100.2
Weighted Avg. Price 88.9 0.0 99.0 100.1
Avg. Price Bottom 5 Trades 77.1 0.0 86.6 94.5
2nd Quartile Price 84.1 0.0 98.4 100.1
3rd Quartile Price 91.3 0.0 99.7 100.2
4th Quartile Price 96.1 0.0 100.3 100.4
Avg. Price Top 5 Trades 101.5 0.0 102.9 103.3
Standard Deviation 7.4 0.0 2.8 1.5
VOLUME OF TRADES (000'S) 292,660.5 0.0 587,077.3 285,922.0
Customer Buy 234,901.2 0.0 314,676.4 133,755.9
Customer Sell 42,493.4 0.0 188,099.8 111,451.2
Dealer to Dealer 15,265.9 0.0 84,301.1 *
<= $1MM 8,378.7 0.0 34,501.9 43,081.6
<= $10MM 115,044.0 0.0 323,036.9 179,756.2
<= $100MM 169,237.8 0.0 229,538.5 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 81 0 305 144
Customer Buy 51 0 156 59
Customer Sell 20 0 124 83
Dealer to Dealer 10 0 25 *
<= $1MM 44 0 190 64
<= $10MM 27 0 100 76
<= $100MM 10 0 15 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 61.5 0.0 647.9 91.0
Weighted Avg. Price 87.3 0.0 95.3 86.0
Avg. Price Bottom 5 Trades 4.6 0.0 76.8 74.6
2nd Quartile Price 45.0 0.0 95.3 91.9
3rd Quartile Price 65.0 0.0 100.1 99.3
4th Quartile Price 85.4 0.0 105.3 100.6
Avg. Price Top 5 Trades 101.5 0.0 3,407.3 100.5
Standard Deviation 26.8 0.0 2,300.4 19.0
VOLUME OF TRADES (000'S) 77,065.9 0.0 57,290.2 156,379.7
Customer Buy 40,974.7 0.0 25,610.3 89,779.7
Customer Sell 34,935.9 0.0 31,679.9 66,600.0
Dealer to Dealer 1,155.4 0.0 0.0 0.0
<= $1MM 8,835.2 0.0 6,338.4 6,000.0
<= $10MM 68,230.8 0.0 40,648.8 *
<= $100MM 0.0 0.0 * 127,139.7
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 200 0 36 17
Customer Buy 98 0 15 10
Customer Sell 57 0 21 7
Dealer to Dealer 45 0 0 0
<= $1MM 182 0 19 6
<= $10MM 18 0 16 *
<= $100MM 0 0 * 7
> $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 91.1 0.0 * 89.8
Weighted Avg. Price 96.4 0.0 * 88.8
Avg. Price Bottom 5 Trades 79.2 0.0 * 80.2
2nd Quartile Price 90.0 0.0 * 83.8
3rd Quartile Price 93.8 0.0 * 89.1
4th Quartile Price 96.1 0.0 * 96.6
Avg. Price Top 5 Trades 97.8 0.0 * 101.5
Standard Deviation 7.9 0.0 * 7.4
VOLUME OF TRADES (000'S) 4,031.2 0.0 * 287,953.8
Customer Buy 3,746.1 0.0 * 230,479.6
Customer Sell * 0.0 0.0 42,468.1
Dealer to Dealer 259.8 0.0 0.0 15,006.1
<= $1MM 2,826.9 0.0 * 4,876.3
<= $10MM * 0.0 0.0 113,839.8
<= $100MM 0.0 0.0 0.0 169,237.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 20 0 * 60
Customer Buy 12 0 * 38
Customer Sell * 0 0 17
Dealer to Dealer 5 0 0 5
<= $1MM 19 0 * 24
<= $10MM * 0 0 26
<= $100MM 0 0 0 10
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 58.1 0.0 0.0 94.3
Weighted Avg. Price 71.2 0.0 0.0 90.1
Avg. Price Bottom 5 Trades 4.6 0.0 0.0 78.5
2nd Quartile Price 43.0 0.0 0.0 95.6
3rd Quartile Price 59.0 0.0 0.0 100.3
4th Quartile Price 79.3 0.0 0.0 101.3
Avg. Price Top 5 Trades 97.5 0.0 0.0 101.5
Standard Deviation 25.6 0.0 0.0 11.2
VOLUME OF TRADES (000'S) 11,200.3 0.0 0.0 65,865.7
Customer Buy 5,939.8 0.0 0.0 35,034.9
Customer Sell 4,105.1 0.0 0.0 30,830.8
Dealer to Dealer 1,155.4 0.0 0.0 0.0
<= $1MM 6,459.2 0.0 0.0 *
<= $10MM * 0.0 0.0 63,489.7
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 181 0 0 19
Customer Buy 87 0 0 11
Customer Sell 49 0 0 8
Dealer to Dealer 45 0 0 0
<= $1MM 179 0 0 *
<= $10MM * 0 0 16
<= $100MM 0 0 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 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

* 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 [email protected].
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