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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 92.4 - 99.0 100.1
Weighted Avg. Price 91.4 - 99.7 100.2
Avg. Price Bottom 5 Trades 70.1 - 87.2 91.5
2nd Quartile Price 85.1 - 98.5 100.2
3rd Quartile Price 98.2 - 100.0 100.3
4th Quartile Price 100.2 - 100.6 100.4
Avg. Price Top 5 Trades 103.3 - 103.2 102.5
Standard Deviation 10.4 - 2.9 2.7
VOLUME OF TRADES (000'S) 378,228.5 - 1,099,588.3 504,624.4
Customer Buy 218,964.2 - 780,865.3 150,980.8
Customer Sell 152,901.0 - 184,915.1 330,929.8
Dealer to Dealer 6,363.3 - 133,808.0 22,713.8
<= $1MM 10,597.4 - 56,445.5 24,441.9
<= $10MM 176,001.0 - 413,376.2 244,786.5
<= $100MM 191,630.1 - 629,766.7 235,396.0
> $100MM - - - -
NUMBER OF TRADES 89 - 427 123
Customer Buy 45 - 235 51
Customer Sell 34 - 121 62
Dealer to Dealer 10 - 71 10
<= $1MM 32 - 279 45
<= $10MM 47 - 121 67
<= $100MM 10 - 27 11
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.4 * 97.2 95.5
Weighted Avg. Price 43.5 * 99.1 95.4
Avg. Price Bottom 5 Trades 3.5 * 83.1 68.8
2nd Quartile Price 46.0 * 93.4 96.8
3rd Quartile Price 70.0 * 99.6 98.9
4th Quartile Price 89.0 * 100.8 100.4
Avg. Price Top 5 Trades 111.9 * 109.5 102.6
Standard Deviation 28.3 * 6.7 9.3
VOLUME OF TRADES (000'S) 258,665.5 * 155,247.0 218,975.2
Customer Buy 120,164.3 - 80,537.8 106,076.4
Customer Sell 87,448.7 * 51,901.0 107,645.0
Dealer to Dealer 51,052.5 - 22,808.2 *
<= $1MM 8,548.1 - 13,672.8 16,590.9
<= $10MM 96,515.6 * 141,574.2 181,384.3
<= $100MM 153,601.8 - - *
> $100MM - - - -
NUMBER OF TRADES 171 * 73 90
Customer Buy 78 - 39 43
Customer Sell 61 * 27 46
Dealer to Dealer 32 - 7 *
<= $1MM 135 - 39 25
<= $10MM 27 * 34 63
<= $100MM 9 - - *
> $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 83.5 - - 94.1
Weighted Avg. Price 97.9 - - 91.4
Avg. Price Bottom 5 Trades 79.9 - - 70.1
2nd Quartile Price 75.0 - - 91.8
3rd Quartile Price 83.0 - - 99.1
4th Quartile Price 96.0 - - 100.4
Avg. Price Top 5 Trades 95.9 - - 103.3
Standard Deviation 9.9 - - 9.7
VOLUME OF TRADES (000'S) 1,741.1 - - 376,487.4
Customer Buy * - - 217,265.7
Customer Sell 26.0 - - 152,874.9
Dealer to Dealer * - - 6,346.7
<= $1MM 78.0 - - 10,519.5
<= $10MM * - - 174,337.8
<= $100MM - - - 191,630.1
> $100MM - - - -
NUMBER OF TRADES 14 - - 75
Customer Buy * - - 42
Customer Sell 7 - - 27
Dealer to Dealer * - - 6
<= $1MM 13 - - 19
<= $10MM * - - 46
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 59.1 - * 97.9
Weighted Avg. Price 15.9 - * 98.9
Avg. Price Bottom 5 Trades 3.5 - * 91.6
2nd Quartile Price 42.3 - * 97.5
3rd Quartile Price 60.0 - * 99.9
4th Quartile Price 80.6 - * 100.8
Avg. Price Top 5 Trades 108.3 - * 102.1
Standard Deviation 26.8 - * 7.1
VOLUME OF TRADES (000'S) 171,325.5 - * 81,340.0
Customer Buy 65,647.9 - * 48,516.4
Customer Sell 57,875.1 - - 29,573.6
Dealer to Dealer 47,802.5 - - *
<= $1MM 3,076.1 - - 5,472.0
<= $10MM 43,194.8 - * 47,320.8
<= $100MM 125,054.6 - - *
> $100MM - - - -
NUMBER OF TRADES 147 - * 23
Customer Buy 62 - * 15
Customer Sell 54 - - 7
Dealer to Dealer 31 - - *
<= $1MM 129 - - 6
<= $10MM 11 - * 15
<= $100MM 7 - - *
> $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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