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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 CBO/CDO/CLO
Pricing Table: Non-Agency CMO | ABS
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS
Investment Grade
AVERAGE PRICE 91.1 * 99.9
Weighted Avg. Price 94.7 * 100.2
Avg. Price Bottom 5 Trades 68.0 * 87.4
2nd Quartile Price 85.1 * 99.5
3rd Quartile Price 91.4 * 100.2
4th Quartile Price 99.3 * 100.9
Avg. Price Top 5 Trades 102.3 * 107.4
Standard Deviation 8.4 * 2.3
VOLUME OF TRADES (000'S) 399,509.2 * 1,547,421.3
Customer Buy 160,115.5 * 706,817.4
Customer Sell 234,545.6 - 812,004.5
Dealer to Dealer 4,848.1 - 28,599.4
<= $1MM 39,689.1 - 98,367.5
<= $10MM 209,252.4 - 628,719.6
<= $100MM 150,567.7 * 820,334.3
> $100MM - - -
NUMBER OF TRADES 228 * 624
Customer Buy 70 * 243
Customer Sell 144 - 345
Dealer to Dealer 14 - 36
<= $1MM 161 - 435
<= $10MM 59 - 154
<= $100MM 8 * 35
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 42.0 0.2 86.1
Weighted Avg. Price 18.8 0.9 81.3
Avg. Price Bottom 5 Trades - 0.2 4.2
2nd Quartile Price - * 91.1
3rd Quartile Price 43.0 * 96.5
4th Quartile Price 78.1 * 101.1
Avg. Price Top 5 Trades 102.7 0.2 107.5
Standard Deviation 37.9 0.4 29.6
VOLUME OF TRADES (000'S) 484,812.8 474,064.0 218,712.1
Customer Buy 220,968.4 429,387.5 106,487.5
Customer Sell 236,470.8 44,676.4 107,126.3
Dealer to Dealer 27,373.6 - 5,098.3
<= $1MM 41,541.0 - 12,376.7
<= $10MM 339,204.0 * 147,022.9
<= $100MM 104,067.8 81,278.6 *
> $100MM - * -
NUMBER OF TRADES 347 12 92
Customer Buy 147 7 38
Customer Sell 154 5 39
Dealer to Dealer 46 - 15
<= $1MM 240 - 48
<= $10MM 99 * 40
<= $100MM 8 6 *
> $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 87.1 * 93.9 91.5
Weighted Avg. Price 96.8 * 92.7 94.7
Avg. Price Bottom 5 Trades 72.8 * 93.9 78.4
2nd Quartile Price 88.4 * * 85.1
3rd Quartile Price 92.0 * * 90.8
4th Quartile Price 96.9 * * 100.1
Avg. Price Top 5 Trades 97.5 * 93.9 102.3
Standard Deviation 14.5 * 1.3 7.6
VOLUME OF TRADES (000'S) 8,808.1 * 1,836.7 388,809.9
Customer Buy 4,503.1 * * 154,724.3
Customer Sell 4,288.0 * * 229,254.5
Dealer to Dealer 17.0 - - 4,831.1
<= $1MM 2,906.5 * 1,836.7 34,891.6
<= $10MM * - - 203,350.7
<= $100MM - - - 150,567.7
> $100MM - - - -
NUMBER OF TRADES 20 * 5 201
Customer Buy 7 * * 60
Customer Sell 8 * * 132
Dealer to Dealer 5 - - 9
<= $1MM 18 * 5 136
<= $10MM * - - 57
<= $100MM - - - 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 39.9 - - 97.0
Weighted Avg. Price 15.0 - - 98.5
Avg. Price Bottom 5 Trades - - - 92.5
2nd Quartile Price - - - 96.8
3rd Quartile Price 35.0 - - 99.8
4th Quartile Price 76.4 - - 99.8
Avg. Price Top 5 Trades 101.6 - - 99.9
Standard Deviation 37.0 - - 4.6
VOLUME OF TRADES (000'S) 462,743.7 - - 22,069.1
Customer Buy 210,913.5 - - 10,054.9
Customer Sell 224,456.6 - - 12,014.2
Dealer to Dealer 27,373.6 - - -
<= $1MM 36,789.9 - - 4,751.1
<= $10MM 321,886.0 - - *
<= $100MM 104,067.8 - - -
> $100MM - - - -
NUMBER OF TRADES 334 - - 13
Customer Buy 142 - - 5
Customer Sell 146 - - 8
Dealer to Dealer 46 - - -
<= $1MM 231 - - 9
<= $10MM 95 - - *
<= $100MM 8 - - -
> $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) 89,352.8 - - *
Customer Buy 44,676.4 - - *
Customer Sell 44,676.4 - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM * - - -
<= $100MM 81,278.6 - - -
> $100MM - - - *
NUMBER OF TRADES 10 - - *
Customer Buy 5 - - *
Customer Sell 5 - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM * - - -
<= $100MM 6 - - -
> $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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