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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 92.1 - 99.8 100.2
Weighted Avg. Price 98.9 - 98.7 100.2
Avg. Price Bottom 5 Trades 70.1 - 87.3 100.0
2nd Quartile Price 88.8 - 98.9 100.1
3rd Quartile Price 94.4 - 100.4 100.2
4th Quartile Price 99.8 - 101.4 100.2
Avg. Price Top 5 Trades 101.5 - 103.5 100.8
Standard Deviation 10.0 - 2.6 0.3
VOLUME OF TRADES (000'S) 103,572.7 - 612,811.4 119,289.8
Customer Buy 34,849.8 - 289,909.8 31,639.8
Customer Sell 60,105.9 - 270,502.2 87,650.0
Dealer to Dealer 8,616.9 - 52,399.4 -
<= $1MM 8,707.8 - 39,111.1 9,550.0
<= $10MM 45,449.3 - 358,001.7 54,979.8
<= $100MM * - 215,698.6 *
> $100MM - - - -
NUMBER OF TRADES 59 - 497 43
Customer Buy 30 - 253 17
Customer Sell 24 - 165 26
Dealer to Dealer 5 - 79 -
<= $1MM 45 - 402 22
<= $10MM 12 - 79 18
<= $100MM * - 16 *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.1 - 87.0 77.1
Weighted Avg. Price 18.6 - 98.9 63.0
Avg. Price Bottom 5 Trades 0.7 - 36.3 60.2
2nd Quartile Price 50.0 - 95.4 75.0
3rd Quartile Price 74.2 - 100.2 86.4
4th Quartile Price 86.0 - 102.2 98.6
Avg. Price Top 5 Trades 105.9 - 104.0 94.0
Standard Deviation 27.0 - 27.5 20.4
VOLUME OF TRADES (000'S) 231,821.0 - 130,230.0 106,062.0
Customer Buy 121,444.4 - 67,117.8 72,711.0
Customer Sell 109,932.2 - 38,075.1 *
Dealer to Dealer 444.4 - * -
<= $1MM 10,659.0 - 3,116.2 *
<= $10MM 46,102.5 - 58,858.7 15,932.0
<= $100MM 175,059.6 - * *
> $100MM - - - -
NUMBER OF TRADES 239 - 35 11
Customer Buy 70 - 15 8
Customer Sell 112 - 16 *
Dealer to Dealer 57 - * -
<= $1MM 215 - 10 *
<= $10MM 16 - 23 5
<= $100MM 8 - * *
> $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 86.8 - * 95.8
Weighted Avg. Price 91.4 - * 98.9
Avg. Price Bottom 5 Trades 71.3 - * 85.7
2nd Quartile Price 85.5 - * 90.8
3rd Quartile Price 89.0 - * 97.8
4th Quartile Price 94.0 - * 101.0
Avg. Price Top 5 Trades 96.7 - * 101.5
Standard Deviation 12.4 - * 5.9
VOLUME OF TRADES (000'S) 284.4 - * 102,837.7
Customer Buy 72.3 - * 34,326.9
Customer Sell 169.5 - - 59,936.4
Dealer to Dealer * - - *
<= $1MM 284.4 - * 7,972.8
<= $10MM - - - 45,449.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 24 - * 34
Customer Buy 12 - * 17
Customer Sell 9 - - 15
Dealer to Dealer * - - *
<= $1MM 24 - * 20
<= $10MM - - - 12
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.2 - - 101.4
Weighted Avg. Price 11.3 - - 101.3
Avg. Price Bottom 5 Trades 0.7 - - 101.1
2nd Quartile Price 49.9 - - 100.5
3rd Quartile Price 73.2 - - 102.9
4th Quartile Price 85.1 - - 103.0
Avg. Price Top 5 Trades 104.9 - - 101.7
Standard Deviation 26.7 - - 1.3
VOLUME OF TRADES (000'S) 212,888.8 - - 18,932.2
Customer Buy 105,370.4 - - *
Customer Sell 107,073.9 - - *
Dealer to Dealer 444.4 - - -
<= $1MM 9,659.0 - - *
<= $10MM 28,170.3 - - 17,932.2
<= $100MM 175,059.6 - - -
> $100MM - - - -
NUMBER OF TRADES 233 - - 6
Customer Buy 66 - - *
Customer Sell 110 - - *
Dealer to Dealer 57 - - -
<= $1MM 214 - - *
<= $10MM 11 - - 5
<= $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) - - - -
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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