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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 93.3 1.3 99.0
Weighted Avg. Price 93.5 1.2 100.3
Avg. Price Bottom 5 Trades 75.4 0.4 85.9
2nd Quartile Price 88.9 0.8 98.5
3rd Quartile Price 95.5 1.3 100.0
4th Quartile Price 99.7 2.8 100.6
Avg. Price Top 5 Trades 101.0 2.7 104.2
Standard Deviation 7.5 1.0 3.0
VOLUME OF TRADES (000'S) 159,547.2 281,647.9 1,278,303.8
Customer Buy 55,197.9 102,346.8 636,951.7
Customer Sell 104,349.3 179,301.0 604,463.2
Dealer to Dealer - - 36,888.9
<= $1MM 18,456.1 * 61,913.7
<= $10MM 141,091.1 * 623,233.5
<= $100MM - 257,788.1 593,156.5
> $100MM - - -
NUMBER OF TRADES 104 19 493
Customer Buy 37 6 212
Customer Sell 67 13 233
Dealer to Dealer - - 48
<= $1MM 67 * 301
<= $10MM 37 * 166
<= $100MM - 13 26
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 77.4 1.2 97.3
Weighted Avg. Price 85.5 0.6 98.4
Avg. Price Bottom 5 Trades 15.1 1.2 77.7
2nd Quartile Price 68.0 * 96.5
3rd Quartile Price 84.5 * 99.9
4th Quartile Price 93.5 * 100.4
Avg. Price Top 5 Trades 113.0 1.2 103.4
Standard Deviation 22.6 0.8 6.4
VOLUME OF TRADES (000'S) 83,436.1 83,131.8 146,706.1
Customer Buy 38,220.1 * 78,139.5
Customer Sell 44,450.8 * 68,235.6
Dealer to Dealer 765.2 - *
<= $1MM 21,941.2 * 15,523.1
<= $10MM 46,494.9 - 109,182.9
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 161 5 83
Customer Buy 67 * 36
Customer Sell 77 * 44
Dealer to Dealer 17 - *
<= $1MM 141 * 54
<= $10MM 19 - 27
<= $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 92.9 - - 93.4
Weighted Avg. Price 90.8 - - 93.6
Avg. Price Bottom 5 Trades 86.4 - - 75.4
2nd Quartile Price 90.7 - - 87.3
3rd Quartile Price 94.5 - - 98.6
4th Quartile Price 96.4 - - 100.0
Avg. Price Top 5 Trades 98.2 - - 101.0
Standard Deviation 4.5 - - 8.5
VOLUME OF TRADES (000'S) 9,176.4 - - 150,370.8
Customer Buy 3,183.8 - - 52,014.1
Customer Sell 5,992.6 - - 98,356.7
Dealer to Dealer - - - -
<= $1MM 4,556.0 - - 13,900.1
<= $10MM * - - 136,470.7
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 30 - - 74
Customer Buy 10 - - 27
Customer Sell 20 - - 47
Dealer to Dealer - - - -
<= $1MM 27 - - 40
<= $10MM * - - 34
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 75.0 * - 100.2
Weighted Avg. Price 76.2 * - 99.8
Avg. Price Bottom 5 Trades 15.1 * - 91.8
2nd Quartile Price 63.5 * - 96.3
3rd Quartile Price 83.7 * - 98.8
4th Quartile Price 91.9 * - 100.4
Avg. Price Top 5 Trades 98.9 * - 113.0
Standard Deviation 21.9 * - 8.9
VOLUME OF TRADES (000'S) 32,787.5 * - 41,514.9
Customer Buy 13,680.6 * - 19,972.7
Customer Sell 18,341.8 * - 21,542.2
Dealer to Dealer 765.2 - - -
<= $1MM 16,451.1 * - 4,242.7
<= $10MM 16,336.4 * - 22,272.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 137 * - 20
Customer Buy 55 * - 10
Customer Sell 65 * - 10
Dealer to Dealer 17 - - -
<= $1MM 128 * - 11
<= $10MM 9 * - 8
<= $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 - 1.8 0.3 -
Weighted Avg. Price - 1.5 0.1 -
Avg. Price Bottom 5 Trades - 0.9 0.3 -
2nd Quartile Price - 1.3 * -
3rd Quartile Price - 1.8 * -
4th Quartile Price - 2.8 * -
Avg. Price Top 5 Trades - 2.7 0.3 -
Standard Deviation - 0.9 0.4 -
VOLUME OF TRADES (000'S) - 223,325.2 58,322.7 -
Customer Buy - 102,346.8 - -
Customer Sell - 120,978.3 58,322.7 -
Dealer to Dealer - - - -
<= $1MM - - * -
<= $10MM - * * -
<= $100MM - 216,579.9 * -
> $100MM - - - -
NUMBER OF TRADES - 13 6 -
Customer Buy - 6 - -
Customer Sell - 7 6 -
Dealer to Dealer - - - -
<= $1MM - - * -
<= $10MM - * * -
<= $100MM - 11 * -
> $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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