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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 88.0 * 98.8 100.1
Weighted Avg. Price 82.2 * 98.7 100.1
Avg. Price Bottom 5 Trades 75.4 * 86.0 99.2
2nd Quartile Price 83.4 * 98.2 100.0
3rd Quartile Price 87.6 * 99.7 100.1
4th Quartile Price 95.3 * 100.2 100.3
Avg. Price Top 5 Trades 100.0 * 103.0 100.9
Standard Deviation 8.3 * 2.6 0.4
VOLUME OF TRADES (000'S) 112,478.0 * 700,591.3 475,877.9
Customer Buy 93,929.5 * 483,725.0 200,736.3
Customer Sell 14,226.1 0.0 211,570.2 252,141.6
Dealer to Dealer 4,322.4 * 5,296.0 *
<= $1MM 1,706.8 0.0 32,225.4 14,745.3
<= $10MM 49,091.4 * 301,709.8 92,948.9
<= $100MM * 0.0 366,656.0 368,183.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 36 * 455 67
Customer Buy 18 * 280 40
Customer Sell 10 0 123 24
Dealer to Dealer 8 * 52 *
<= $1MM 20 0 358 21
<= $10MM 14 * 82 31
<= $100MM * 0 15 15
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 48.6 * 90.8 97.5
Weighted Avg. Price 75.1 * 96.2 93.6
Avg. Price Bottom 5 Trades 0.3 * 50.0 84.5
2nd Quartile Price 0.0 * 96.9 98.2
3rd Quartile Price 64.6 * 99.4 99.6
4th Quartile Price 85.0 * 100.5 100.6
Avg. Price Top 5 Trades 120.1 * 102.6 103.1
Standard Deviation 39.9 * 26.2 6.5
VOLUME OF TRADES (000'S) 382,603.5 * 101,863.0 159,971.5
Customer Buy 225,707.9 * 45,761.0 74,978.2
Customer Sell 152,121.4 * 50,163.1 84,993.2
Dealer to Dealer 4,774.2 0.0 * 0.0
<= $1MM 46,433.5 * 7,333.1 7,809.0
<= $10MM 101,756.7 0.0 94,529.9 87,162.5
<= $100MM 234,413.4 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 288 * 41 32
Customer Buy 179 * 24 17
Customer Sell 92 * 13 15
Dealer to Dealer 17 0 * 0
<= $1MM 241 * 16 9
<= $10MM 41 0 25 21
<= $100MM 6 * 0 *
> $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 89.7 0.0 0.0 87.2
Weighted Avg. Price 98.7 0.0 0.0 81.6
Avg. Price Bottom 5 Trades 84.6 0.0 0.0 75.4
2nd Quartile Price 84.6 0.0 0.0 79.2
3rd Quartile Price 86.4 0.0 0.0 88.8
4th Quartile Price 97.0 0.0 0.0 92.6
Avg. Price Top 5 Trades 96.8 0.0 0.0 99.2
Standard Deviation 6.5 0.0 0.0 9.1
VOLUME OF TRADES (000'S) 4,350.2 0.0 0.0 108,127.8
Customer Buy * 0.0 0.0 89,623.2
Customer Sell * 0.0 0.0 14,209.2
Dealer to Dealer 26.9 0.0 0.0 *
<= $1MM 97.8 0.0 0.0 1,609.0
<= $10MM * 0.0 0.0 44,839.1
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 12 0 0 24
Customer Buy * 0 0 15
Customer Sell * 0 0 6
Dealer to Dealer 5 0 0 *
<= $1MM 11 0 0 9
<= $10MM * 0 0 13
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 45.0 * 0.0 95.2
Weighted Avg. Price 43.2 * 0.0 99.1
Avg. Price Bottom 5 Trades 0.3 * 0.0 84.0
2nd Quartile Price 0.0 * 0.0 93.4
3rd Quartile Price 53.7 * 0.0 99.7
4th Quartile Price 80.0 * 0.0 100.5
Avg. Price Top 5 Trades 119.4 * 0.0 100.9
Standard Deviation 39.3 * 0.0 7.9
VOLUME OF TRADES (000'S) 161,390.0 * 0.0 216,239.5
Customer Buy 103,591.4 * 0.0 119,629.5
Customer Sell 56,859.4 * 0.0 92,775.0
Dealer to Dealer 939.2 0.0 0.0 *
<= $1MM 39,249.7 * 0.0 6,016.0
<= $10MM 72,535.8 * 0.0 25,414.6
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 264 * 0 20
Customer Buy 164 * 0 13
Customer Sell 85 * 0 5
Dealer to Dealer 15 0 0 *
<= $1MM 231 * 0 8
<= $10MM 30 * 0 9
<= $100MM * 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 *
Weighted Avg. Price 0.0 0.0 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 *
2nd Quartile Price 0.0 0.0 0.0 *
3rd Quartile Price 0.0 0.0 0.0 *
4th Quartile Price 0.0 0.0 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 *
Standard Deviation 0.0 0.0 0.0 *
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 *
Customer Buy 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 *
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 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 *
Customer Buy 0 0 0 *
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 *
<= $1MM 0 0 0 0
<= $10MM 0 0 0 *
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE * 0.0 * 0.0
Weighted Avg. Price * 0.0 * 0.0
Avg. Price Bottom 5 Trades * 0.0 * 0.0
2nd Quartile Price * 0.0 * 0.0
3rd Quartile Price * 0.0 * 0.0
4th Quartile Price * 0.0 * 0.0
Avg. Price Top 5 Trades * 0.0 * 0.0
Standard Deviation * 0.0 * 0.0
VOLUME OF TRADES (000'S) * 0.0 * 0.0
Customer Buy * 0.0 * 0.0
Customer Sell 0.0 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM * 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 * 0
Customer Buy * 0 * 0
Customer Sell 0 0 * 0
Dealer to Dealer 0 0 0 0
<= $1MM * 0 0 0
<= $10MM 0 0 0 0
<= $100MM 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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