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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 93.1 * 99.6 100.0
Weighted Avg. Price 86.0 * 100.1 100.2
Avg. Price Bottom 5 Trades 67.9 * 88.2 95.3
2nd Quartile Price 88.0 * 99.2 100.1
3rd Quartile Price 94.0 * 99.6 100.1
4th Quartile Price 99.5 * 101.3 100.2
Avg. Price Top 5 Trades 113.2 * 105.2 102.4
Standard Deviation 9.0 * 2.8 1.2
VOLUME OF TRADES (000'S) 871,886.3 * 1,245,514.7 477,534.5
Customer Buy 430,914.1 * 560,569.6 224,119.8
Customer Sell 409,314.3 * 663,778.7 240,023.0
Dealer to Dealer 31,657.9 0.0 21,166.5 13,391.7
<= $1MM 47,524.8 * 84,258.6 35,618.5
<= $10MM 189,410.2 0.0 555,019.3 333,092.3
<= $100MM 425,107.3 * 606,236.9 108,823.7
> $100MM * * 0.0 0.0
NUMBER OF TRADES 213 * 651 151
Customer Buy 80 * 317 68
Customer Sell 91 * 271 78
Dealer to Dealer 42 0 63 5
<= $1MM 130 * 460 61
<= $10MM 62 0 162 84
<= $100MM 19 * 29 6
> $100MM * * 0 0
Non-Investment Grade †
AVERAGE PRICE 73.3 * 94.5 88.5
Weighted Avg. Price 89.4 * 88.4 78.8
Avg. Price Bottom 5 Trades 8.1 * 20.1 22.3
2nd Quartile Price 50.5 * 93.9 92.2
3rd Quartile Price 82.0 * 98.0 98.9
4th Quartile Price 92.3 * 100.5 100.1
Avg. Price Top 5 Trades 151.9 * 113.4 101.8
Standard Deviation 27.5 * 17.9 22.0
VOLUME OF TRADES (000'S) 341,158.0 * 212,674.3 308,343.1
Customer Buy 156,306.1 * 96,999.9 141,859.4
Customer Sell 183,310.1 * 112,012.2 153,903.8
Dealer to Dealer 1,541.9 0.0 3,662.1 *
<= $1MM 36,417.6 * 21,301.9 14,614.3
<= $10MM 140,637.8 0.0 138,718.2 180,333.4
<= $100MM 164,102.5 * * 113,395.5
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 322 * 119 81
Customer Buy 142 * 58 37
Customer Sell 134 * 54 41
Dealer to Dealer 46 0 7 *
<= $1MM 265 * 71 22
<= $10MM 50 0 44 53
<= $100MM 7 * * 6
> $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 92.0 0.0 * 93.3
Weighted Avg. Price 100.3 0.0 * 85.7
Avg. Price Bottom 5 Trades 73.1 0.0 * 78.6
2nd Quartile Price 88.0 0.0 * 88.0
3rd Quartile Price 92.8 0.0 * 94.0
4th Quartile Price 98.8 0.0 * 100.3
Avg. Price Top 5 Trades 113.8 0.0 * 102.3
Standard Deviation 16.6 0.0 * 6.9
VOLUME OF TRADES (000'S) 9,070.3 0.0 * 855,197.8
Customer Buy 7,929.7 0.0 * 416,873.3
Customer Sell 533.0 0.0 * 407,274.2
Dealer to Dealer 607.6 0.0 0.0 31,050.3
<= $1MM 1,461.4 0.0 * 45,781.3
<= $10MM * 0.0 * 174,465.1
<= $100MM 0.0 0.0 0.0 425,107.3
> $100MM 0.0 0.0 0.0 *
NUMBER OF TRADES 33 0 * 176
Customer Buy 16 0 * 62
Customer Sell 9 0 * 80
Dealer to Dealer 8 0 0 34
<= $1MM 32 0 * 96
<= $10MM * 0 * 59
<= $100MM 0 0 0 19
> $100MM 0 0 0 *
Non-Investment Grade †
AVERAGE PRICE 69.5 0.0 * 98.0
Weighted Avg. Price 81.2 0.0 * 97.4
Avg. Price Bottom 5 Trades 8.1 0.0 * 85.9
2nd Quartile Price 46.3 0.0 * 95.3
3rd Quartile Price 77.3 0.0 * 101.0
4th Quartile Price 89.3 0.0 * 101.8
Avg. Price Top 5 Trades 150.2 0.0 * 103.1
Standard Deviation 27.6 0.0 * 5.9
VOLUME OF TRADES (000'S) 166,629.4 0.0 * 172,927.4
Customer Buy 87,948.0 0.0 * 66,756.8
Customer Sell 77,729.5 0.0 0.0 105,580.6
Dealer to Dealer 951.9 0.0 0.0 *
<= $1MM 24,400.3 0.0 0.0 12,017.3
<= $10MM 82,812.6 0.0 * 56,223.9
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 278 0 * 43
Customer Buy 123 0 * 18
Customer Sell 110 0 0 24
Dealer to Dealer 45 0 0 *
<= $1MM 246 0 0 19
<= $10MM 29 0 * 20
<= $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 *
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 0.0
Customer Sell * 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 *
NUMBER OF TRADES * 0 0 *
Customer Buy * 0 0 0
Customer Sell * 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 *
Non-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
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 0
Customer Buy * 0 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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