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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 91.2 0.0 99.6 99.7
Weighted Avg. Price 96.6 0.0 100.4 100.3
Avg. Price Bottom 5 Trades 65.3 0.0 86.1 91.4
2nd Quartile Price 86.0 0.0 99.0 100.1
3rd Quartile Price 93.8 0.0 100.1 100.2
4th Quartile Price 99.2 0.0 101.1 100.3
Avg. Price Top 5 Trades 102.0 0.0 104.5 103.0
Standard Deviation 11.4 0.0 2.6 2.2
VOLUME OF TRADES (000'S) 510,350.3 0.0 701,440.4 387,128.8
Customer Buy 260,113.0 0.0 366,295.6 180,702.5
Customer Sell 235,840.7 0.0 317,288.5 198,426.3
Dealer to Dealer 14,396.6 0.0 17,856.3 *
<= $1MM 10,005.7 0.0 66,009.2 33,724.7
<= $10MM 108,287.0 0.0 386,947.2 252,468.2
<= $100MM 392,057.6 0.0 248,484.0 100,935.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 115 0 457 144
Customer Buy 48 0 213 67
Customer Sell 51 0 196 74
Dealer to Dealer 16 0 48 *
<= $1MM 69 0 333 55
<= $10MM 29 0 111 83
<= $100MM 17 0 13 6
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 60.9 0.0 95.9 87.8
Weighted Avg. Price 73.1 0.0 96.5 60.7
Avg. Price Bottom 5 Trades 1.6 0.0 43.1 21.1
2nd Quartile Price 43.0 0.0 95.3 94.8
3rd Quartile Price 62.4 0.0 100.5 99.8
4th Quartile Price 86.3 0.0 102.4 100.7
Avg. Price Top 5 Trades 110.0 0.0 105.0 104.1
Standard Deviation 28.5 0.0 15.4 26.7
VOLUME OF TRADES (000'S) 305,605.9 0.0 395,692.1 176,791.4
Customer Buy 151,438.3 0.0 180,530.0 84,415.6
Customer Sell 153,228.9 0.0 198,781.4 92,375.7
Dealer to Dealer 938.7 0.0 * 0.0
<= $1MM 18,816.1 0.0 12,925.3 13,241.2
<= $10MM 196,724.3 0.0 215,980.2 102,550.2
<= $100MM 90,065.5 0.0 166,786.6 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 331 0 87 66
Customer Buy 93 0 35 28
Customer Sell 170 0 49 38
Dealer to Dealer 68 0 * 0
<= $1MM 274 0 33 21
<= $10MM 50 0 42 43
<= $100MM 7 0 12 *
> $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 90.0 * * 91.9
Weighted Avg. Price 96.1 * * 96.7
Avg. Price Bottom 5 Trades 65.8 * * 80.9
2nd Quartile Price 88.5 * * 85.7
3rd Quartile Price 94.3 * * 90.7
4th Quartile Price 98.0 * * 100.3
Avg. Price Top 5 Trades 100.2 * * 102.0
Standard Deviation 15.5 * * 7.8
VOLUME OF TRADES (000'S) 3,430.3 * * 496,060.5
Customer Buy 2,006.7 0.0 * 255,228.8
Customer Sell 1,390.5 * * 226,468.3
Dealer to Dealer 33.2 0.0 0.0 14,363.4
<= $1MM 2,398.0 * * 6,685.8
<= $10MM * 0.0 * 97,317.1
<= $100MM 0.0 0.0 0.0 392,057.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 46 * * 65
Customer Buy 16 0 * 31
Customer Sell 23 * * 25
Dealer to Dealer 7 0 0 9
<= $1MM 45 * * 22
<= $10MM * 0 * 26
<= $100MM 0 0 0 17
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 57.4 0.0 86.6 74.8
Weighted Avg. Price 53.6 0.0 86.5 71.5
Avg. Price Bottom 5 Trades 1.6 0.0 84.3 40.1
2nd Quartile Price 40.6 0.0 84.1 55.4
3rd Quartile Price 58.6 0.0 87.3 75.3
4th Quartile Price 81.0 0.0 91.0 99.5
Avg. Price Top 5 Trades 107.2 0.0 88.9 102.1
Standard Deviation 28.9 0.0 2.9 22.0
VOLUME OF TRADES (000'S) 38,160.0 0.0 78,905.9 188,540.0
Customer Buy 18,525.1 0.0 39,452.9 93,460.2
Customer Sell 18,696.2 0.0 39,452.9 95,079.8
Dealer to Dealer 938.7 0.0 0.0 0.0
<= $1MM 15,981.9 0.0 0.0 2,834.2
<= $10MM 22,178.2 0.0 29,142.2 145,403.9
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 272 0 10 49
Customer Buy 67 0 5 21
Customer Sell 137 0 5 28
Dealer to Dealer 68 0 0 0
<= $1MM 267 0 0 7
<= $10MM 5 0 6 39
<= $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 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0
Customer Buy 0.0 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 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 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 0
Customer Buy 0 0 0 0
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0
Customer Buy 0.0 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 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 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 0
Customer Buy 0 0 0 0
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 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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