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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 95.5 0.0 99.8 100.2
Weighted Avg. Price 96.2 0.0 100.5 100.1
Avg. Price Bottom 5 Trades 81.6 0.0 89.2 96.2
2nd Quartile Price 90.6 0.0 99.4 100.2
3rd Quartile Price 99.3 0.0 100.2 100.2
4th Quartile Price 100.7 0.0 100.9 100.4
Avg. Price Top 5 Trades 101.9 0.0 108.8 102.0
Standard Deviation 6.4 0.0 2.4 1.5
VOLUME OF TRADES (000'S) 296,947.8 0.0 1,080,883.4 362,589.7
Customer Buy 106,759.7 0.0 496,895.3 165,536.8
Customer Sell 185,726.8 0.0 582,633.5 160,794.6
Dealer to Dealer 4,461.3 0.0 1,354.5 36,258.3
<= $1MM 14,650.0 0.0 75,425.5 23,855.4
<= $10MM 176,207.6 0.0 509,963.5 238,574.6
<= $100MM 106,090.2 0.0 495,494.4 100,159.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 105 0 548 124
Customer Buy 36 0 192 60
Customer Sell 54 0 290 57
Dealer to Dealer 15 0 66 7
<= $1MM 52 0 377 40
<= $10MM 46 0 143 77
<= $100MM 7 0 28 7
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 162.0 * 96.5 91.5
Weighted Avg. Price 90.4 * 99.5 82.5
Avg. Price Bottom 5 Trades 1.6 * 71.4 59.1
2nd Quartile Price 50.3 * 97.0 93.6
3rd Quartile Price 81.4 * 100.0 99.4
4th Quartile Price 93.5 * 101.0 100.6
Avg. Price Top 5 Trades 3,662.2 * 104.4 103.4
Standard Deviation 742.4 * 14.0 16.0
VOLUME OF TRADES (000'S) 305,934.1 * 138,075.6 108,187.8
Customer Buy 160,375.6 * 48,077.0 58,436.4
Customer Sell 144,780.9 * 77,254.1 45,751.4
Dealer to Dealer 777.7 0.0 * *
<= $1MM 12,863.4 * 4,886.8 12,025.3
<= $10MM 109,383.9 0.0 95,059.2 75,866.5
<= $100MM 183,686.8 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 192 * 45 51
Customer Buy 60 * 19 29
Customer Sell 95 * 22 21
Dealer to Dealer 37 0 * *
<= $1MM 148 * 17 23
<= $10MM 38 0 26 26
<= $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 92.0 0.0 * 96.6
Weighted Avg. Price 94.5 0.0 * 96.2
Avg. Price Bottom 5 Trades 85.6 0.0 * 81.6
2nd Quartile Price 90.1 0.0 * 93.8
3rd Quartile Price 93.5 0.0 * 100.2
4th Quartile Price 95.5 0.0 * 100.8
Avg. Price Top 5 Trades 97.4 0.0 * 101.9
Standard Deviation 4.5 0.0 * 6.6
VOLUME OF TRADES (000'S) 497.6 0.0 * 296,057.3
Customer Buy 89.1 0.0 0.0 106,670.5
Customer Sell 277.2 0.0 * 185,056.6
Dealer to Dealer 131.2 0.0 0.0 4,330.1
<= $1MM 497.6 0.0 * 13,759.5
<= $10MM 0.0 0.0 0.0 176,207.6
<= $100MM 0.0 0.0 0.0 106,090.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 25 0 * 79
Customer Buy 7 0 0 29
Customer Sell 11 0 * 42
Dealer to Dealer 7 0 0 8
<= $1MM 25 0 * 26
<= $10MM 0 0 0 46
<= $100MM 0 0 0 7
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 173.2 0.0 * 97.1
Weighted Avg. Price 67.8 0.0 * 94.9
Avg. Price Bottom 5 Trades 1.6 0.0 * 89.4
2nd Quartile Price 47.2 0.0 * 94.8
3rd Quartile Price 74.5 0.0 * 99.6
4th Quartile Price 87.8 0.0 * 100.1
Avg. Price Top 5 Trades 3,662.2 0.0 * 101.8
Standard Deviation 803.1 0.0 * 6.2
VOLUME OF TRADES (000'S) 49,711.0 0.0 * 252,889.9
Customer Buy 24,169.5 0.0 * 134,539.5
Customer Sell 24,763.9 0.0 * 118,350.4
Dealer to Dealer 777.7 0.0 0.0 0.0
<= $1MM 11,863.4 0.0 0.0 *
<= $10MM 37,847.6 0.0 * 68,203.0
<= $100MM 0.0 0.0 0.0 183,686.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 164 0 * 26
Customer Buy 45 0 * 14
Customer Sell 82 0 * 12
Dealer to Dealer 37 0 0 0
<= $1MM 147 0 0 *
<= $10MM 17 0 * 19
<= $100MM 0 0 0 6
> $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
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 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 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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