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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 93.8 * 99.4
Weighted Avg. Price 94.5 * 98.0
Avg. Price Bottom 5 Trades 75.8 * 86.5
2nd Quartile Price 89.0 * 99.1
3rd Quartile Price 98.0 * 100.1
4th Quartile Price 99.8 * 100.7
Avg. Price Top 5 Trades 100.9 * 103.3
Standard Deviation 7.2 * 2.7
VOLUME OF TRADES (000'S) 123,177.1 * 1,260,861.0
Customer Buy 53,008.2 * 529,508.0
Customer Sell 53,357.6 * 661,036.4
Dealer to Dealer 16,811.4 - 70,316.5
<= $1MM 9,583.3 * 64,367.9
<= $10MM 99,374.5 - 324,114.5
<= $100MM * - 541,867.6
> $100MM - - *
NUMBER OF TRADES 95 * 431
Customer Buy 49 * 176
Customer Sell 25 * 192
Dealer to Dealer 21 - 63
<= $1MM 61 * 294
<= $10MM 33 - 119
<= $100MM * - 16
> $100MM - - *
Non-Investment Grade †
AVERAGE PRICE 60.7 4.6 88.8
Weighted Avg. Price 38.9 2.5 96.2
Avg. Price Bottom 5 Trades 0.2 4.6 28.4
2nd Quartile Price 36.0 * 87.1
3rd Quartile Price 70.3 * 99.6
4th Quartile Price 87.0 * 100.3
Avg. Price Top 5 Trades 145.9 4.6 107.8
Standard Deviation 33.2 1.5 23.3
VOLUME OF TRADES (000'S) 374,503.3 9,037.2 245,810.0
Customer Buy 192,695.1 * 114,800.5
Customer Sell 164,901.0 * 112,485.6
Dealer to Dealer 16,907.2 - 18,523.9
<= $1MM 19,313.8 * 7,062.5
<= $10MM 152,134.2 * 187,694.6
<= $100MM 203,055.3 - *
> $100MM - - -
NUMBER OF TRADES 353 5 71
Customer Buy 151 * 36
Customer Sell 128 * 28
Dealer to Dealer 74 - 7
<= $1MM 295 * 17
<= $10MM 53 * 51
<= $100MM 5 - *
> $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 90.0 * - 96.0
Weighted Avg. Price 92.2 * - 94.6
Avg. Price Bottom 5 Trades 76.7 * - 82.1
2nd Quartile Price 88.0 * - 93.8
3rd Quartile Price 91.0 * - 99.3
4th Quartile Price 95.0 * - 100.3
Avg. Price Top 5 Trades 98.7 * - 100.9
Standard Deviation 7.1 * - 6.3
VOLUME OF TRADES (000'S) 5,521.6 * - 117,651.5
Customer Buy 1,875.2 * - 51,129.0
Customer Sell 3,600.5 - - 49,757.1
Dealer to Dealer 45.9 - - 16,765.5
<= $1MM 1,001.1 * - 8,578.2
<= $10MM * - - 94,854.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 33 * - 61
Customer Buy 11 * - 37
Customer Sell 12 - - 13
Dealer to Dealer 10 - - 11
<= $1MM 30 * - 30
<= $10MM * - - 30
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 59.0 86.9 * 72.9
Weighted Avg. Price 47.3 90.7 * 24.0
Avg. Price Bottom 5 Trades 0.7 77.2 * 32.8
2nd Quartile Price 33.0 80.4 * 62.1
3rd Quartile Price 68.5 84.4 * 92.0
4th Quartile Price 85.8 113.8 * 100.0
Avg. Price Top 5 Trades 145.9 96.1 * 101.2
Standard Deviation 33.2 16.1 * 33.1
VOLUME OF TRADES (000'S) 166,487.3 19,899.3 * 182,695.2
Customer Buy 93,640.8 * * 88,854.0
Customer Sell 67,781.7 * * 89,129.4
Dealer to Dealer 5,064.9 * * *
<= $1MM 16,005.2 * * *
<= $10MM 89,559.3 19,312.5 * 38,841.8
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 323 9 * 17
Customer Buy 137 * * 8
Customer Sell 116 * * 7
Dealer to Dealer 70 * * *
<= $1MM 287 * * *
<= $10MM 34 5 * 12
<= $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 * - - -
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 - - - -
Non-Investment Grade †
AVERAGE PRICE 4.6 - - -
Weighted Avg. Price 2.5 - - -
Avg. Price Bottom 5 Trades 4.6 - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades 4.6 - - -
Standard Deviation 1.5 - - -
VOLUME OF TRADES (000'S) 9,037.2 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM * - - -
<= $10MM * - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 5 - - -
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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