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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 95.3 * 99.9
Weighted Avg. Price 93.4 * 99.9
Avg. Price Bottom 5 Trades 76.6 * 91.0
2nd Quartile Price 94.0 * 99.6
3rd Quartile Price 99.3 * 100.3
4th Quartile Price 100.2 * 100.8
Avg. Price Top 5 Trades 101.0 * 103.9
Standard Deviation 7.4 * 1.9
VOLUME OF TRADES (000'S) 243,618.7 * 1,211,097.1
Customer Buy 90,582.7 - 551,981.8
Customer Sell 153,017.2 * 539,647.5
Dealer to Dealer * - 119,467.8
<= $1MM 11,848.3 * 53,589.0
<= $10MM 101,117.9 - 517,043.4
<= $100MM 130,652.6 - 640,464.7
> $100MM - - -
NUMBER OF TRADES 75 * 382
Customer Buy 33 - 137
Customer Sell 40 * 162
Dealer to Dealer * - 83
<= $1MM 35 * 225
<= $10MM 31 - 136
<= $100MM 9 - 21
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 77.4 17.7 92.2
Weighted Avg. Price 87.5 2.5 89.5
Avg. Price Bottom 5 Trades 27.5 3.3 11.7
2nd Quartile Price 70.9 2.9 94.2
3rd Quartile Price 81.5 6.9 100.1
4th Quartile Price 91.5 12.8 100.7
Avg. Price Top 5 Trades 101.7 27.8 102.9
Standard Deviation 18.9 33.6 22.3
VOLUME OF TRADES (000'S) 76,702.4 32,753.0 190,244.0
Customer Buy 40,746.8 * 82,410.8
Customer Sell 29,222.4 27,050.3 89,661.2
Dealer to Dealer 6,733.2 - 18,172.0
<= $1MM 5,804.2 * 7,032.7
<= $10MM 60,072.6 13,832.3 156,438.0
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 142 8 74
Customer Buy 51 * 31
Customer Sell 54 5 35
Dealer to Dealer 37 - 8
<= $1MM 123 * 24
<= $10MM 18 6 48
<= $100MM * * *
> $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 89.0 - * 96.4
Weighted Avg. Price 93.9 - * 93.4
Avg. Price Bottom 5 Trades 82.5 - * 78.7
2nd Quartile Price 84.5 - * 95.9
3rd Quartile Price 89.5 - * 99.8
4th Quartile Price 95.0 - * 100.3
Avg. Price Top 5 Trades 94.3 - * 101.0
Standard Deviation 6.6 - * 7.0
VOLUME OF TRADES (000'S) 192.2 - * 242,964.6
Customer Buy * - - 90,474.7
Customer Sell 65.3 - * 152,489.9
Dealer to Dealer * - - -
<= $1MM 192.2 - * 11,194.2
<= $10MM - - - 101,117.9
<= $100MM - - - 130,652.6
> $100MM - - - -
NUMBER OF TRADES 12 - * 62
Customer Buy * - - 30
Customer Sell 7 - * 32
Dealer to Dealer * - - -
<= $1MM 12 - * 22
<= $10MM - - - 31
<= $100MM - - - 9
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 75.9 - - 95.9
Weighted Avg. Price 80.3 - - 95.8
Avg. Price Bottom 5 Trades 27.5 - - 90.3
2nd Quartile Price 67.5 - - 98.6
3rd Quartile Price 80.5 - - 100.3
4th Quartile Price 89.3 - - 100.9
Avg. Price Top 5 Trades 101.5 - - 100.6
Standard Deviation 18.6 - - 10.9
VOLUME OF TRADES (000'S) 40,901.9 - - 35,800.6
Customer Buy 23,978.8 - - 16,768.1
Customer Sell 13,689.9 - - 15,532.5
Dealer to Dealer 3,233.2 - - *
<= $1MM 5,704.2 - - *
<= $10MM 24,372.1 - - 35,700.6
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 131 - - 11
Customer Buy 46 - - 5
Customer Sell 49 - - 5
Dealer to Dealer 36 - - *
<= $1MM 122 - - *
<= $10MM 8 - - 10
<= $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 17.7 - - -
Weighted Avg. Price 2.5 - - -
Avg. Price Bottom 5 Trades 3.3 - - -
2nd Quartile Price 2.9 - - -
3rd Quartile Price 6.9 - - -
4th Quartile Price 12.8 - - -
Avg. Price Top 5 Trades 27.8 - - -
Standard Deviation 33.6 - - -
VOLUME OF TRADES (000'S) 32,753.0 - - -
Customer Buy * - - -
Customer Sell 27,050.3 - - -
Dealer to Dealer - - - -
<= $1MM * - - -
<= $10MM 13,832.3 - - -
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 8 - - -
Customer Buy * - - -
Customer Sell 5 - - -
Dealer to Dealer - - - -
<= $1MM * - - -
<= $10MM 6 - - -
<= $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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