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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 95.0 * 100.2
Weighted Avg. Price 95.0 * 100.5
Avg. Price Bottom 5 Trades 80.5 * 90.4
2nd Quartile Price 88.6 * 99.8
3rd Quartile Price 98.3 * 100.5
4th Quartile Price 100.9 * 101.3
Avg. Price Top 5 Trades 102.7 * 104.4
Standard Deviation 6.8 * 2.2
VOLUME OF TRADES (000'S) 343,172.6 * 573,788.9
Customer Buy 118,030.0 - 216,800.6
Customer Sell 183,146.3 * 320,069.7
Dealer to Dealer 41,996.3 - 36,918.6
<= $1MM 38,255.9 - 60,425.1
<= $10MM 159,400.6 - 345,999.3
<= $100MM 145,516.2 - 167,364.5
> $100MM - * -
NUMBER OF TRADES 181 * 421
Customer Buy 40 - 124
Customer Sell 88 * 229
Dealer to Dealer 53 - 68
<= $1MM 118 - 297
<= $10MM 53 - 114
<= $100MM 10 - 10
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 75.2 * 363.5
Weighted Avg. Price 82.2 * 100.2
Avg. Price Bottom 5 Trades 13.3 * 55.6
2nd Quartile Price 54.5 * 98.6
3rd Quartile Price 85.2 * 100.2
4th Quartile Price 97.5 * 101.6
Avg. Price Top 5 Trades 111.4 * 4,052.3
Standard Deviation 26.9 * 1,612.9
VOLUME OF TRADES (000'S) 103,417.8 * 153,862.6
Customer Buy 66,959.0 * 55,671.9
Customer Sell 30,200.1 * 94,606.8
Dealer to Dealer 6,258.8 - 3,583.9
<= $1MM 15,029.9 * 15,439.0
<= $10MM 77,313.0 * 88,643.9
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 151 * 74
Customer Buy 47 * 28
Customer Sell 73 * 41
Dealer to Dealer 31 - 5
<= $1MM 129 * 42
<= $10MM 21 * 29
<= $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 90.0 - * 95.5
Weighted Avg. Price 94.5 - * 95.0
Avg. Price Bottom 5 Trades 87.3 - * 80.5
2nd Quartile Price 88.2 - * 89.0
3rd Quartile Price 90.0 - * 98.8
4th Quartile Price 92.4 - * 101.0
Avg. Price Top 5 Trades 92.8 - * 102.7
Standard Deviation 3.5 - * 6.9
VOLUME OF TRADES (000'S) 1,087.2 - * 341,847.0
Customer Buy 257.1 - - 117,772.9
Customer Sell 576.6 - * 182,450.5
Dealer to Dealer * - * 41,623.6
<= $1MM 1,087.2 - * 36,930.2
<= $10MM - - - 159,400.6
<= $100MM - - - 145,516.2
> $100MM - - - -
NUMBER OF TRADES 15 - * 164
Customer Buy 6 - - 34
Customer Sell 5 - * 82
Dealer to Dealer * - * 48
<= $1MM 15 - * 101
<= $10MM - - - 53
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 72.6 - - 95.6
Weighted Avg. Price 75.3 - - 95.7
Avg. Price Bottom 5 Trades 13.3 - - 86.7
2nd Quartile Price 52.0 - - 100.0
3rd Quartile Price 80.1 - - 100.1
4th Quartile Price 93.3 - - 100.5
Avg. Price Top 5 Trades 109.1 - - 100.8
Standard Deviation 27.2 - - 12.8
VOLUME OF TRADES (000'S) 68,270.1 - - 35,147.8
Customer Buy 46,773.3 - - 20,185.6
Customer Sell 21,028.5 - - 9,171.6
Dealer to Dealer 468.2 - - *
<= $1MM 9,588.7 - - 5,441.1
<= $10MM 47,606.4 - - 29,706.6
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 134 - - 17
Customer Buy 40 - - 7
Customer Sell 66 - - 7
Dealer to Dealer 28 - - *
<= $1MM 120 - - 9
<= $10MM 13 - - 8
<= $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 * - - -
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 - - - -

* 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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