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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 94.0 * 100.2
Weighted Avg. Price 97.6 * 100.5
Avg. Price Bottom 5 Trades 82.5 * 92.6
2nd Quartile Price 89.0 * 99.8
3rd Quartile Price 92.5 * 100.3
4th Quartile Price 100.3 * 100.9
Avg. Price Top 5 Trades 101.4 * 104.7
Standard Deviation 6.2 * 1.6
VOLUME OF TRADES (000'S) 321,657.1 * 1,045,412.6
Customer Buy 177,796.5 - 515,698.3
Customer Sell 130,685.9 * 487,619.1
Dealer to Dealer 13,174.7 - 42,095.3
<= $1MM 18,256.3 - 68,730.2
<= $10MM 170,773.4 - 460,778.1
<= $100MM 132,627.3 * 515,904.4
> $100MM - - -
NUMBER OF TRADES 133 * 429
Customer Buy 60 - 159
Customer Sell 50 * 220
Dealer to Dealer 23 - 50
<= $1MM 81 - 236
<= $10MM 46 - 161
<= $100MM 6 * 32
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 75.1 * 98.2
Weighted Avg. Price 79.7 * 48.2
Avg. Price Bottom 5 Trades 16.9 * 67.2
2nd Quartile Price 56.3 * 97.5
3rd Quartile Price 80.3 * 100.1
4th Quartile Price 92.8 * 101.4
Avg. Price Top 5 Trades 159.2 * 104.6
Standard Deviation 26.9 * 10.2
VOLUME OF TRADES (000'S) 259,826.0 * 387,669.5
Customer Buy 121,785.4 * 110,836.9
Customer Sell 137,701.1 * 274,524.1
Dealer to Dealer 339.4 - 2,308.4
<= $1MM 12,440.3 - 15,721.6
<= $10MM 247,385.7 * 130,314.1
<= $100MM - - *
> $100MM - - *
NUMBER OF TRADES 246 * 112
Customer Buy 79 * 60
Customer Sell 120 * 43
Dealer to Dealer 47 - 9
<= $1MM 166 - 60
<= $10MM 80 * 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 90.8 - - 95.8
Weighted Avg. Price 91.3 - - 97.6
Avg. Price Bottom 5 Trades 85.7 - - 82.9
2nd Quartile Price 89.1 - - 88.8
3rd Quartile Price 91.0 - - 100.0
4th Quartile Price 92.5 - - 100.8
Avg. Price Top 5 Trades 97.5 - - 101.4
Standard Deviation 3.6 - - 6.6
VOLUME OF TRADES (000'S) 711.7 - - 320,945.4
Customer Buy 189.2 - - 177,607.3
Customer Sell 251.6 - - 130,434.3
Dealer to Dealer 270.9 - - *
<= $1MM 711.7 - - 17,544.6
<= $10MM - - - 170,773.4
<= $100MM - - - 132,627.3
> $100MM - - - -
NUMBER OF TRADES 49 - - 84
Customer Buy 19 - - 41
Customer Sell 11 - - 39
Dealer to Dealer 19 - - *
<= $1MM 49 - - 32
<= $10MM - - - 46
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 73.3 72.1 93.8 68.3
Weighted Avg. Price 93.4 70.3 86.4 71.9
Avg. Price Bottom 5 Trades 16.9 54.6 60.0 36.0
2nd Quartile Price 55.0 54.3 62.3 55.0
3rd Quartile Price 81.0 69.4 89.6 60.8
4th Quartile Price 90.9 91.6 103.4 97.7
Avg. Price Top 5 Trades 121.5 91.8 159.2 100.6
Standard Deviation 24.5 20.0 37.3 24.8
VOLUME OF TRADES (000'S) 53,476.5 49,331.5 65,053.6 91,964.4
Customer Buy 23,666.5 24,665.8 32,408.5 41,044.6
Customer Sell 29,470.5 24,665.8 32,645.1 50,919.8
Dealer to Dealer 339.4 - - -
<= $1MM 6,201.4 - 4,280.5 *
<= $10MM 47,275.1 49,331.5 60,773.0 90,006.1
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 179 12 29 26
Customer Buy 47 6 14 12
Customer Sell 85 6 15 14
Dealer to Dealer 47 - - -
<= $1MM 156 - 7 *
<= $10MM 23 12 22 23
<= $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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