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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 94.6 - 100.4
Weighted Avg. Price 96.8 - 100.8
Avg. Price Bottom 5 Trades 73.8 - 91.5
2nd Quartile Price 88.7 - 100.0
3rd Quartile Price 99.8 - 100.6
4th Quartile Price 100.5 - 101.2
Avg. Price Top 5 Trades 101.4 - 103.8
Standard Deviation 8.0 - 1.7
VOLUME OF TRADES (000'S) 273,427.7 - 588,696.7
Customer Buy 152,252.2 - 300,554.9
Customer Sell 119,164.7 - 166,742.9
Dealer to Dealer 2,010.8 - 121,398.9
<= $1MM 12,397.6 - 47,812.6
<= $10MM 226,873.6 - 327,638.2
<= $100MM * - 213,245.9
> $100MM - - -
NUMBER OF TRADES 121 - 359
Customer Buy 61 - 208
Customer Sell 47 - 84
Dealer to Dealer 13 - 67
<= $1MM 60 - 240
<= $10MM 58 - 105
<= $100MM * - 14
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.2 * 97.2
Weighted Avg. Price 94.6 * 99.6
Avg. Price Bottom 5 Trades 0.7 * 71.6
2nd Quartile Price 42.5 * 96.1
3rd Quartile Price 66.4 * 98.3
4th Quartile Price 82.5 * 100.6
Avg. Price Top 5 Trades 453.0 * 103.2
Standard Deviation 68.7 * 6.5
VOLUME OF TRADES (000'S) 155,667.9 * 169,643.4
Customer Buy 100,673.3 * 112,834.6
Customer Sell 54,357.8 * 51,923.3
Dealer to Dealer 636.8 - 4,885.5
<= $1MM 8,011.1 * 11,518.1
<= $10MM 89,845.4 * 102,695.5
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 299 * 122
Customer Buy 114 * 70
Customer Sell 105 * 26
Dealer to Dealer 80 - 26
<= $1MM 268 * 87
<= $10MM 27 * 31
<= $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 85.8 - - 96.6
Weighted Avg. Price 90.7 - - 96.8
Avg. Price Bottom 5 Trades 79.5 - - 75.2
2nd Quartile Price 82.0 - - 94.8
3rd Quartile Price 85.1 - - 100.2
4th Quartile Price 89.6 - - 100.7
Avg. Price Top 5 Trades 93.4 - - 101.4
Standard Deviation 5.7 - - 7.1
VOLUME OF TRADES (000'S) 181.1 - - 273,246.6
Customer Buy * - - 152,200.4
Customer Sell 39.8 - - 119,125.0
Dealer to Dealer 89.6 - - *
<= $1MM 181.1 - - 12,216.5
<= $10MM - - - 226,873.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 23 - - 98
Customer Buy * - - 59
Customer Sell 9 - - 38
Dealer to Dealer 12 - - *
<= $1MM 23 - - 37
<= $10MM - - - 58
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.8 - - 99.4
Weighted Avg. Price 74.8 - - 100.2
Avg. Price Bottom 5 Trades 0.7 - - 95.9
2nd Quartile Price 42.2 - - 100.1
3rd Quartile Price 64.7 - - 100.3
4th Quartile Price 80.2 - - 101.4
Avg. Price Top 5 Trades 393.8 - - 101.6
Standard Deviation 70.7 - - 3.4
VOLUME OF TRADES (000'S) 34,514.7 - - 121,153.3
Customer Buy 17,521.1 - - 83,152.1
Customer Sell 16,356.7 - - 38,001.1
Dealer to Dealer 636.8 - - -
<= $1MM 7,663.9 - - *
<= $10MM 26,850.8 - - 62,994.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 278 - - 21
Customer Buy 100 - - 14
Customer Sell 98 - - 7
Dealer to Dealer 80 - - -
<= $1MM 266 - - *
<= $10MM 12 - - 15
<= $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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