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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 87.2 * 99.7
Weighted Avg. Price 93.9 * 99.5
Avg. Price Bottom 5 Trades 56.8 * 90.6
2nd Quartile Price 85.5 * 99.4
3rd Quartile Price 90.5 * 100.5
4th Quartile Price 95.1 * 101.0
Avg. Price Top 5 Trades 100.8 * 101.9
Standard Deviation 12.8 * 2.6
VOLUME OF TRADES (000'S) 34,007.6 * 77,627.1
Customer Buy 15,529.4 * 54,897.9
Customer Sell 18,272.1 - 22,050.4
Dealer to Dealer 206.1 - 678.8
<= $1MM 1,220.4 * 11,618.7
<= $10MM 32,787.3 - 43,670.4
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 51 * 121
Customer Buy 15 * 68
Customer Sell 21 - 27
Dealer to Dealer 15 - 26
<= $1MM 43 * 105
<= $10MM 8 - 14
<= $100MM - - *
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 65.2 32.9 90.4
Weighted Avg. Price 88.9 30.8 84.9
Avg. Price Bottom 5 Trades 11.9 30.0 90.4
2nd Quartile Price 47.5 32.3 *
3rd Quartile Price 70.0 39.9 *
4th Quartile Price 85.5 47.5 *
Avg. Price Top 5 Trades 99.4 36.3 90.4
Standard Deviation 22.9 10.6 9.0
VOLUME OF TRADES (000'S) 12,658.0 40.4 36,997.6
Customer Buy 1,411.4 40.4 *
Customer Sell 4,830.1 - *
Dealer to Dealer 6,416.6 - -
<= $1MM 3,908.3 40.4 *
<= $10MM * - *
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 215 6 5
Customer Buy 75 6 *
Customer Sell 91 - *
Dealer to Dealer 49 - -
<= $1MM 211 6 *
<= $10MM * - *
<= $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 85.2 - - 94.7
Weighted Avg. Price 90.4 - - 94.0
Avg. Price Bottom 5 Trades 56.8 - - 88.0
2nd Quartile Price 85.3 - - 87.6
3rd Quartile Price 90.0 - - 100.0
4th Quartile Price 92.5 - - 101.2
Avg. Price Top 5 Trades 95.7 - - 100.8
Standard Deviation 13.3 - - 7.2
VOLUME OF TRADES (000'S) 344.1 - - 33,663.5
Customer Buy 33.4 - - 15,496.0
Customer Sell 104.6 - - 18,167.5
Dealer to Dealer 206.1 - - -
<= $1MM 344.1 - - *
<= $10MM - - - 32,787.3
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 40 - - 11
Customer Buy 9 - - 6
Customer Sell 16 - - 5
Dealer to Dealer 15 - - -
<= $1MM 40 - - *
<= $10MM - - - 8
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.7 - - *
Weighted Avg. Price 75.6 - - *
Avg. Price Bottom 5 Trades 11.9 - - *
2nd Quartile Price 47.0 - - *
3rd Quartile Price 70.0 - - *
4th Quartile Price 85.0 - - *
Avg. Price Top 5 Trades 96.1 - - *
Standard Deviation 22.7 - - *
VOLUME OF TRADES (000'S) 6,068.4 - - *
Customer Buy 1,411.4 - - -
Customer Sell 4,240.4 - - *
Dealer to Dealer 416.6 - - *
<= $1MM 3,318.7 - - *
<= $10MM * - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 212 - - *
Customer Buy 75 - - -
Customer Sell 90 - - *
Dealer to Dealer 47 - - *
<= $1MM 210 - - *
<= $10MM * - - *
<= $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 32.9 - - -
Weighted Avg. Price 30.8 - - -
Avg. Price Bottom 5 Trades 30.0 - - -
2nd Quartile Price 32.3 - - -
3rd Quartile Price 39.9 - - -
4th Quartile Price 47.5 - - -
Avg. Price Top 5 Trades 36.3 - - -
Standard Deviation 10.6 - - -
VOLUME OF TRADES (000'S) 40.4 - - -
Customer Buy 40.4 - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM 40.4 - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 6 - - -
Customer Buy 6 - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM 6 - - -
<= $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 Listor 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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