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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 88.6 - 98.7
Weighted Avg. Price 91.2 - 100.0
Avg. Price Bottom 5 Trades 67.8 - 86.1
2nd Quartile Price 82.9 - 98.0
3rd Quartile Price 91.2 - 99.8
4th Quartile Price 99.5 - 100.4
Avg. Price Top 5 Trades 101.0 - 103.6
Standard Deviation 15.3 - 3.0
VOLUME OF TRADES (000'S) 128,242.8 - 1,537,649.7
Customer Buy 83,358.6 - 829,130.5
Customer Sell 37,502.5 - 696,621.6
Dealer to Dealer 7,381.7 - 11,897.6
<= $1MM 14,061.2 - 37,170.0
<= $10MM 98,939.5 - 338,830.7
<= $100MM * - 1,161,649.0
> $100MM - - -
NUMBER OF TRADES 80 - 389
Customer Buy 36 - 140
Customer Sell 35 - 208
Dealer to Dealer 9 - 41
<= $1MM 47 - 267
<= $10MM 32 - 82
<= $100MM * - 40
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.3 * 97.4
Weighted Avg. Price 98.8 * 99.4
Avg. Price Bottom 5 Trades 19.0 * 76.9
2nd Quartile Price 49.0 * 98.7
3rd Quartile Price 75.0 * 99.4
4th Quartile Price 86.0 * 99.6
Avg. Price Top 5 Trades 101.4 * 101.2
Standard Deviation 24.1 * 5.8
VOLUME OF TRADES (000'S) 155,992.1 * 233,040.5
Customer Buy 66,429.8 * 136,712.3
Customer Sell 89,075.2 - 52,526.1
Dealer to Dealer 487.1 - 43,802.2
<= $1MM 2,784.5 * 24,764.4
<= $10MM 37,677.0 - 186,051.2
<= $100MM 115,530.6 - *
> $100MM - - -
NUMBER OF TRADES 124 * 101
Customer Buy 44 * 52
Customer Sell 46 - 35
Dealer to Dealer 34 - 14
<= $1MM 108 * 52
<= $10MM 11 - 47
<= $100MM 5 - *
> $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 78.9 - - 91.6
Weighted Avg. Price 87.5 - - 91.2
Avg. Price Bottom 5 Trades 68.7 - - 78.3
2nd Quartile Price 82.9 - - 79.6
3rd Quartile Price 87.7 - - 96.8
4th Quartile Price 90.3 - - 100.0
Avg. Price Top 5 Trades 91.8 - - 101.0
Standard Deviation 24.5 - - 9.3
VOLUME OF TRADES (000'S) 97.3 - - 128,145.5
Customer Buy * - - 83,345.2
Customer Sell 32.3 - - 37,470.2
Dealer to Dealer 51.6 - - *
<= $1MM 97.3 - - 13,964.0
<= $10MM - - - 98,939.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 19 - - 61
Customer Buy * - - 34
Customer Sell 10 - - 25
Dealer to Dealer 7 - - *
<= $1MM 19 - - 28
<= $10MM - - - 32
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 63.7 - - 99.8
Weighted Avg. Price 76.2 - - 99.3
Avg. Price Bottom 5 Trades 19.0 - - 98.6
2nd Quartile Price 47.3 - - 99.2
3rd Quartile Price 71.5 - - 99.6
4th Quartile Price 82.0 - - 101.1
Avg. Price Top 5 Trades 97.3 - - 101.4
Standard Deviation 22.3 - - 1.5
VOLUME OF TRADES (000'S) 2,784.5 - - 153,207.7
Customer Buy 1,239.3 - - 65,190.5
Customer Sell 1,058.1 - - 88,017.1
Dealer to Dealer 487.1 - - -
<= $1MM 2,784.5 - - -
<= $10MM - - - 37,677.0
<= $100MM - - - 115,530.6
> $100MM - - - -
NUMBER OF TRADES 108 - - 16
Customer Buy 35 - - 9
Customer Sell 39 - - 7
Dealer to Dealer 34 - - -
<= $1MM 108 - - -
<= $10MM - - - 11
<= $100MM - - - 5
> $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 tracedataservices@finra.org.
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