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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 93.2 0.8 99.7
Weighted Avg. Price 90.0 0.8 100.3
Avg. Price Bottom 5 Trades 78.7 0.8 88.5
2nd Quartile Price 87.4 * 99.4
3rd Quartile Price 94.5 * 99.8
4th Quartile Price 99.9 * 100.8
Avg. Price Top 5 Trades 101.8 0.8 106.6
Standard Deviation 6.9 0.1 2.1
VOLUME OF TRADES (000'S) 316,077.1 1,542,806.8 1,105,614.9
Customer Buy 142,706.1 * 563,440.9
Customer Sell 144,943.2 * 474,068.3
Dealer to Dealer 28,427.8 * 68,105.7
<= $1MM 34,721.2 - 48,238.5
<= $10MM 188,992.5 - 409,135.5
<= $100MM 92,363.4 * 648,240.9
> $100MM - * -
NUMBER OF TRADES 190 6 474
Customer Buy 63 * 250
Customer Sell 94 * 153
Dealer to Dealer 33 * 71
<= $1MM 132 - 359
<= $10MM 51 - 86
<= $100MM 7 * 29
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 46.7 * 97.2
Weighted Avg. Price 53.2 * 97.5
Avg. Price Bottom 5 Trades 0.1 * 78.8
2nd Quartile Price - * 96.6
3rd Quartile Price 47.5 * 100.0
4th Quartile Price 78.0 * 101.0
Avg. Price Top 5 Trades 216.7 * 103.4
Standard Deviation 39.0 * 7.2
VOLUME OF TRADES (000'S) 316,535.3 * 138,817.5
Customer Buy 136,584.0 - 60,489.3
Customer Sell 152,071.6 * 65,608.8
Dealer to Dealer 27,879.8 - 12,719.5
<= $1MM 52,963.0 - 14,529.3
<= $10MM 184,287.8 - 124,288.3
<= $100MM 79,284.6 * -
> $100MM - - -
NUMBER OF TRADES 445 * 61
Customer Buy 161 - 29
Customer Sell 242 * 26
Dealer to Dealer 42 - 6
<= $1MM 384 - 24
<= $10MM 55 - 37
<= $100MM 6 * -
> $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 92.3 - * 93.5
Weighted Avg. Price 92.6 - * 89.9
Avg. Price Bottom 5 Trades 85.5 - * 78.7
2nd Quartile Price 89.2 - * 87.1
3rd Quartile Price 92.6 - * 96.8
4th Quartile Price 95.4 - * 100.6
Avg. Price Top 5 Trades 99.3 - * 101.8
Standard Deviation 4.4 - * 7.7
VOLUME OF TRADES (000'S) 3,016.8 - * 311,796.1
Customer Buy 1,629.9 - * 140,963.1
Customer Sell 1,041.8 - * 142,750.3
Dealer to Dealer 345.1 - - 28,082.7
<= $1MM 3,016.8 - * 31,567.0
<= $10MM - - * 187,865.7
<= $100MM - - - 92,363.4
> $100MM - - - -
NUMBER OF TRADES 52 - * 135
Customer Buy 16 - * 46
Customer Sell 22 - * 70
Dealer to Dealer 14 - - 19
<= $1MM 52 - * 78
<= $10MM - - * 50
<= $100MM - - - 7
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 44.1 * - 99.0
Weighted Avg. Price 38.4 * - 99.8
Avg. Price Bottom 5 Trades 0.1 * - 95.0
2nd Quartile Price - * - 98.4
3rd Quartile Price 45.2 * - 100.3
4th Quartile Price 75.0 * - 101.3
Avg. Price Top 5 Trades 216.7 * - 101.5
Standard Deviation 38.1 * - 3.3
VOLUME OF TRADES (000'S) 228,253.1 * - 78,256.9
Customer Buy 106,464.4 * - 20,094.2
Customer Sell 115,629.3 - - 36,442.3
Dealer to Dealer 6,159.4 - - 21,720.4
<= $1MM 50,255.3 - - 2,707.6
<= $10MM 142,789.1 - - 41,498.8
<= $100MM * * - *
> $100MM - - - -
NUMBER OF TRADES 423 * - 21
Customer Buy 154 * - 6
Customer Sell 232 - - 10
Dealer to Dealer 37 - - 5
<= $1MM 377 - - 7
<= $10MM 44 - - 11
<= $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 - - - 0.8
Weighted Avg. Price - - - 0.8
Avg. Price Bottom 5 Trades - - - 0.8
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 0.8
Standard Deviation - - - 0.1
VOLUME OF TRADES (000'S) - - - 1,542,806.8
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 6
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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