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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 90.4 * 99.6
Weighted Avg. Price 87.3 * 99.8
Avg. Price Bottom 5 Trades 58.5 * 90.2
2nd Quartile Price 84.3 * 99.2
3rd Quartile Price 92.2 * 100.0
4th Quartile Price 99.8 * 100.7
Avg. Price Top 5 Trades 103.0 * 104.3
Standard Deviation 12.7 * 2.2
VOLUME OF TRADES (000'S) 213,530.1 * 664,912.0
Customer Buy 114,616.6 * 394,675.6
Customer Sell 76,216.2 - 225,828.7
Dealer to Dealer 22,697.3 * 44,407.7
<= $1MM 12,558.3 - 51,833.0
<= $10MM 175,974.9 - 352,585.5
<= $100MM * * 260,493.6
> $100MM - - -
NUMBER OF TRADES 88 * 369
Customer Buy 36 * 164
Customer Sell 36 - 160
Dealer to Dealer 16 * 45
<= $1MM 51 - 244
<= $10MM 35 - 112
<= $100MM * * 13
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 66.1 * 159.5
Weighted Avg. Price 70.0 * 111.3
Avg. Price Bottom 5 Trades 13.8 * 54.6
2nd Quartile Price 51.0 * 94.3
3rd Quartile Price 68.0 * 99.3
4th Quartile Price 88.3 * 100.8
Avg. Price Top 5 Trades 101.7 * 619.1
Standard Deviation 23.0 * 317.9
VOLUME OF TRADES (000'S) 76,626.4 * 106,851.6
Customer Buy 34,628.2 * 77,034.8
Customer Sell 35,968.9 * 26,198.4
Dealer to Dealer 6,029.3 - 3,618.4
<= $1MM 5,185.1 * 7,800.8
<= $10MM 57,692.9 - 99,050.8
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 167 * 47
Customer Buy 47 * 26
Customer Sell 67 * 16
Dealer to Dealer 53 - 5
<= $1MM 148 * 20
<= $10MM 18 - 27
<= $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 85.3 * * 91.7
Weighted Avg. Price 96.4 * * 87.3
Avg. Price Bottom 5 Trades 73.4 * * 71.8
2nd Quartile Price 90.1 * * 84.4
3rd Quartile Price 91.6 * * 97.0
4th Quartile Price 97.3 * * 100.3
Avg. Price Top 5 Trades 97.4 * * 103.0
Standard Deviation 24.1 * * 10.0
VOLUME OF TRADES (000'S) 913.1 * * 209,704.1
Customer Buy * * * 112,398.8
Customer Sell * * * 74,748.7
Dealer to Dealer 140.8 - - 22,556.5
<= $1MM 913.1 * * 8,732.2
<= $10MM - - - 175,974.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 13 * * 67
Customer Buy * * * 28
Customer Sell * * * 28
Dealer to Dealer 5 - - 11
<= $1MM 13 * * 30
<= $10MM - - - 35
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 63.6 - * 97.5
Weighted Avg. Price 42.6 - * 97.4
Avg. Price Bottom 5 Trades 13.8 - * 93.8
2nd Quartile Price 50.0 - * 97.0
3rd Quartile Price 65.0 - * 101.2
4th Quartile Price 80.8 - * 101.5
Avg. Price Top 5 Trades 100.7 - * 100.0
Standard Deviation 22.1 - * 4.4
VOLUME OF TRADES (000'S) 36,856.6 - * 34,426.0
Customer Buy 8,858.4 - * 20,426.0
Customer Sell 26,968.9 - - *
Dealer to Dealer 1,029.3 - - *
<= $1MM 4,095.2 - * *
<= $10MM 19,013.0 - * 33,426.0
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 154 - * 10
Customer Buy 37 - * 7
Customer Sell 65 - - *
Dealer to Dealer 52 - - *
<= $1MM 146 - * *
<= $10MM 7 - * 9
<= $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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