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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 - 99.6
Weighted Avg. Price 95.3 - 99.7
Avg. Price Bottom 5 Trades 65.5 - 88.4
2nd Quartile Price 92.4 - 99.4
3rd Quartile Price 95.5 - 100.1
4th Quartile Price 99.9 - 100.6
Avg. Price Top 5 Trades 101.6 - 103.6
Standard Deviation 9.5 - 2.2
VOLUME OF TRADES (000'S) 234,866.3 - 1,651,975.2
Customer Buy 129,325.5 - 717,420.5
Customer Sell 102,374.9 - 876,056.9
Dealer to Dealer 3,165.8 - 58,497.8
<= $1MM 7,916.0 - 75,129.1
<= $10MM 132,066.9 - 774,132.9
<= $100MM 94,883.4 - 802,713.2
> $100MM - - -
NUMBER OF TRADES 93 - 533
Customer Buy 42 - 189
Customer Sell 42 - 303
Dealer to Dealer 9 - 41
<= $1MM 47 - 305
<= $10MM 39 - 180
<= $100MM 7 - 48
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 73.5 * 217.5
Weighted Avg. Price 88.8 * 100.0
Avg. Price Bottom 5 Trades 19.6 * 75.5
2nd Quartile Price 61.0 * 98.1
3rd Quartile Price 80.0 * 100.9
4th Quartile Price 92.0 * 103.2
Avg. Price Top 5 Trades 104.1 * 3,015.9
Standard Deviation 22.5 * 924.0
VOLUME OF TRADES (000'S) 199,774.6 * 446,828.8
Customer Buy 94,307.4 - 177,109.9
Customer Sell 91,813.8 * 263,607.2
Dealer to Dealer 13,653.5 - *
<= $1MM 22,894.4 * 16,475.0
<= $10MM 132,981.0 - 318,332.8
<= $100MM * - 112,021.0
> $100MM - - -
NUMBER OF TRADES 249 * 123
Customer Buy 89 - 50
Customer Sell 122 * 71
Dealer to Dealer 38 - *
<= $1MM 197 * 33
<= $10MM 49 - 85
<= $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 94.3 - - 92.8
Weighted Avg. Price 95.8 - - 95.3
Avg. Price Bottom 5 Trades 90.5 - - 65.5
2nd Quartile Price 93.3 - - 92.1
3rd Quartile Price 95.2 - - 96.8
4th Quartile Price 95.5 - - 100.0
Avg. Price Top 5 Trades 96.7 - - 101.6
Standard Deviation 2.9 - - 10.9
VOLUME OF TRADES (000'S) 2,206.6 - - 232,659.7
Customer Buy 263.0 - - 129,062.5
Customer Sell 1,357.9 - - 101,017.0
Dealer to Dealer 585.7 - - *
<= $1MM 2,206.6 - - 5,709.4
<= $10MM - - - 132,066.9
<= $100MM - - - 94,883.4
> $100MM - - - -
NUMBER OF TRADES 24 - - 69
Customer Buy 7 - - 35
Customer Sell 12 - - 30
Dealer to Dealer 5 - - *
<= $1MM 24 - - 23
<= $10MM - - - 39
<= $100MM - - - 7
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 70.2 - - 89.9
Weighted Avg. Price 76.7 - - 94.8
Avg. Price Bottom 5 Trades 19.6 - - 57.6
2nd Quartile Price 53.7 - - 74.5
3rd Quartile Price 78.5 - - 100.4
4th Quartile Price 86.5 - - 101.2
Avg. Price Top 5 Trades 103.5 - - 102.5
Standard Deviation 22.1 - - 16.6
VOLUME OF TRADES (000'S) 65,752.9 - - 134,021.7
Customer Buy 33,299.8 - - 61,007.6
Customer Sell 30,799.7 - - 61,014.1
Dealer to Dealer 1,653.5 - - *
<= $1MM 15,998.1 - - 6,896.3
<= $10MM 49,754.8 - - 83,226.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 207 - - 42
Customer Buy 70 - - 19
Customer Sell 103 - - 19
Dealer to Dealer 34 - - *
<= $1MM 187 - - 10
<= $10MM 20 - - 29
<= $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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