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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 94.2 * 99.7
Weighted Avg. Price 95.6 * 100.4
Avg. Price Bottom 5 Trades 70.4 * 90.5
2nd Quartile Price 92.0 * 99.3
3rd Quartile Price 99.3 * 100.0
4th Quartile Price 100.2 * 100.8
Avg. Price Top 5 Trades 101.6 * 103.5
Standard Deviation 9.3 * 2.2
VOLUME OF TRADES (000'S) 242,128.7 * 1,168,335.8
Customer Buy 120,955.3 * 578,382.1
Customer Sell 120,190.6 * 539,874.3
Dealer to Dealer 982.8 - 50,079.4
<= $1MM 9,633.2 - 24,342.4
<= $10MM 193,804.9 - 274,841.4
<= $100MM * * 869,152.1
> $100MM - - -
NUMBER OF TRADES 75 * 241
Customer Buy 40 * 92
Customer Sell 30 * 100
Dealer to Dealer 5 - 49
<= $1MM 29 - 148
<= $10MM 43 - 64
<= $100MM * * 29
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 71.7 - 364.1
Weighted Avg. Price 80.0 - 102.0
Avg. Price Bottom 5 Trades 1.5 - 64.6
2nd Quartile Price 51.0 - 98.5
3rd Quartile Price 81.5 - 100.2
4th Quartile Price 96.5 - 101.4
Avg. Price Top 5 Trades 100.9 - 2,114.7
Standard Deviation 28.6 - 1,259.3
VOLUME OF TRADES (000'S) 215,339.0 - 179,858.9
Customer Buy 110,278.1 - 124,220.3
Customer Sell 85,206.9 - 37,138.1
Dealer to Dealer 19,854.0 - *
<= $1MM 8,697.9 - 5,143.5
<= $10MM 152,805.3 - 104,669.6
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 111 - 45
Customer Buy 34 - 28
Customer Sell 56 - 13
Dealer to Dealer 21 - *
<= $1MM 74 - 13
<= $10MM 33 - 28
<= $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 93.2 - - 94.4
Weighted Avg. Price 94.2 - - 95.6
Avg. Price Bottom 5 Trades 90.7 - - 70.4
2nd Quartile Price 92.1 - - 90.5
3rd Quartile Price 94.4 - - 99.7
4th Quartile Price 95.1 - - 100.3
Avg. Price Top 5 Trades 95.3 - - 101.6
Standard Deviation 3.0 - - 10.0
VOLUME OF TRADES (000'S) 87.7 - - 242,041.0
Customer Buy * - - 120,926.3
Customer Sell * - - 120,162.5
Dealer to Dealer * - - *
<= $1MM 87.7 - - 9,545.5
<= $10MM - - - 193,804.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 12 - - 63
Customer Buy * - - 36
Customer Sell * - - 26
Dealer to Dealer * - - *
<= $1MM 12 - - 17
<= $10MM - - - 43
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 63.1 - - 99.6
Weighted Avg. Price 33.3 - - 98.9
Avg. Price Bottom 5 Trades 1.5 - - 97.1
2nd Quartile Price 46.8 - - 99.3
3rd Quartile Price 72.0 - - 100.1
4th Quartile Price 85.8 - - 100.5
Avg. Price Top 5 Trades 95.9 - - 100.9
Standard Deviation 27.5 - - 1.8
VOLUME OF TRADES (000'S) 62,168.3 - - 153,170.7
Customer Buy 32,283.5 - - 77,994.6
Customer Sell 18,030.8 - - 67,176.1
Dealer to Dealer 11,854.0 - - *
<= $1MM 6,247.9 - - *
<= $10MM 55,920.4 - - 96,885.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 85 - - 26
Customer Buy 24 - - 10
Customer Sell 41 - - 15
Dealer to Dealer 20 - - *
<= $1MM 71 - - *
<= $10MM 14 - - 19
<= $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 tracedataservices@finra.org.
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