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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 96.2 - 99.4
Weighted Avg. Price 98.6 - 100.2
Avg. Price Bottom 5 Trades 78.8 - 86.3
2nd Quartile Price 95.0 - 99.3
3rd Quartile Price 99.8 - 100.2
4th Quartile Price 100.2 - 100.7
Avg. Price Top 5 Trades 100.9 - 103.1
Standard Deviation 6.3 - 3.1
VOLUME OF TRADES (000'S) 269,798.0 - 864,925.2
Customer Buy 167,397.2 - 471,793.7
Customer Sell 93,429.5 - 344,666.8
Dealer to Dealer 8,971.2 - 48,464.7
<= $1MM 10,617.3 - 44,072.1
<= $10MM 135,680.5 - 345,037.2
<= $100MM 123,500.2 - 475,815.8
> $100MM - - -
NUMBER OF TRADES 82 - 457
Customer Buy 39 - 158
Customer Sell 33 - 227
Dealer to Dealer 10 - 72
<= $1MM 40 - 339
<= $10MM 34 - 99
<= $100MM 8 - 19
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 65.6 - 98.2
Weighted Avg. Price 79.8 - 99.1
Avg. Price Bottom 5 Trades 0.4 - 90.7
2nd Quartile Price 47.0 - 96.5
3rd Quartile Price 73.6 - 100.0
4th Quartile Price 85.3 - 100.4
Avg. Price Top 5 Trades 103.0 - 103.3
Standard Deviation 26.3 - 3.9
VOLUME OF TRADES (000'S) 171,384.7 - 206,532.6
Customer Buy 87,405.2 - 113,542.6
Customer Sell 73,127.7 - 92,955.0
Dealer to Dealer 10,851.8 - *
<= $1MM 6,005.0 - 8,745.1
<= $10MM 124,386.7 - 73,537.2
<= $100MM * - 124,250.3
> $100MM - - -
NUMBER OF TRADES 243 - 50
Customer Buy 80 - 25
Customer Sell 108 - 24
Dealer to Dealer 55 - *
<= $1MM 208 - 16
<= $10MM 33 - 28
<= $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 88.7 - * 97.7
Weighted Avg. Price 95.5 - * 98.6
Avg. Price Bottom 5 Trades 82.8 - * 81.3
2nd Quartile Price 86.1 - * 98.6
3rd Quartile Price 91.0 - * 99.9
4th Quartile Price 92.3 - * 100.3
Avg. Price Top 5 Trades 93.1 - * 100.9
Standard Deviation 5.4 - * 5.4
VOLUME OF TRADES (000'S) 813.1 - * 268,910.9
Customer Buy * - * 166,935.3
Customer Sell 401.8 - - 93,027.8
Dealer to Dealer 23.5 - - 8,947.8
<= $1MM 813.1 - * 9,730.2
<= $10MM - - - 135,680.5
<= $100MM - - - 123,500.2
> $100MM - - - -
NUMBER OF TRADES 13 - * 68
Customer Buy * - * 36
Customer Sell 6 - - 27
Dealer to Dealer 5 - - 5
<= $1MM 13 - * 26
<= $10MM - - - 34
<= $100MM - - - 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 62.0 - - 99.2
Weighted Avg. Price 41.2 - - 99.4
Avg. Price Bottom 5 Trades 0.4 - - 97.4
2nd Quartile Price 44.5 - - 98.7
3rd Quartile Price 71.1 - - 99.8
4th Quartile Price 82.0 - - 100.1
Avg. Price Top 5 Trades 97.4 - - 100.6
Standard Deviation 25.1 - - 1.3
VOLUME OF TRADES (000'S) 57,718.7 - - 113,666.1
Customer Buy 31,746.2 - - 55,659.0
Customer Sell 15,120.7 - - 58,007.1
Dealer to Dealer 10,851.8 - - -
<= $1MM 5,110.4 - - *
<= $10MM 36,534.3 - - 87,852.5
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 220 - - 23
Customer Buy 70 - - 10
Customer Sell 95 - - 13
Dealer to Dealer 55 - - -
<= $1MM 207 - - *
<= $10MM 12 - - 21
<= $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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