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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 1.0 98.9
Weighted Avg. Price 92.9 1.0 99.8
Avg. Price Bottom 5 Trades 72.4 1.0 83.1
2nd Quartile Price 86.0 * 98.6
3rd Quartile Price 99.8 * 99.9
4th Quartile Price 100.2 * 100.6
Avg. Price Top 5 Trades 100.4 1.0 102.7
Standard Deviation 10.4 0.1 3.7
VOLUME OF TRADES (000'S) 109,507.9 1,531.0 582,146.4
Customer Buy 84,190.2 * 306,017.8
Customer Sell 22,337.2 * 259,179.0
Dealer to Dealer * * 16,949.6
<= $1MM 2,558.1 1,531.0 31,610.6
<= $10MM 72,252.2 - 282,884.8
<= $100MM * - 267,651.0
> $100MM - - -
NUMBER OF TRADES 36 5 315
Customer Buy 19 * 116
Customer Sell 15 * 142
Dealer to Dealer * * 57
<= $1MM 11 5 217
<= $10MM 24 - 87
<= $100MM * - 11
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 50.1 * 96.2
Weighted Avg. Price 59.5 * 98.1
Avg. Price Bottom 5 Trades 7.4 * 78.5
2nd Quartile Price 23.6 * 97.2
3rd Quartile Price 46.9 * 99.3
4th Quartile Price 81.5 * 100.8
Avg. Price Top 5 Trades 99.7 * 102.0
Standard Deviation 32.9 * 9.8
VOLUME OF TRADES (000'S) 24,890.5 * 103,644.0
Customer Buy 14,637.7 * 45,255.0
Customer Sell 10,154.7 - 58,339.4
Dealer to Dealer * - *
<= $1MM 2,867.3 - 10,781.5
<= $10MM 22,023.2 - 92,862.5
<= $100MM - * -
> $100MM - - -
NUMBER OF TRADES 54 * 43
Customer Buy 24 * 22
Customer Sell 26 - 20
Dealer to Dealer * - *
<= $1MM 45 - 17
<= $10MM 9 - 26
<= $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 * - - 93.4
Weighted Avg. Price * - - 92.9
Avg. Price Bottom 5 Trades * - - 72.4
2nd Quartile Price * - - 87.4
3rd Quartile Price * - - 100.0
4th Quartile Price * - - 100.2
Avg. Price Top 5 Trades * - - 100.4
Standard Deviation * - - 10.7
VOLUME OF TRADES (000'S) * - - 109,427.8
Customer Buy * - - 84,112.4
Customer Sell * - - 22,334.9
Dealer to Dealer - - - *
<= $1MM * - - 2,478.0
<= $10MM - - - 72,252.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - - 33
Customer Buy * - - 17
Customer Sell * - - 14
Dealer to Dealer - - - *
<= $1MM * - - 8
<= $10MM - - - 24
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 42.9 - - 98.8
Weighted Avg. Price 23.1 - - 98.6
Avg. Price Bottom 5 Trades 7.4 - - 97.9
2nd Quartile Price 23.0 - - 98.3
3rd Quartile Price 43.1 - - 99.7
4th Quartile Price 76.3 - - 101.1
Avg. Price Top 5 Trades 88.1 - - 99.7
Standard Deviation 28.8 - - 2.0
VOLUME OF TRADES (000'S) 12,905.9 - - 11,984.5
Customer Buy 7,054.7 - - *
Customer Sell 5,753.2 - - *
Dealer to Dealer * - - -
<= $1MM 2,382.7 - - *
<= $10MM * - - 11,500.0
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 47 - - 7
Customer Buy 20 - - *
Customer Sell 23 - - *
Dealer to Dealer * - - -
<= $1MM 43 - - *
<= $10MM * - - 5
<= $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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