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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 92.8 2.1 99.3
Weighted Avg. Price 94.5 1.9 100.2
Avg. Price Bottom 5 Trades 66.3 1.6 90.1
2nd Quartile Price 87.4 1.9 98.8
3rd Quartile Price 99.5 2.0 100.0
4th Quartile Price 100.1 3.4 100.6
Avg. Price Top 5 Trades 101.0 2.5 102.7
Standard Deviation 10.9 1.0 2.2
VOLUME OF TRADES (000'S) 143,254.3 135,676.3 661,814.9
Customer Buy 106,599.8 * 264,387.9
Customer Sell 31,850.2 * 341,660.0
Dealer to Dealer 4,804.4 - 55,766.9
<= $1MM 19,237.7 - 41,328.0
<= $10MM 69,016.6 - 341,023.9
<= $100MM * 135,676.3 279,463.0
> $100MM - - -
NUMBER OF TRADES 81 7 347
Customer Buy 33 * 116
Customer Sell 36 * 161
Dealer to Dealer 12 - 70
<= $1MM 47 - 250
<= $10MM 31 - 82
<= $100MM * 7 15
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 67.5 * 465.8
Weighted Avg. Price 75.7 * 98.1
Avg. Price Bottom 5 Trades 22.5 * 44.0
2nd Quartile Price 50.2 * 96.5
3rd Quartile Price 71.7 * 99.0
4th Quartile Price 83.8 * 100.8
Avg. Price Top 5 Trades 100.6 * 3,401.2
Standard Deviation 21.7 * 1,906.2
VOLUME OF TRADES (000'S) 26,688.1 * 118,406.9
Customer Buy 12,224.6 * 77,105.0
Customer Sell 12,766.5 * 41,281.6
Dealer to Dealer 1,697.0 - *
<= $1MM 8,587.6 * 4,374.0
<= $10MM 18,100.5 - 73,633.0
<= $100MM - * *
> $100MM - - -
NUMBER OF TRADES 125 * 53
Customer Buy 26 * 34
Customer Sell 55 * 17
Dealer to Dealer 44 - *
<= $1MM 116 * 33
<= $10MM 9 - 18
<= $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 93.3 - - 92.7
Weighted Avg. Price 99.0 - - 94.4
Avg. Price Bottom 5 Trades 89.7 - - 66.3
2nd Quartile Price 87.4 - - 91.5
3rd Quartile Price 94.9 - - 99.7
4th Quartile Price 99.7 - - 100.2
Avg. Price Top 5 Trades 98.4 - - 101.0
Standard Deviation 5.4 - - 11.6
VOLUME OF TRADES (000'S) 2,555.2 - - 140,699.1
Customer Buy * - - 106,077.5
Customer Sell 1,782.7 - - 30,067.5
Dealer to Dealer * - - 4,554.2
<= $1MM 1,231.8 - - 18,005.9
<= $10MM * - - 67,693.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 12 - - 69
Customer Buy * - - 31
Customer Sell 6 - - 30
Dealer to Dealer * - - 8
<= $1MM 11 - - 36
<= $10MM * - - 30
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.0 - - 99.6
Weighted Avg. Price 65.8 - - 99.9
Avg. Price Bottom 5 Trades 22.5 - - 98.7
2nd Quartile Price 49.0 - - 99.3
3rd Quartile Price 71.2 - - 99.8
4th Quartile Price 82.0 - - 101.4
Avg. Price Top 5 Trades 97.2 - - 100.6
Standard Deviation 20.6 - - 1.5
VOLUME OF TRADES (000'S) 18,943.2 - - 7,744.9
Customer Buy 7,126.0 - - *
Customer Sell 10,120.2 - - 2,646.3
Dealer to Dealer 1,697.0 - - -
<= $1MM 7,326.3 - - 1,261.3
<= $10MM 11,616.9 - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 116 - - 9
Customer Buy 23 - - *
Customer Sell 49 - - 6
Dealer to Dealer 44 - - -
<= $1MM 111 - - 5
<= $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 - 2.4 - *
Weighted Avg. Price - 2.3 - *
Avg. Price Bottom 5 Trades - 2.2 - *
2nd Quartile Price - 2.0 - *
3rd Quartile Price - 3.3 - *
4th Quartile Price - 3.4 - *
Avg. Price Top 5 Trades - 2.5 - *
Standard Deviation - 0.8 - *
VOLUME OF TRADES (000'S) - 111,149.0 - *
Customer Buy - * - -
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - 111,149.0 - *
> $100MM - - - -
NUMBER OF TRADES - 6 - *
Customer Buy - * - -
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - 6 - *
> $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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