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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 94.9 - 99.6
Weighted Avg. Price 97.6 - 100.2
Avg. Price Bottom 5 Trades 76.9 - 90.2
2nd Quartile Price 93.1 - 99.2
3rd Quartile Price 98.6 - 100.1
4th Quartile Price 100.4 - 100.6
Avg. Price Top 5 Trades 101.1 - 103.9
Standard Deviation 7.4 - 2.2
VOLUME OF TRADES (000'S) 273,307.8 - 639,385.6
Customer Buy 144,399.3 - 480,777.3
Customer Sell 122,766.4 - 146,475.3
Dealer to Dealer 6,142.0 - 12,132.9
<= $1MM 7,416.1 - 33,161.7
<= $10MM 210,928.9 - 308,437.8
<= $100MM * - 297,786.1
> $100MM - - -
NUMBER OF TRADES 77 - 312
Customer Buy 36 - 150
Customer Sell 36 - 113
Dealer to Dealer 5 - 49
<= $1MM 28 - 192
<= $10MM 46 - 100
<= $100MM * - 20
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 41.4 * 92.3
Weighted Avg. Price 85.5 * 46.0
Avg. Price Bottom 5 Trades 0.8 * 26.1
2nd Quartile Price - * 97.4
3rd Quartile Price 41.0 * 99.4
4th Quartile Price 78.3 * 100.1
Avg. Price Top 5 Trades 101.7 * 103.5
Standard Deviation 37.4 * 23.0
VOLUME OF TRADES (000'S) 120,464.4 * 323,461.0
Customer Buy 60,293.4 * 257,732.7
Customer Sell 59,887.7 - 64,988.2
Dealer to Dealer 283.3 * *
<= $1MM 12,069.4 * 19,598.1
<= $10MM 53,750.7 - 122,444.8
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 294 * 80
Customer Buy 140 * 47
Customer Sell 113 - 30
Dealer to Dealer 41 * *
<= $1MM 274 * 49
<= $10MM 16 - 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 90.2 - * 95.5
Weighted Avg. Price 91.5 - * 97.6
Avg. Price Bottom 5 Trades 85.4 - * 80.4
2nd Quartile Price 87.5 - * 93.1
3rd Quartile Price 98.0 - * 99.6
4th Quartile Price 98.3 - * 100.5
Avg. Price Top 5 Trades 98.0 - * 101.1
Standard Deviation 11.7 - * 6.8
VOLUME OF TRADES (000'S) 201.0 - * 272,969.3
Customer Buy * - * 144,299.2
Customer Sell * - * 122,554.6
Dealer to Dealer * - - *
<= $1MM 201.0 - * 7,077.7
<= $10MM - - - 210,928.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 8 - * 67
Customer Buy * - * 33
Customer Sell * - * 31
Dealer to Dealer * - - *
<= $1MM 8 - * 18
<= $10MM - - - 46
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 39.3 - - 90.4
Weighted Avg. Price 78.6 - - 94.6
Avg. Price Bottom 5 Trades 0.8 - - 76.3
2nd Quartile Price - - - 73.0
3rd Quartile Price 40.0 - - 100.0
4th Quartile Price 76.2 - - 100.7
Avg. Price Top 5 Trades 101.1 - - 100.8
Standard Deviation 36.6 - - 14.3
VOLUME OF TRADES (000'S) 68,525.5 - - 51,938.8
Customer Buy 23,313.6 - - 36,979.8
Customer Sell 44,928.7 - - 14,959.0
Dealer to Dealer 283.3 - - -
<= $1MM 11,569.4 - - *
<= $10MM 15,956.2 - - 37,794.6
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 282 - - 12
Customer Buy 133 - - 7
Customer Sell 108 - - 5
Dealer to Dealer 41 - - -
<= $1MM 273 - - *
<= $10MM 6 - - 10
<= $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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