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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 * 99.5
Weighted Avg. Price 97.8 * 98.0
Avg. Price Bottom 5 Trades 74.5 * 87.6
2nd Quartile Price 88.3 * 99.3
3rd Quartile Price 98.5 * 100.3
4th Quartile Price 100.4 * 101.0
Avg. Price Top 5 Trades 101.6 * 104.1
Standard Deviation 7.9 * 2.8
VOLUME OF TRADES (000'S) 222,879.8 * 1,297,896.9
Customer Buy 62,270.9 * 522,765.0
Customer Sell 125,328.1 - 705,911.9
Dealer to Dealer 35,280.8 - 69,220.1
<= $1MM 22,806.4 - 54,014.7
<= $10MM 70,072.2 - 486,762.7
<= $100MM 130,001.1 - 331,119.5
> $100MM - * *
NUMBER OF TRADES 110 * 507
Customer Buy 31 * 214
Customer Sell 56 - 226
Dealer to Dealer 23 - 67
<= $1MM 79 - 342
<= $10MM 21 - 145
<= $100MM 10 - 17
> $100MM - * *
Non-Investment Grade †
AVERAGE PRICE 70.9 11.7 98.3
Weighted Avg. Price 65.0 1.3 98.0
Avg. Price Bottom 5 Trades 14.7 3.4 77.6
2nd Quartile Price 55.0 0.5 97.0
3rd Quartile Price 78.5 2.5 99.6
4th Quartile Price 88.8 14.4 100.4
Avg. Price Top 5 Trades 102.4 15.5 106.8
Standard Deviation 23.5 20.0 6.8
VOLUME OF TRADES (000'S) 715,292.6 22,320.3 215,878.1
Customer Buy 218,886.6 21,713.7 83,216.1
Customer Sell 287,456.4 * 107,630.6
Dealer to Dealer 208,949.5 - 25,031.4
<= $1MM 13,882.6 1,257.1 22,016.0
<= $10MM 415,364.6 * 148,862.1
<= $100MM 286,045.4 - *
> $100MM - - -
NUMBER OF TRADES 292 8 88
Customer Buy 74 6 34
Customer Sell 125 * 41
Dealer to Dealer 93 - 13
<= $1MM 191 5 50
<= $10MM 84 * 35
<= $100MM 17 - *
> $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 88.2 * * 96.1
Weighted Avg. Price 92.8 * * 97.9
Avg. Price Bottom 5 Trades 79.5 * * 78.2
2nd Quartile Price 83.4 * * 95.0
3rd Quartile Price 88.8 * * 99.9
4th Quartile Price 92.6 * * 100.6
Avg. Price Top 5 Trades 96.9 * * 101.6
Standard Deviation 7.8 * * 7.1
VOLUME OF TRADES (000'S) 2,465.5 * * 214,856.9
Customer Buy 1,208.8 * * 56,271.0
Customer Sell 1,092.4 * - 123,469.4
Dealer to Dealer 164.2 - - 35,116.5
<= $1MM 2,465.5 * - 18,808.4
<= $10MM - - * 66,047.3
<= $100MM - - - 130,001.1
> $100MM - - - -
NUMBER OF TRADES 24 * * 83
Customer Buy 9 * * 20
Customer Sell 8 * - 47
Dealer to Dealer 7 - - 16
<= $1MM 24 * - 53
<= $10MM - - * 20
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 68.6 * * 99.5
Weighted Avg. Price 59.8 * * 100.1
Avg. Price Bottom 5 Trades 14.7 * * 95.7
2nd Quartile Price 52.5 * * 99.2
3rd Quartile Price 75.7 * * 100.2
4th Quartile Price 88.0 * * 101.8
Avg. Price Top 5 Trades 96.9 * * 102.4
Standard Deviation 22.9 * * 3.0
VOLUME OF TRADES (000'S) 621,682.9 * * 93,479.8
Customer Buy 175,562.5 - - 43,324.1
Customer Sell 237,179.1 * - 50,155.7
Dealer to Dealer 208,941.3 - * -
<= $1MM 13,129.7 * * *
<= $10MM 337,060.2 - - 78,304.3
<= $100MM 271,493.0 - - *
> $100MM - - - -
NUMBER OF TRADES 270 * * 20
Customer Buy 62 - - 12
Customer Sell 116 * - 8
Dealer to Dealer 92 - * -
<= $1MM 187 * * *
<= $10MM 67 - - 17
<= $100MM 16 - - *
> $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 15.5 - - *
Weighted Avg. Price 3.0 - - *
Avg. Price Bottom 5 Trades 15.5 - - *
2nd Quartile Price * - - *
3rd Quartile Price * - - *
4th Quartile Price * - - *
Avg. Price Top 5 Trades 15.5 - - *
Standard Deviation 22.2 - - *
VOLUME OF TRADES (000'S) 7,094.9 - - *
Customer Buy * - - *
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 1,257.1 - - -
<= $10MM * - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 6 - - *
Customer Buy * - - *
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 5 - - -
<= $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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