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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 92.6 0.9 99.2
Weighted Avg. Price 93.4 0.8 99.8
Avg. Price Bottom 5 Trades 71.8 0.9 80.4
2nd Quartile Price 87.5 * 99.0
3rd Quartile Price 95.0 * 100.0
4th Quartile Price 99.8 * 100.7
Avg. Price Top 5 Trades 101.1 0.9 105.5
Standard Deviation 8.3 0.9 3.1
VOLUME OF TRADES (000'S) 301,887.9 1,553,725.8 972,757.2
Customer Buy 204,082.9 * 415,302.1
Customer Sell 90,900.3 - 498,005.1
Dealer to Dealer 6,904.7 * 59,450.0
<= $1MM 19,797.9 - 82,290.1
<= $10MM 162,770.3 - 419,123.1
<= $100MM 119,319.7 - 471,343.9
> $100MM - 1,553,725.8 -
NUMBER OF TRADES 120 5 470
Customer Buy 47 * 187
Customer Sell 57 - 224
Dealer to Dealer 16 * 59
<= $1MM 80 - 317
<= $10MM 32 - 133
<= $100MM 8 - 20
> $100MM - 5 -
Non-Investment Grade †
AVERAGE PRICE 36.7 - 96.4
Weighted Avg. Price 54.8 - 99.8
Avg. Price Bottom 5 Trades 0.3 - 71.6
2nd Quartile Price - - 94.5
3rd Quartile Price 34.8 - 99.8
4th Quartile Price 71.9 - 100.3
Avg. Price Top 5 Trades 119.7 - 104.9
Standard Deviation 37.5 - 9.5
VOLUME OF TRADES (000'S) 762,219.3 - 207,762.0
Customer Buy 176,094.0 - 85,274.1
Customer Sell 309,156.0 - 78,646.9
Dealer to Dealer 276,969.3 - 43,841.1
<= $1MM 34,258.1 - 16,747.1
<= $10MM 313,162.3 - 191,014.9
<= $100MM 414,799.0 - -
> $100MM - - -
NUMBER OF TRADES 487 - 105
Customer Buy 193 - 40
Customer Sell 103 - 43
Dealer to Dealer 191 - 22
<= $1MM 391 - 46
<= $10MM 69 - 59
<= $100MM 27 - -
> $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 88.0 - * 94.7
Weighted Avg. Price 96.3 - * 93.4
Avg. Price Bottom 5 Trades 77.1 - * 75.0
2nd Quartile Price 87.3 - * 94.1
3rd Quartile Price 90.1 - * 99.4
4th Quartile Price 93.0 - * 100.1
Avg. Price Top 5 Trades 96.6 - * 101.1
Standard Deviation 7.1 - * 8.0
VOLUME OF TRADES (000'S) 1,291.6 - * 300,571.0
Customer Buy 562.8 - - 203,520.0
Customer Sell 696.6 - * 90,178.5
Dealer to Dealer 32.2 - - *
<= $1MM 1,291.6 - * 18,481.0
<= $10MM - - - 162,770.3
<= $100MM - - - 119,319.7
> $100MM - - - -
NUMBER OF TRADES 37 - * 82
Customer Buy 6 - - 41
Customer Sell 17 - * 39
Dealer to Dealer 14 - - *
<= $1MM 37 - * 42
<= $10MM - - - 32
<= $100MM - - - 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 34.9 * - 86.9
Weighted Avg. Price 51.2 * - 91.5
Avg. Price Bottom 5 Trades 0.3 * - 71.1
2nd Quartile Price - * - 78.6
3rd Quartile Price 31.3 * - 96.2
4th Quartile Price 71.0 * - 100.2
Avg. Price Top 5 Trades 117.7 * - 100.2
Standard Deviation 37.0 * - 13.3
VOLUME OF TRADES (000'S) 678,748.1 * - 74,671.5
Customer Buy 138,023.0 * - 33,671.2
Customer Sell 268,835.8 * - 35,920.3
Dealer to Dealer 271,889.3 - - *
<= $1MM 32,258.1 - - *
<= $10MM 243,106.1 * - 61,256.5
<= $100MM 403,384.0 - - *
> $100MM - - - -
NUMBER OF TRADES 468 * - 17
Customer Buy 184 * - 8
Customer Sell 94 * - 8
Dealer to Dealer 190 - - *
<= $1MM 389 - - *
<= $10MM 53 * - 14
<= $100MM 26 - - *
> $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 - - - 0.9
Weighted Avg. Price - - - 0.8
Avg. Price Bottom 5 Trades - - - 0.9
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 0.9
Standard Deviation - - - 0.9
VOLUME OF TRADES (000'S) - - - 1,553,725.8
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - 1,553,725.8
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - 5
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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