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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 92.2 - 99.5
Weighted Avg. Price 96.7 - 100.1
Avg. Price Bottom 5 Trades 76.4 - 91.8
2nd Quartile Price 90.0 - 98.9
3rd Quartile Price 96.8 - 100.1
4th Quartile Price 100.0 - 100.7
Avg. Price Top 5 Trades 100.7 - 102.7
Standard Deviation 9.3 - 2.1
VOLUME OF TRADES (000'S) 112,689.7 - 491,761.3
Customer Buy 53,573.6 - 298,983.9
Customer Sell 37,274.4 - 149,247.4
Dealer to Dealer 21,841.8 - 43,529.9
<= $1MM 1,033.7 - 27,156.7
<= $10MM 66,182.8 - 250,196.5
<= $100MM * - 214,408.0
> $100MM - - -
NUMBER OF TRADES 36 - 228
Customer Buy 17 - 103
Customer Sell 9 - 93
Dealer to Dealer 10 - 32
<= $1MM 18 - 153
<= $10MM 15 - 62
<= $100MM * - 13
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 66.0 0.3 87.7
Weighted Avg. Price 94.2 0.3 57.8
Avg. Price Bottom 5 Trades 28.2 0.3 62.2
2nd Quartile Price 46.0 0.3 92.0
3rd Quartile Price 74.4 0.4 98.4
4th Quartile Price 83.0 0.4 100.7
Avg. Price Top 5 Trades 99.4 0.3 102.6
Standard Deviation 21.1 0.1 22.3
VOLUME OF TRADES (000'S) 26,047.6 38,814.5 109,777.2
Customer Buy 22,569.6 38,814.5 75,300.0
Customer Sell 3,379.3 - *
Dealer to Dealer 98.7 - *
<= $1MM 5,247.9 - 1,943.8
<= $10MM * 26,179.3 24,833.4
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 125 6 17
Customer Buy 33 6 12
Customer Sell 68 - *
Dealer to Dealer 24 - *
<= $1MM 122 - 8
<= $10MM * 5 6
<= $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 85.5 * * 95.6
Weighted Avg. Price 90.3 * * 96.8
Avg. Price Bottom 5 Trades 84.2 * * 82.3
2nd Quartile Price 81.4 * * 96.8
3rd Quartile Price 90.0 * * 99.8
4th Quartile Price 90.1 * * 100.3
Avg. Price Top 5 Trades 89.7 * * 100.7
Standard Deviation 6.4 * * 8.9
VOLUME OF TRADES (000'S) 29.9 * * 112,624.3
Customer Buy * * - 53,545.3
Customer Sell 3.6 - - *
Dealer to Dealer * - * 21,808.2
<= $1MM 29.9 * * 968.3
<= $10MM - - - 66,182.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 11 * * 23
Customer Buy * * - 14
Customer Sell 5 - - *
Dealer to Dealer * - * 5
<= $1MM 11 * * 5
<= $10MM - - - 15
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.5 - - 95.1
Weighted Avg. Price 62.8 - - 99.1
Avg. Price Bottom 5 Trades 28.2 - - 93.9
2nd Quartile Price 46.0 - - 100.0
3rd Quartile Price 71.2 - - 100.2
4th Quartile Price 81.4 - - 100.8
Avg. Price Top 5 Trades 94.8 - - 99.3
Standard Deviation 20.4 - - 10.5
VOLUME OF TRADES (000'S) 3,568.2 - - 22,479.4
Customer Buy 1,783.3 - - 20,786.3
Customer Sell 1,686.2 - - *
Dealer to Dealer 98.7 - - -
<= $1MM 3,568.2 - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 119 - - 6
Customer Buy 28 - - 5
Customer Sell 67 - - *
Dealer to Dealer 24 - - -
<= $1MM 119 - - *
<= $10MM - - - *
<= $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 - - - 0.3
Weighted Avg. Price - - - 0.3
Avg. Price Bottom 5 Trades - - - 0.3
2nd Quartile Price - - - 0.3
3rd Quartile Price - - - 0.4
4th Quartile Price - - - 0.4
Avg. Price Top 5 Trades - - - 0.3
Standard Deviation - - - 0.1
VOLUME OF TRADES (000'S) - - - 38,814.5
Customer Buy - - - 38,814.5
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - 26,179.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - - - 6
Customer Buy - - - 6
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - 5
<= $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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