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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 93.2 - 100.0
Weighted Avg. Price 95.4 - 99.9
Avg. Price Bottom 5 Trades 75.7 - 90.4
2nd Quartile Price 86.7 - 99.9
3rd Quartile Price 98.0 - 100.5
4th Quartile Price 100.5 - 101.1
Avg. Price Top 5 Trades 101.1 - 103.9
Standard Deviation 9.1 - 2.2
VOLUME OF TRADES (000'S) 297,702.4 - 955,159.0
Customer Buy 186,033.2 - 476,694.8
Customer Sell 44,315.7 - 422,560.1
Dealer to Dealer 67,353.5 - 55,904.1
<= $1MM 7,318.7 - 54,311.2
<= $10MM 189,448.9 - 373,953.8
<= $100MM 100,934.8 - 526,894.0
> $100MM - - -
NUMBER OF TRADES 83 - 302
Customer Buy 46 - 148
Customer Sell 21 - 132
Dealer to Dealer 16 - 22
<= $1MM 34 - 174
<= $10MM 43 - 111
<= $100MM 6 - 17
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 73.7 - 82.2
Weighted Avg. Price 64.8 - 100.1
Avg. Price Bottom 5 Trades 15.6 - 5.7
2nd Quartile Price 55.0 - 90.6
3rd Quartile Price 81.5 - 99.1
4th Quartile Price 91.1 - 102.4
Avg. Price Top 5 Trades 108.3 - 105.2
Standard Deviation 24.2 - 36.2
VOLUME OF TRADES (000'S) 193,994.3 - 99,285.4
Customer Buy 105,106.4 - 45,162.8
Customer Sell 82,417.3 - 54,021.0
Dealer to Dealer 6,470.6 - *
<= $1MM 6,117.1 - 7,193.7
<= $10MM 74,576.6 - 92,091.7
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 159 - 45
Customer Buy 73 - 22
Customer Sell 49 - 19
Dealer to Dealer 37 - *
<= $1MM 140 - 20
<= $10MM 16 - 25
<= $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 86.1 - - 95.3
Weighted Avg. Price 94.8 - - 95.4
Avg. Price Bottom 5 Trades 78.0 - - 80.0
2nd Quartile Price 81.0 - - 91.8
3rd Quartile Price 92.9 - - 100.1
4th Quartile Price 95.8 - - 100.5
Avg. Price Top 5 Trades 95.7 - - 101.1
Standard Deviation 10.9 - - 7.3
VOLUME OF TRADES (000'S) 1,470.9 - - 296,231.5
Customer Buy 1,424.5 - - 184,608.8
Customer Sell 29.1 - - 44,286.6
Dealer to Dealer 17.3 - - 67,336.2
<= $1MM 1,470.9 - - 5,847.8
<= $10MM - - - 189,448.9
<= $100MM - - - 100,934.8
> $100MM - - - -
NUMBER OF TRADES 19 - - 64
Customer Buy 7 - - 39
Customer Sell 7 - - 14
Dealer to Dealer 5 - - 11
<= $1MM 19 - - 15
<= $10MM - - - 43
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 72.3 * * 83.3
Weighted Avg. Price 58.9 * * 78.4
Avg. Price Bottom 5 Trades 15.6 * * 54.3
2nd Quartile Price 55.0 * * 78.1
3rd Quartile Price 81.0 * * 95.5
4th Quartile Price 90.0 * * 101.1
Avg. Price Top 5 Trades 109.2 * * 100.6
Standard Deviation 24.3 * * 23.7
VOLUME OF TRADES (000'S) 63,378.3 * * 70,679.4
Customer Buy 61,013.1 * * 41,850.0
Customer Sell 1,952.2 - * *
Dealer to Dealer 412.9 - - *
<= $1MM 4,738.6 * * *
<= $10MM * - * 69,398.0
<= $100MM * - * -
> $100MM - - - -
NUMBER OF TRADES 138 * * 16
Customer Buy 59 * * 11
Customer Sell 43 - * *
Dealer to Dealer 36 - - *
<= $1MM 135 * * *
<= $10MM * - * 14
<= $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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