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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 93.6 * 99.7
Weighted Avg. Price 92.3 * 100.3
Avg. Price Bottom 5 Trades 74.5 * 89.0
2nd Quartile Price 88.5 * 99.7
3rd Quartile Price 97.9 * 100.3
4th Quartile Price 100.0 * 100.8
Avg. Price Top 5 Trades 101.8 * 104.6
Standard Deviation 8.2 * 2.3
VOLUME OF TRADES (000'S) 244,610.3 * 988,536.1
Customer Buy 163,228.7 * 536,629.2
Customer Sell 59,069.6 - 396,846.7
Dealer to Dealer 22,311.9 * 55,060.1
<= $1MM 15,172.9 - 50,196.2
<= $10MM 153,985.7 - 441,690.8
<= $100MM 75,451.7 * 496,649.1
> $100MM - - -
NUMBER OF TRADES 102 * 388
Customer Buy 57 * 150
Customer Sell 31 - 176
Dealer to Dealer 14 * 62
<= $1MM 52 - 241
<= $10MM 45 - 124
<= $100MM 5 * 23
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 69.9 * 791.4
Weighted Avg. Price 85.3 * 103.9
Avg. Price Bottom 5 Trades 12.0 * 94.6
2nd Quartile Price 45.9 * 100.0
3rd Quartile Price 82.0 * 100.6
4th Quartile Price 95.0 * 104.3
Avg. Price Top 5 Trades 101.6 * 4,346.4
Standard Deviation 29.0 * 2,551.7
VOLUME OF TRADES (000'S) 131,576.8 * 116,915.0
Customer Buy 76,174.4 * 63,850.9
Customer Sell 54,573.4 * 53,064.1
Dealer to Dealer 829.0 - -
<= $1MM 10,843.9 * 3,964.0
<= $10MM 94,004.5 - 87,460.9
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 155 * 43
Customer Buy 59 * 20
Customer Sell 59 * 23
Dealer to Dealer 37 - -
<= $1MM 123 * 16
<= $10MM 30 - 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 91.0 - - 94.2
Weighted Avg. Price 99.5 - - 92.0
Avg. Price Bottom 5 Trades 85.0 - - 74.4
2nd Quartile Price 89.8 - - 88.1
3rd Quartile Price 92.6 - - 98.6
4th Quartile Price 98.3 - - 100.1
Avg. Price Top 5 Trades 100.0 - - 101.3
Standard Deviation 9.1 - - 7.9
VOLUME OF TRADES (000'S) 8,577.9 - - 236,032.4
Customer Buy * - - 160,036.3
Customer Sell 3,637.6 - - 55,432.0
Dealer to Dealer 1,747.9 - - 20,564.1
<= $1MM 1,024.5 - - 14,148.4
<= $10MM 7,553.5 - - 146,432.3
<= $100MM - - - 75,451.7
> $100MM - - - -
NUMBER OF TRADES 18 - - 84
Customer Buy * - - 54
Customer Sell 9 - - 22
Dealer to Dealer 6 - - 8
<= $1MM 13 - - 39
<= $10MM 5 - - 40
<= $100MM - - - 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 62.9 - * 99.0
Weighted Avg. Price 66.9 - * 99.9
Avg. Price Bottom 5 Trades 12.0 - * 91.4
2nd Quartile Price 40.2 - * 99.9
3rd Quartile Price 71.0 - * 100.4
4th Quartile Price 88.6 - * 100.9
Avg. Price Top 5 Trades 98.7 - * 101.6
Standard Deviation 28.0 - * 5.2
VOLUME OF TRADES (000'S) 58,094.6 - * 72,898.0
Customer Buy 29,509.9 - * 46,080.2
Customer Sell 28,418.2 - - 26,155.2
Dealer to Dealer 166.5 - - *
<= $1MM 2,501.5 - * 7,758.1
<= $10MM 55,593.0 - - 38,411.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 125 - * 29
Customer Buy 37 - * 21
Customer Sell 52 - - 7
Dealer to Dealer 36 - - *
<= $1MM 111 - * 11
<= $10MM 14 - - 16
<= $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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