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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 94.5 - 100.1
Weighted Avg. Price 95.8 - 100.8
Avg. Price Bottom 5 Trades 81.1 - 89.2
2nd Quartile Price 89.8 - 99.9
3rd Quartile Price 99.0 - 100.4
4th Quartile Price 100.7 - 100.9
Avg. Price Top 5 Trades 102.0 - 103.9
Standard Deviation 7.2 - 1.8
VOLUME OF TRADES (000'S) 298,908.4 - 506,359.8
Customer Buy 114,027.9 - 218,365.5
Customer Sell 158,368.2 - 169,803.3
Dealer to Dealer 26,512.3 - 118,191.0
<= $1MM 8,303.6 - 78,145.3
<= $10MM 98,603.4 - 331,959.6
<= $100MM 192,001.5 - 96,255.0
> $100MM - - -
NUMBER OF TRADES 80 - 458
Customer Buy 32 - 155
Customer Sell 33 - 208
Dealer to Dealer 15 - 95
<= $1MM 38 - 357
<= $10MM 33 - 94
<= $100MM 9 - 7
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 67.7 * 98.7
Weighted Avg. Price 84.6 * 100.8
Avg. Price Bottom 5 Trades 13.3 * 86.0
2nd Quartile Price 50.0 * 97.9
3rd Quartile Price 75.5 * 100.6
4th Quartile Price 87.7 * 101.3
Avg. Price Top 5 Trades 102.2 * 105.0
Standard Deviation 24.8 * 6.1
VOLUME OF TRADES (000'S) 152,702.4 * 99,022.2
Customer Buy 104,122.8 * 54,192.8
Customer Sell 46,092.0 * 44,751.1
Dealer to Dealer 2,487.5 - *
<= $1MM 4,288.3 * 5,797.1
<= $10MM 112,859.9 - 75,725.1
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 217 * 37
Customer Buy 113 * 20
Customer Sell 63 * 15
Dealer to Dealer 41 - *
<= $1MM 184 * 14
<= $10MM 31 - 22
<= $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 91.7 - - 95.3
Weighted Avg. Price 95.0 - - 95.8
Avg. Price Bottom 5 Trades 86.7 - - 81.7
2nd Quartile Price 91.1 - - 87.7
3rd Quartile Price 94.2 - - 99.5
4th Quartile Price 95.0 - - 100.9
Avg. Price Top 5 Trades 96.2 - - 102.0
Standard Deviation 5.3 - - 7.4
VOLUME OF TRADES (000'S) 644.5 - - 298,264.0
Customer Buy 318.9 - - 113,709.1
Customer Sell * - - 158,286.0
Dealer to Dealer 243.5 - - 26,268.9
<= $1MM 644.5 - - 7,659.1
<= $10MM - - - 98,603.4
<= $100MM - - - 192,001.5
> $100MM - - - -
NUMBER OF TRADES 18 - - 62
Customer Buy 8 - - 24
Customer Sell * - - 30
Dealer to Dealer 7 - - 8
<= $1MM 18 - - 20
<= $10MM - - - 33
<= $100MM - - - 9
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.0 - - 99.2
Weighted Avg. Price 69.4 - - 99.0
Avg. Price Bottom 5 Trades 13.3 - - 92.2
2nd Quartile Price 49.0 - - 99.6
3rd Quartile Price 65.0 - - 101.4
4th Quartile Price 85.0 - - 101.5
Avg. Price Top 5 Trades 100.2 - - 101.8
Standard Deviation 23.5 - - 4.5
VOLUME OF TRADES (000'S) 74,306.9 - - 78,395.5
Customer Buy 65,266.2 - - 38,856.6
Customer Sell 8,553.1 - - 37,538.9
Dealer to Dealer 487.5 - - *
<= $1MM 2,288.3 - - *
<= $10MM 36,464.4 - - 76,395.5
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 194 - - 23
Customer Buy 101 - - 12
Customer Sell 53 - - 10
Dealer to Dealer 40 - - *
<= $1MM 182 - - *
<= $10MM 10 - - 21
<= $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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