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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 93.4 2.5 98.9
Weighted Avg. Price 96.0 2.4 100.4
Avg. Price Bottom 5 Trades 77.1 2.5 80.4
2nd Quartile Price 87.6 * 99.4
3rd Quartile Price 95.6 * 100.4
4th Quartile Price 101.0 * 100.9
Avg. Price Top 5 Trades 103.5 2.5 103.1
Standard Deviation 8.2 0.5 5.5
VOLUME OF TRADES (000'S) 251,932.0 167,344.6 550,137.8
Customer Buy 149,450.8 * 328,653.1
Customer Sell 87,003.1 - 208,046.6
Dealer to Dealer 15,478.1 * 13,438.2
<= $1MM 14,118.1 - 35,079.9
<= $10MM 130,226.8 - 199,007.4
<= $100MM 107,587.1 167,344.6 316,050.6
> $100MM - - -
NUMBER OF TRADES 79 5 260
Customer Buy 39 * 82
Customer Sell 32 - 140
Dealer to Dealer 8 * 38
<= $1MM 38 - 194
<= $10MM 35 - 56
<= $100MM 6 5 10
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 75.5 - 64.6
Weighted Avg. Price 94.4 - 49.7
Avg. Price Bottom 5 Trades 26.0 - -
2nd Quartile Price 55.0 - 6.1
3rd Quartile Price 82.0 - 86.5
4th Quartile Price 99.7 - 101.1
Avg. Price Top 5 Trades 106.3 - 246.7
Standard Deviation 24.4 - 70.1
VOLUME OF TRADES (000'S) 220,900.6 - 553,254.2
Customer Buy 124,581.3 - 394,549.0
Customer Sell 96,134.2 - 140,667.2
Dealer to Dealer 185.1 - 18,038.0
<= $1MM 6,804.6 - 25,178.8
<= $10MM 103,113.8 - 241,916.7
<= $100MM 110,982.2 - *
> $100MM - - *
NUMBER OF TRADES 134 - 117
Customer Buy 41 - 69
Customer Sell 66 - 43
Dealer to Dealer 27 - 5
<= $1MM 98 - 48
<= $10MM 30 - 64
<= $100MM 6 - *
> $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 90.2 * - 94.1
Weighted Avg. Price 97.1 * - 96.0
Avg. Price Bottom 5 Trades 87.7 * - 77.1
2nd Quartile Price 83.6 * - 90.1
3rd Quartile Price 95.0 * - 96.4
4th Quartile Price 97.0 * - 101.0
Avg. Price Top 5 Trades 94.7 * - 103.5
Standard Deviation 7.0 * - 8.2
VOLUME OF TRADES (000'S) 1,213.9 * - 250,684.4
Customer Buy * - - 148,846.3
Customer Sell * * - 86,378.8
Dealer to Dealer * * - 15,459.3
<= $1MM 1,213.9 * - 12,870.5
<= $10MM - - - 130,226.8
<= $100MM - - - 107,587.1
> $100MM - - - -
NUMBER OF TRADES 8 * - 69
Customer Buy * - - 37
Customer Sell * * - 27
Dealer to Dealer * * - 5
<= $1MM 8 * - 28
<= $10MM - - - 35
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 68.3 - - 96.6
Weighted Avg. Price 90.2 - - 96.8
Avg. Price Bottom 5 Trades 26.0 - - 64.0
2nd Quartile Price 47.8 - - 100.3
3rd Quartile Price 77.0 - - 102.3
4th Quartile Price 85.4 - - 102.5
Avg. Price Top 5 Trades 99.4 - - 106.3
Standard Deviation 22.4 - - 16.3
VOLUME OF TRADES (000'S) 82,088.2 - - 138,812.4
Customer Buy 48,488.6 - - 76,092.7
Customer Sell 33,414.4 - - 62,719.7
Dealer to Dealer 185.1 - - -
<= $1MM 4,311.6 - - 2,493.0
<= $10MM 19,502.3 - - 83,611.4
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 100 - - 34
Customer Buy 23 - - 18
Customer Sell 50 - - 16
Dealer to Dealer 27 - - -
<= $1MM 91 - - 7
<= $10MM 7 - - 23
<= $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 - - - 2.5
Weighted Avg. Price - - - 2.4
Avg. Price Bottom 5 Trades - - - 2.5
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 2.5
Standard Deviation - - - 0.5
VOLUME OF TRADES (000'S) - - - 167,344.6
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 167,344.6
> $100MM - - - -
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 5
> $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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