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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 94.1 * 99.8
Weighted Avg. Price 96.8 * 100.3
Avg. Price Bottom 5 Trades 78.2 * 86.2
2nd Quartile Price 89.4 * 99.7
3rd Quartile Price 97.2 * 100.4
4th Quartile Price 100.5 * 100.8
Avg. Price Top 5 Trades 101.9 * 103.1
Standard Deviation 7.3 * 2.5
VOLUME OF TRADES (000'S) 250,541.2 * 598,339.9
Customer Buy 85,047.9 * 316,825.8
Customer Sell 120,569.3 - 255,114.0
Dealer to Dealer 44,924.1 * 26,400.1
<= $1MM 12,955.8 - 38,917.7
<= $10MM 122,945.8 - 222,085.4
<= $100MM 114,639.6 - 337,336.7
> $100MM - * -
NUMBER OF TRADES 93 * 434
Customer Buy 28 * 185
Customer Sell 50 - 192
Dealer to Dealer 15 * 57
<= $1MM 46 - 343
<= $10MM 39 - 75
<= $100MM 8 - 16
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 58.5 53.9 91.8
Weighted Avg. Price 62.5 60.5 94.5
Avg. Price Bottom 5 Trades 2.8 39.6 34.1
2nd Quartile Price 40.0 47.0 96.3
3rd Quartile Price 55.0 62.5 100.1
4th Quartile Price 82.0 85.0 101.0
Avg. Price Top 5 Trades 101.9 68.8 102.4
Standard Deviation 27.3 25.3 20.4
VOLUME OF TRADES (000'S) 54,746.1 579.4 225,814.7
Customer Buy 27,772.4 * 111,247.7
Customer Sell 21,816.6 * 99,751.3
Dealer to Dealer 5,157.1 - *
<= $1MM 10,273.2 579.4 8,696.8
<= $10MM 24,032.0 - 188,492.6
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 164 8 62
Customer Buy 37 * 31
Customer Sell 105 * 28
Dealer to Dealer 22 - *
<= $1MM 152 8 17
<= $10MM 10 - 43
<= $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 92.9 - * 94.4
Weighted Avg. Price 96.7 - * 96.9
Avg. Price Bottom 5 Trades 85.2 - * 78.2
2nd Quartile Price 90.3 - * 88.7
3rd Quartile Price 97.2 - * 98.3
4th Quartile Price 98.0 - * 100.9
Avg. Price Top 5 Trades 98.6 - * 101.9
Standard Deviation 6.4 - * 7.6
VOLUME OF TRADES (000'S) 1,269.9 - * 242,502.8
Customer Buy * - * 84,334.5
Customer Sell 933.0 - * 113,260.7
Dealer to Dealer * - - 44,907.7
<= $1MM 1,269.9 - * 11,292.9
<= $10MM - - * 116,570.3
<= $100MM - - - 114,639.6
> $100MM - - - -
NUMBER OF TRADES 19 - * 72
Customer Buy * - * 24
Customer Sell 12 - * 37
Dealer to Dealer * - - 11
<= $1MM 19 - * 26
<= $10MM - - * 38
<= $100MM - - - 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 54.4 * - 93.3
Weighted Avg. Price 67.2 * - 91.3
Avg. Price Bottom 5 Trades 2.8 * - 76.6
2nd Quartile Price 38.8 * - 94.7
3rd Quartile Price 51.3 * - 98.7
4th Quartile Price 78.0 * - 101.1
Avg. Price Top 5 Trades 95.0 * - 101.9
Standard Deviation 25.3 * - 11.4
VOLUME OF TRADES (000'S) 8,884.8 * - 25,420.4
Customer Buy 4,782.0 * - 12,770.0
Customer Sell 3,945.7 * - 7,650.4
Dealer to Dealer 157.1 - - *
<= $1MM 3,164.5 - - 7,108.7
<= $10MM * - - 18,311.7
<= $100MM - * - -
> $100MM - - - -
NUMBER OF TRADES 143 * - 19
Customer Buy 24 * - 12
Customer Sell 99 * - 5
Dealer to Dealer 20 - - *
<= $1MM 141 - - 11
<= $10MM * - - 8
<= $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 53.9 - - -
Weighted Avg. Price 60.5 - - -
Avg. Price Bottom 5 Trades 39.6 - - -
2nd Quartile Price 47.0 - - -
3rd Quartile Price 62.5 - - -
4th Quartile Price 85.0 - - -
Avg. Price Top 5 Trades 68.8 - - -
Standard Deviation 25.3 - - -
VOLUME OF TRADES (000'S) 579.4 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 579.4 - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 8 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 8 - - -
<= $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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