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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 93.8 - 100.1
Weighted Avg. Price 93.8 - 100.7
Avg. Price Bottom 5 Trades 63.5 - 88.9
2nd Quartile Price 88.9 - 99.9
3rd Quartile Price 97.1 - 100.3
4th Quartile Price 100.8 - 101.0
Avg. Price Top 5 Trades 102.1 - 105.2
Standard Deviation 10.3 - 2.1
VOLUME OF TRADES (000'S) 281,976.5 - 1,343,533.0
Customer Buy 154,139.8 - 495,874.6
Customer Sell 92,574.2 - 817,844.5
Dealer to Dealer 35,262.6 - 29,814.0
<= $1MM 19,557.2 - 50,306.7
<= $10MM 82,829.8 - 796,516.7
<= $100MM 179,589.5 - 496,709.5
> $100MM - - -
NUMBER OF TRADES 115 - 507
Customer Buy 54 - 139
Customer Sell 49 - 301
Dealer to Dealer 12 - 67
<= $1MM 78 - 275
<= $10MM 25 - 204
<= $100MM 12 - 28
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 46.3 * 97.5
Weighted Avg. Price 40.3 * 97.7
Avg. Price Bottom 5 Trades - * 59.6
2nd Quartile Price - * 98.4
3rd Quartile Price 51.5 * 100.8
4th Quartile Price 85.0 * 101.9
Avg. Price Top 5 Trades 106.2 * 103.6
Standard Deviation 39.3 * 13.0
VOLUME OF TRADES (000'S) 228,197.7 * 234,727.7
Customer Buy 42,892.0 - 126,696.6
Customer Sell 184,175.3 * 98,317.6
Dealer to Dealer 1,130.4 - 9,713.6
<= $1MM 45,523.3 * 12,295.8
<= $10MM 169,002.4 - 125,534.4
<= $100MM * - 96,897.5
> $100MM - - -
NUMBER OF TRADES 360 * 76
Customer Buy 85 - 42
Customer Sell 228 * 25
Dealer to Dealer 47 - 9
<= $1MM 285 * 37
<= $10MM 74 - 34
<= $100MM * - 5
> $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 90.0 * * 95.7
Weighted Avg. Price 98.5 * * 93.7
Avg. Price Bottom 5 Trades 67.8 * * 82.1
2nd Quartile Price 90.0 * * 89.5
3rd Quartile Price 95.9 * * 99.8
4th Quartile Price 98.4 * * 101.0
Avg. Price Top 5 Trades 101.1 * * 101.9
Standard Deviation 14.6 * * 6.8
VOLUME OF TRADES (000'S) 5,711.2 * * 274,339.5
Customer Buy 2,362.1 - * 149,870.9
Customer Sell 3,238.4 * - 89,326.3
Dealer to Dealer 110.8 * - *
<= $1MM 3,473.1 * * 15,934.6
<= $10MM * - * 78,815.4
<= $100MM - - - 179,589.5
> $100MM - - - -
NUMBER OF TRADES 37 * * 74
Customer Buy 9 - * 43
Customer Sell 19 * - 29
Dealer to Dealer 9 * - *
<= $1MM 35 * * 40
<= $10MM * - * 22
<= $100MM - - - 12
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 43.4 - - 99.7
Weighted Avg. Price 26.9 - - 99.4
Avg. Price Bottom 5 Trades - - - 94.1
2nd Quartile Price - - - 100.2
3rd Quartile Price 49.5 - - 101.2
4th Quartile Price 81.6 - - 102.4
Avg. Price Top 5 Trades 104.4 - - 102.5
Standard Deviation 38.2 - - 4.1
VOLUME OF TRADES (000'S) 186,016.9 - - 42,180.7
Customer Buy 25,988.0 - - 16,904.0
Customer Sell 158,898.6 - - 25,276.7
Dealer to Dealer 1,130.4 - - -
<= $1MM 42,146.8 - - 3,376.5
<= $10MM 130,198.2 - - 38,804.3
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 341 - - 19
Customer Buy 74 - - 11
Customer Sell 220 - - 8
Dealer to Dealer 47 - - -
<= $1MM 280 - - 5
<= $10MM 60 - - 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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