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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 95.6 0.3 100.0
Weighted Avg. Price 95.4 0.2 100.5
Avg. Price Bottom 5 Trades 81.0 0.3 85.4
2nd Quartile Price 91.8 * 99.8
3rd Quartile Price 98.5 * 100.3
4th Quartile Price 100.8 * 100.9
Avg. Price Top 5 Trades 102.2 0.3 103.9
Standard Deviation 6.5 0.1 2.1
VOLUME OF TRADES (000'S) 396,265.5 1,503,963.8 1,220,278.0
Customer Buy 235,787.2 * 491,524.6
Customer Sell 142,548.6 * 616,539.7
Dealer to Dealer 17,929.8 - 112,213.7
<= $1MM 13,389.4 - 57,619.1
<= $10MM 149,406.7 - 578,387.0
<= $100MM 233,469.4 - 584,271.9
> $100MM - 1,503,963.8 -
NUMBER OF TRADES 120 5 525
Customer Buy 59 * 134
Customer Sell 45 * 293
Dealer to Dealer 16 - 98
<= $1MM 66 - 337
<= $10MM 41 - 156
<= $100MM 13 - 32
> $100MM - 5 -
Non-Investment Grade †
AVERAGE PRICE 64.0 3.6 86.0
Weighted Avg. Price 52.2 7.1 79.6
Avg. Price Bottom 5 Trades 0.9 3.6 23.9
2nd Quartile Price 41.1 * 95.9
3rd Quartile Price 72.5 * 100.3
4th Quartile Price 88.8 * 101.0
Avg. Price Top 5 Trades 125.8 3.6 102.8
Standard Deviation 30.9 3.3 31.9
VOLUME OF TRADES (000'S) 265,814.7 12,542.7 113,783.7
Customer Buy 143,313.8 * 88,746.4
Customer Sell 118,112.2 * 20,079.7
Dealer to Dealer 4,388.8 * *
<= $1MM 30,698.9 * 8,997.4
<= $10MM 111,355.3 * 71,427.9
<= $100MM 123,760.6 - *
> $100MM - - -
NUMBER OF TRADES 371 5 39
Customer Buy 132 * 25
Customer Sell 142 * 12
Dealer to Dealer 97 * *
<= $1MM 320 * 18
<= $10MM 44 * 20
<= $100MM 7 - *
> $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 93.7 * * 96.4
Weighted Avg. Price 96.9 * * 95.4
Avg. Price Bottom 5 Trades 84.6 * * 80.7
2nd Quartile Price 91.3 * * 92.2
3rd Quartile Price 96.0 * * 100.4
4th Quartile Price 98.5 * * 100.9
Avg. Price Top 5 Trades 100.4 * * 102.2
Standard Deviation 5.4 * * 6.8
VOLUME OF TRADES (000'S) 1,990.5 * * 391,493.2
Customer Buy 932.0 - - 234,855.2
Customer Sell 965.5 * * 138,801.3
Dealer to Dealer 93.0 - - 17,836.8
<= $1MM 1,990.5 - * 11,364.4
<= $10MM - * - 146,659.5
<= $100MM - - - 233,469.4
> $100MM - - - -
NUMBER OF TRADES 34 * * 83
Customer Buy 12 - - 47
Customer Sell 15 * * 27
Dealer to Dealer 7 - - 9
<= $1MM 34 - * 30
<= $10MM - * - 40
<= $100MM - - - 13
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 63.4 - * 98.2
Weighted Avg. Price 44.3 - * 99.9
Avg. Price Bottom 5 Trades 0.9 - * 97.2
2nd Quartile Price 40.6 - * 96.6
3rd Quartile Price 72.5 - * 99.9
4th Quartile Price 88.4 - * 101.1
Avg. Price Top 5 Trades 125.8 - * 99.5
Standard Deviation 30.9 - * 2.6
VOLUME OF TRADES (000'S) 204,430.3 - * 38,206.4
Customer Buy 100,810.6 - * 30,914.1
Customer Sell 99,230.9 - * *
Dealer to Dealer 4,388.8 - - -
<= $1MM 30,022.4 - - *
<= $10MM 90,515.3 - * *
<= $100MM * - * *
> $100MM - - - -
NUMBER OF TRADES 360 - * 7
Customer Buy 125 - * 5
Customer Sell 138 - * *
Dealer to Dealer 97 - - -
<= $1MM 318 - - *
<= $10MM 38 - * *
<= $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 - - - 0.3
Weighted Avg. Price - - - 0.2
Avg. Price Bottom 5 Trades - - - 0.3
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 0.3
Standard Deviation - - - 0.1
VOLUME OF TRADES (000'S) - - - 1,503,963.8
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - 1,503,963.8
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - 5
Non-Investment Grade †
AVERAGE PRICE 3.6 - - -
Weighted Avg. Price 7.1 - - -
Avg. Price Bottom 5 Trades 3.6 - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades 3.6 - - -
Standard Deviation 3.3 - - -
VOLUME OF TRADES (000'S) 12,542.7 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer * - - -
<= $1MM * - - -
<= $10MM * - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 5 - - -
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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