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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 95.9 * 99.6
Weighted Avg. Price 97.0 * 100.1
Avg. Price Bottom 5 Trades 80.0 * 85.5
2nd Quartile Price 91.5 * 99.3
3rd Quartile Price 99.9 * 100.2
4th Quartile Price 100.6 * 100.8
Avg. Price Top 5 Trades 101.3 * 103.3
Standard Deviation 7.0 * 2.5
VOLUME OF TRADES (000'S) 195,539.0 * 962,429.1
Customer Buy 126,114.8 * 488,470.2
Customer Sell 39,754.2 - 385,392.7
Dealer to Dealer 29,670.1 - 88,566.2
<= $1MM 13,843.7 - 45,418.2
<= $10MM 93,696.9 - 329,727.2
<= $100MM * - 587,283.6
> $100MM - * -
NUMBER OF TRADES 85 * 406
Customer Buy 47 * 122
Customer Sell 27 - 205
Dealer to Dealer 11 - 79
<= $1MM 53 - 285
<= $10MM 28 - 93
<= $100MM * - 28
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 67.2 * 94.8
Weighted Avg. Price 75.8 * 99.8
Avg. Price Bottom 5 Trades 1.9 * 45.2
2nd Quartile Price 44.0 * 97.1
3rd Quartile Price 72.8 * 100.1
4th Quartile Price 94.6 * 102.0
Avg. Price Top 5 Trades 136.6 * 105.8
Standard Deviation 31.3 * 20.8
VOLUME OF TRADES (000'S) 99,419.1 * 293,954.4
Customer Buy 73,520.3 * 181,464.2
Customer Sell 20,119.6 * 109,128.7
Dealer to Dealer 5,779.2 - *
<= $1MM 19,378.5 - 13,208.8
<= $10MM 42,580.9 * 180,670.3
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 193 * 85
Customer Buy 65 * 43
Customer Sell 73 * 38
Dealer to Dealer 55 - *
<= $1MM 173 - 36
<= $10MM 18 * 47
<= $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 90.3 - * 97.7
Weighted Avg. Price 97.6 - * 97.0
Avg. Price Bottom 5 Trades 80.5 - * 86.2
2nd Quartile Price 85.1 - * 98.3
3rd Quartile Price 96.0 - * 100.1
4th Quartile Price 98.9 - * 100.8
Avg. Price Top 5 Trades 99.6 - * 101.3
Standard Deviation 9.8 - * 4.9
VOLUME OF TRADES (000'S) 858.4 - * 194,644.8
Customer Buy 510.5 - - 125,604.3
Customer Sell 283.0 - * 39,435.4
Dealer to Dealer * - - 29,605.2
<= $1MM 858.4 - * 12,949.5
<= $10MM - - - 93,696.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 19 - * 65
Customer Buy 7 - - 40
Customer Sell 9 - * 17
Dealer to Dealer * - - 8
<= $1MM 19 - * 33
<= $10MM - - - 28
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.5 * 84.1 94.7
Weighted Avg. Price 76.2 * 83.1 96.0
Avg. Price Bottom 5 Trades 1.9 * 76.2 82.3
2nd Quartile Price 41.2 * 87.8 99.6
3rd Quartile Price 71.3 * 90.5 100.7
4th Quartile Price 90.0 * 99.5 101.1
Avg. Price Top 5 Trades 130.5 * 94.1 101.1
Standard Deviation 31.2 * 17.3 14.7
VOLUME OF TRADES (000'S) 63,188.8 * 6,268.3 21,220.6
Customer Buy 52,763.5 * * 13,252.0
Customer Sell 6,646.1 * * 5,968.6
Dealer to Dealer 3,779.2 - - *
<= $1MM 10,659.7 - 4,122.0 4,596.8
<= $10MM 15,069.4 * * 16,623.8
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 168 * 8 15
Customer Buy 53 * * 7
Customer Sell 62 * * 6
Dealer to Dealer 53 - - *
<= $1MM 158 - 6 9
<= $10MM 8 * * 6
<= $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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