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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 96.0 - 99.6
Weighted Avg. Price 96.9 - 100.1
Avg. Price Bottom 5 Trades 75.0 - 89.1
2nd Quartile Price 92.0 - 98.9
3rd Quartile Price 99.8 - 100.2
4th Quartile Price 100.8 - 100.9
Avg. Price Top 5 Trades 103.3 - 103.5
Standard Deviation 6.9 - 2.5
VOLUME OF TRADES (000'S) 376,729.7 - 663,202.1
Customer Buy 179,521.3 - 300,557.1
Customer Sell 186,346.2 - 348,231.1
Dealer to Dealer 10,862.2 - 14,413.9
<= $1MM 9,473.3 - 46,675.1
<= $10MM 172,518.5 - 253,534.0
<= $100MM 194,738.0 - 362,993.1
> $100MM - - -
NUMBER OF TRADES 105 - 334
Customer Buy 45 - 130
Customer Sell 48 - 148
Dealer to Dealer 12 - 56
<= $1MM 46 - 241
<= $10MM 49 - 80
<= $100MM 10 - 13
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 69.5 - 93.3
Weighted Avg. Price 93.2 - 97.8
Avg. Price Bottom 5 Trades 16.2 - 42.8
2nd Quartile Price 50.3 - 94.4
3rd Quartile Price 77.1 - 98.5
4th Quartile Price 88.9 - 100.8
Avg. Price Top 5 Trades 103.0 - 105.6
Standard Deviation 23.6 - 20.9
VOLUME OF TRADES (000'S) 120,257.4 - 103,323.9
Customer Buy 69,524.2 - 42,591.9
Customer Sell 49,948.5 - 50,504.8
Dealer to Dealer 784.7 - 10,227.2
<= $1MM 7,632.6 - 12,496.1
<= $10MM 94,624.8 - 90,827.8
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 219 - 65
Customer Buy 96 - 39
Customer Sell 64 - 19
Dealer to Dealer 59 - 7
<= $1MM 193 - 37
<= $10MM 25 - 28
<= $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 92.2 - - 96.7
Weighted Avg. Price 96.8 - - 96.9
Avg. Price Bottom 5 Trades 86.5 - - 75.0
2nd Quartile Price 89.8 - - 95.2
3rd Quartile Price 92.0 - - 100.0
4th Quartile Price 94.5 - - 100.8
Avg. Price Top 5 Trades 98.8 - - 101.6
Standard Deviation 5.9 - - 6.9
VOLUME OF TRADES (000'S) 70.1 - - 376,659.6
Customer Buy 49.5 - - 179,471.9
Customer Sell * - - 186,340.2
Dealer to Dealer 14.6 - - 10,847.6
<= $1MM 70.1 - - 9,403.2
<= $10MM - - - 172,518.5
<= $100MM - - - 194,738.0
> $100MM - - - -
NUMBER OF TRADES 17 - - 88
Customer Buy 8 - - 37
Customer Sell * - - 44
Dealer to Dealer 5 - - 7
<= $1MM 17 - - 29
<= $10MM - - - 49
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.7 - - 96.1
Weighted Avg. Price 69.4 - - 95.7
Avg. Price Bottom 5 Trades 16.2 - - 82.3
2nd Quartile Price 47.3 - - 96.8
3rd Quartile Price 73.4 - - 98.5
4th Quartile Price 84.0 - - 100.5
Avg. Price Top 5 Trades 101.4 - - 101.5
Standard Deviation 22.4 - - 10.7
VOLUME OF TRADES (000'S) 11,355.5 - - 108,901.9
Customer Buy 4,713.7 - - 64,810.5
Customer Sell 5,857.1 - - 44,091.4
Dealer to Dealer 784.7 - - -
<= $1MM 4,632.6 - - *
<= $10MM * - - 87,901.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 192 - - 27
Customer Buy 79 - - 17
Customer Sell 54 - - 10
Dealer to Dealer 59 - - -
<= $1MM 190 - - *
<= $10MM * - - 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 - - - -
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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