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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 90.8 * 100.2
Weighted Avg. Price 93.2 * 100.6
Avg. Price Bottom 5 Trades 67.9 * 88.0
2nd Quartile Price 84.8 * 99.9
3rd Quartile Price 91.6 * 100.5
4th Quartile Price 100.1 * 101.0
Avg. Price Top 5 Trades 100.9 * 104.0
Standard Deviation 10.5 * 2.1
VOLUME OF TRADES (000'S) 613,260.0 * 734,314.1
Customer Buy 271,689.6 * 264,978.7
Customer Sell 329,792.8 * 334,855.8
Dealer to Dealer 11,777.6 * 134,479.5
<= $1MM 6,202.2 - 65,645.4
<= $10MM 277,131.7 - 352,096.6
<= $100MM 329,926.1 * 316,572.0
> $100MM - - -
NUMBER OF TRADES 137 * 403
Customer Buy 44 * 132
Customer Sell 69 * 216
Dealer to Dealer 24 * 55
<= $1MM 53 - 270
<= $10MM 69 - 126
<= $100MM 15 * 7
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 67.8 6.1 98.7
Weighted Avg. Price 81.6 11.6 100.1
Avg. Price Bottom 5 Trades 6.6 6.1 87.7
2nd Quartile Price 46.8 * 97.5
3rd Quartile Price 77.8 * 100.3
4th Quartile Price 87.8 * 102.0
Avg. Price Top 5 Trades 115.6 6.1 104.9
Standard Deviation 26.6 5.1 5.8
VOLUME OF TRADES (000'S) 92,527.3 12,069.2 61,050.3
Customer Buy 49,024.2 * 31,945.4
Customer Sell 42,923.9 * 29,010.3
Dealer to Dealer 579.3 * *
<= $1MM 13,626.7 * 4,346.4
<= $10MM 78,900.7 * 45,644.0
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 230 5 34
Customer Buy 98 * 14
Customer Sell 90 * 18
Dealer to Dealer 42 * *
<= $1MM 209 * 17
<= $10MM 21 * 16
<= $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 87.5 - * 91.8
Weighted Avg. Price 91.8 - * 93.2
Avg. Price Bottom 5 Trades 81.2 - * 67.9
2nd Quartile Price 82.4 - * 86.8
3rd Quartile Price 89.0 - * 99.3
4th Quartile Price 91.2 - * 100.2
Avg. Price Top 5 Trades 97.8 - * 100.9
Standard Deviation 6.6 - * 11.3
VOLUME OF TRADES (000'S) 207.9 - * 612,598.0
Customer Buy 80.5 - * 271,155.0
Customer Sell 64.6 - - 329,728.2
Dealer to Dealer 62.9 - - 11,714.8
<= $1MM 207.9 - * 5,540.2
<= $10MM - - - 277,131.7
<= $100MM - - - 329,926.1
> $100MM - - - -
NUMBER OF TRADES 34 - * 102
Customer Buy 6 - * 37
Customer Sell 12 - - 57
Dealer to Dealer 16 - - 8
<= $1MM 34 - * 18
<= $10MM - - - 69
<= $100MM - - - 15
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.5 * * 96.2
Weighted Avg. Price 71.3 * * 98.0
Avg. Price Bottom 5 Trades 6.6 * * 93.1
2nd Quartile Price 43.4 * * 100.0
3rd Quartile Price 77.0 * * 100.3
4th Quartile Price 86.9 * * 100.9
Avg. Price Top 5 Trades 115.1 * * 100.8
Standard Deviation 26.5 * * 9.1
VOLUME OF TRADES (000'S) 51,476.8 * * 36,346.8
Customer Buy 27,810.9 - - 21,213.3
Customer Sell 23,086.7 * * *
Dealer to Dealer 579.3 - - -
<= $1MM 13,026.7 - - *
<= $10MM 38,450.2 * * 35,746.8
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 218 * * 10
Customer Buy 92 - - 6
Customer Sell 84 * * *
Dealer to Dealer 42 - - -
<= $1MM 208 - - *
<= $10MM 10 * * 9
<= $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 6.1 - - -
Weighted Avg. Price 11.6 - - -
Avg. Price Bottom 5 Trades 6.1 - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades 6.1 - - -
Standard Deviation 5.1 - - -
VOLUME OF TRADES (000'S) 12,069.2 - - -
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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