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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 92.8 - 99.5
Weighted Avg. Price 95.0 - 99.9
Avg. Price Bottom 5 Trades 77.2 - 83.1
2nd Quartile Price 85.6 - 99.6
3rd Quartile Price 95.2 - 99.6
4th Quartile Price 99.9 - 100.1
Avg. Price Top 5 Trades 103.0 - 103.8
Standard Deviation 7.8 - 2.2
VOLUME OF TRADES (000'S) 284,447.2 - 943,799.1
Customer Buy 220,850.4 - 407,175.6
Customer Sell 63,315.0 - 490,824.2
Dealer to Dealer 281.8 - 45,799.3
<= $1MM 11,491.4 - 65,359.0
<= $10MM 170,940.1 - 430,227.9
<= $100MM 102,015.8 - 448,212.2
> $100MM - - -
NUMBER OF TRADES 95 - 757
Customer Buy 55 - 534
Customer Sell 32 - 181
Dealer to Dealer 8 - 42
<= $1MM 55 - 603
<= $10MM 33 - 132
<= $100MM 7 - 22
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 67.6 * 129.8
Weighted Avg. Price 90.4 * 80.1
Avg. Price Bottom 5 Trades 17.9 * 35.5
2nd Quartile Price 47.0 * 89.2
3rd Quartile Price 75.3 * 98.2
4th Quartile Price 85.9 * 101.7
Avg. Price Top 5 Trades 102.0 * 718.1
Standard Deviation 24.4 * 191.4
VOLUME OF TRADES (000'S) 113,152.3 * 290,351.2
Customer Buy 82,798.7 * 143,715.7
Customer Sell 29,338.9 * 119,137.7
Dealer to Dealer 1,014.7 - *
<= $1MM 12,917.9 * 11,260.1
<= $10MM 65,114.2 - 229,326.6
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 200 * 72
Customer Buy 72 * 41
Customer Sell 87 * 27
Dealer to Dealer 41 - *
<= $1MM 178 * 26
<= $10MM 19 - 42
<= $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 84.6 - * 94.2
Weighted Avg. Price 84.2 - * 95.0
Avg. Price Bottom 5 Trades 81.3 - * 78.1
2nd Quartile Price 83.3 - * 88.6
3rd Quartile Price 85.0 - * 98.0
4th Quartile Price 90.0 - * 100.4
Avg. Price Top 5 Trades 87.6 - * 103.0
Standard Deviation 3.8 - * 7.6
VOLUME OF TRADES (000'S) 57.8 - * 283,882.6
Customer Buy * - * 220,329.3
Customer Sell 24.5 - - 63,290.5
Dealer to Dealer 19.0 - - *
<= $1MM 57.8 - * 10,926.8
<= $10MM - - - 170,940.1
<= $100MM - - - 102,015.8
> $100MM - - - -
NUMBER OF TRADES 14 - * 77
Customer Buy * - * 49
Customer Sell 7 - - 25
Dealer to Dealer 5 - - *
<= $1MM 14 - * 37
<= $10MM - - - 33
<= $100MM - - - 7
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.6 - * 92.6
Weighted Avg. Price 85.4 - * 95.6
Avg. Price Bottom 5 Trades 17.9 - * 65.2
2nd Quartile Price 44.7 - * 100.6
3rd Quartile Price 73.0 - * 101.8
4th Quartile Price 83.0 - * 102.1
Avg. Price Top 5 Trades 99.0 - * 102.0
Standard Deviation 23.4 - * 18.2
VOLUME OF TRADES (000'S) 51,856.4 - * 55,089.9
Customer Buy 29,350.6 - * 50,345.1
Customer Sell 21,491.1 - * *
Dealer to Dealer 1,014.7 - - -
<= $1MM 7,435.5 - - 5,482.4
<= $10MM 21,698.6 - * 37,209.6
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 178 - * 20
Customer Buy 54 - * 17
Customer Sell 83 - * *
Dealer to Dealer 41 - - -
<= $1MM 170 - - 8
<= $10MM 6 - * 11
<= $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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