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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 93.8 1.3 99.5
Weighted Avg. Price 93.5 1.0 99.2
Avg. Price Bottom 5 Trades 74.6 1.3 89.9
2nd Quartile Price 88.1 * 99.3
3rd Quartile Price 99.0 * 100.1
4th Quartile Price 100.8 * 100.6
Avg. Price Top 5 Trades 103.4 1.3 103.5
Standard Deviation 8.9 1.1 2.3
VOLUME OF TRADES (000'S) 232,340.0 718,425.7 1,082,787.1
Customer Buy 137,830.9 * 638,749.9
Customer Sell 92,152.2 * 393,037.9
Dealer to Dealer 2,357.0 * 50,999.2
<= $1MM 12,644.9 - 56,150.0
<= $10MM 102,832.5 - 419,555.8
<= $100MM 116,862.5 * 607,081.2
> $100MM - * -
NUMBER OF TRADES 78 5 392
Customer Buy 39 * 151
Customer Sell 30 * 149
Dealer to Dealer 9 * 92
<= $1MM 39 - 239
<= $10MM 31 - 120
<= $100MM 8 * 33
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 64.3 11.4 78.2
Weighted Avg. Price 91.9 10.0 80.0
Avg. Price Bottom 5 Trades 15.8 6.1 18.3
2nd Quartile Price 40.3 9.3 66.7
3rd Quartile Price 71.0 13.1 92.3
4th Quartile Price 86.6 14.4 100.3
Avg. Price Top 5 Trades 109.6 15.8 104.6
Standard Deviation 27.0 4.4 30.3
VOLUME OF TRADES (000'S) 59,021.6 115,668.3 196,040.7
Customer Buy 28,014.3 57,834.1 95,583.2
Customer Sell 29,902.7 57,834.1 87,822.5
Dealer to Dealer 1,104.6 - *
<= $1MM 9,934.3 - 1,864.3
<= $10MM 49,087.3 57,237.1 174,176.4
<= $100MM - * *
> $100MM - - -
NUMBER OF TRADES 135 16 52
Customer Buy 42 8 25
Customer Sell 52 8 24
Dealer to Dealer 41 - *
<= $1MM 120 - 6
<= $10MM 15 12 45
<= $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 * * * 95.1
Weighted Avg. Price * * * 93.7
Avg. Price Bottom 5 Trades * * * 74.6
2nd Quartile Price * * * 91.8
3rd Quartile Price * * * 99.9
4th Quartile Price * * * 100.9
Avg. Price Top 5 Trades * * * 103.4
Standard Deviation * * * 8.4
VOLUME OF TRADES (000'S) * * * 228,856.4
Customer Buy - * * 135,905.0
Customer Sell * - * 90,595.7
Dealer to Dealer * - - 2,355.7
<= $1MM * * * 12,273.0
<= $10MM - - * 99,720.8
<= $100MM - - - 116,862.5
> $100MM - - - -
NUMBER OF TRADES * * * 69
Customer Buy - * * 34
Customer Sell * - * 28
Dealer to Dealer * - - 7
<= $1MM * * * 32
<= $10MM - - * 29
<= $100MM - - - 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 59.7 - - 98.4
Weighted Avg. Price 80.9 - - 98.5
Avg. Price Bottom 5 Trades 15.8 - - 93.5
2nd Quartile Price 40.0 - - 99.7
3rd Quartile Price 64.5 - - 100.2
4th Quartile Price 83.0 - - 100.5
Avg. Price Top 5 Trades 109.0 - - 101.1
Standard Deviation 25.4 - - 4.5
VOLUME OF TRADES (000'S) 22,311.7 - - 36,709.9
Customer Buy 6,395.6 - - 21,618.7
Customer Sell 14,811.5 - - 15,091.2
Dealer to Dealer 1,104.6 - - -
<= $1MM 6,572.5 - - 3,361.8
<= $10MM 15,739.2 - - 33,348.1
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 119 - - 16
Customer Buy 33 - - 9
Customer Sell 45 - - 7
Dealer to Dealer 41 - - -
<= $1MM 114 - - 6
<= $10MM 5 - - 10
<= $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 - - - 1.3
Weighted Avg. Price - - - 1.0
Avg. Price Bottom 5 Trades - - - 1.3
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 1.3
Standard Deviation - - - 1.1
VOLUME OF TRADES (000'S) - - - 718,425.7
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 - - - *
Non-Investment Grade †
AVERAGE PRICE 11.4 - - -
Weighted Avg. Price 10.0 - - -
Avg. Price Bottom 5 Trades 6.1 - - -
2nd Quartile Price 9.3 - - -
3rd Quartile Price 13.1 - - -
4th Quartile Price 14.4 - - -
Avg. Price Top 5 Trades 15.8 - - -
Standard Deviation 4.4 - - -
VOLUME OF TRADES (000'S) 115,668.3 - - -
Customer Buy 57,834.1 - - -
Customer Sell 57,834.1 - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM 57,237.1 - - -
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 16 - - -
Customer Buy 8 - - -
Customer Sell 8 - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM 12 - - -
<= $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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