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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 90.6 * 99.4
Weighted Avg. Price 92.5 * 100.3
Avg. Price Bottom 5 Trades 80.9 * 86.5
2nd Quartile Price 85.0 * 99.3
3rd Quartile Price 90.1 * 100.2
4th Quartile Price 98.8 * 101.1
Avg. Price Top 5 Trades 101.2 * 103.6
Standard Deviation 7.2 * 3.2
VOLUME OF TRADES (000'S) 118,418.1 * 619,117.5
Customer Buy 57,528.9 * 364,934.5
Customer Sell 60,677.6 - 223,130.2
Dealer to Dealer * - 31,052.8
<= $1MM 9,607.8 - 34,482.2
<= $10MM 108,810.3 - 261,032.0
<= $100MM - * 323,603.3
> $100MM - - -
NUMBER OF TRADES 59 * 261
Customer Buy 21 * 135
Customer Sell 35 - 95
Dealer to Dealer * - 31
<= $1MM 30 - 185
<= $10MM 29 - 62
<= $100MM - * 14
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 53.8 * 98.2
Weighted Avg. Price 85.1 * 100.1
Avg. Price Bottom 5 Trades 2.0 * 79.7
2nd Quartile Price 30.8 * 99.0
3rd Quartile Price 54.0 * 100.9
4th Quartile Price 87.3 * 101.2
Avg. Price Top 5 Trades 100.3 * 101.9
Standard Deviation 35.4 * 7.5
VOLUME OF TRADES (000'S) 94,584.4 * 185,377.8
Customer Buy 43,320.8 * 44,826.9
Customer Sell 50,385.8 - 82,525.2
Dealer to Dealer 877.9 - 58,025.7
<= $1MM 11,022.8 - 4,536.1
<= $10MM 83,561.7 * 180,841.7
<= $100MM - * -
> $100MM - - -
NUMBER OF TRADES 148 * 50
Customer Buy 54 * 17
Customer Sell 70 - 20
Dealer to Dealer 24 - 13
<= $1MM 126 - 10
<= $10MM 22 * 40
<= $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 87.6 - * 90.8
Weighted Avg. Price 90.2 - * 92.5
Avg. Price Bottom 5 Trades 87.0 - * 81.6
2nd Quartile Price 89.8 - * 82.9
3rd Quartile Price 90.2 - * 90.0
4th Quartile Price 90.4 - * 99.5
Avg. Price Top 5 Trades 89.1 - * 101.2
Standard Deviation 4.2 - * 7.5
VOLUME OF TRADES (000'S) 1,066.4 - * 117,277.7
Customer Buy * - - 56,997.9
Customer Sell * - * 60,071.8
Dealer to Dealer * - - *
<= $1MM 1,066.4 - * 8,467.4
<= $10MM - - - 108,810.3
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 6 - * 52
Customer Buy * - - 19
Customer Sell * - * 31
Dealer to Dealer * - - *
<= $1MM 6 - * 23
<= $10MM - - - 29
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 48.3 - * 92.8
Weighted Avg. Price 79.3 - * 95.6
Avg. Price Bottom 5 Trades 2.0 - * 79.4
2nd Quartile Price - - * 94.1
3rd Quartile Price 51.0 - * 97.9
4th Quartile Price 77.0 - * 99.5
Avg. Price Top 5 Trades 99.0 - * 100.1
Standard Deviation 34.4 - * 12.2
VOLUME OF TRADES (000'S) 44,363.6 - * 35,292.9
Customer Buy 20,217.1 - * 15,359.5
Customer Sell 24,093.7 - * 19,108.3
Dealer to Dealer 52.9 - - *
<= $1MM 8,253.4 - * 2,209.0
<= $10MM 36,110.3 - * 33,083.9
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 129 - * 16
Customer Buy 47 - * 5
Customer Sell 59 - * 10
Dealer to Dealer 23 - - *
<= $1MM 120 - * 5
<= $10MM 9 - * 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 tracedataservices@finra.org.
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