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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 92.5 - 99.5
Weighted Avg. Price 95.0 - 99.8
Avg. Price Bottom 5 Trades 73.1 - 88.8
2nd Quartile Price 86.4 - 99.8
3rd Quartile Price 95.8 - 100.1
4th Quartile Price 100.1 - 100.4
Avg. Price Top 5 Trades 101.2 - 103.4
Standard Deviation 8.4 - 2.4
VOLUME OF TRADES (000'S) 201,141.0 - 636,043.6
Customer Buy 125,025.5 - 320,922.0
Customer Sell 63,607.9 - 255,135.1
Dealer to Dealer 12,507.6 - 59,986.5
<= $1MM 10,670.5 - 37,840.3
<= $10MM 165,604.9 - 290,270.7
<= $100MM * - 307,932.6
> $100MM - - -
NUMBER OF TRADES 102 - 481
Customer Buy 49 - 265
Customer Sell 37 - 150
Dealer to Dealer 16 - 66
<= $1MM 52 - 388
<= $10MM 49 - 77
<= $100MM * - 16
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 74.1 * 98.4
Weighted Avg. Price 79.7 * 99.4
Avg. Price Bottom 5 Trades 24.7 * 93.5
2nd Quartile Price 61.0 * 96.5
3rd Quartile Price 81.0 * 99.2
4th Quartile Price 90.0 * 100.2
Avg. Price Top 5 Trades 100.0 * 103.7
Standard Deviation 20.2 * 3.4
VOLUME OF TRADES (000'S) 52,276.2 * 74,066.6
Customer Buy 35,886.9 * 68,144.4
Customer Sell 16,115.3 - 4,505.4
Dealer to Dealer 274.0 - *
<= $1MM 8,663.9 * 5,602.3
<= $10MM 43,612.2 - 55,693.9
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 112 * 32
Customer Buy 30 * 24
Customer Sell 35 - 6
Dealer to Dealer 47 - *
<= $1MM 102 * 14
<= $10MM 10 - 17
<= $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 85.9 - * 94.3
Weighted Avg. Price 96.3 - * 95.0
Avg. Price Bottom 5 Trades 76.1 - * 78.5
2nd Quartile Price 82.9 - * 88.8
3rd Quartile Price 88.2 - * 98.7
4th Quartile Price 91.2 - * 100.1
Avg. Price Top 5 Trades 95.5 - * 101.2
Standard Deviation 8.5 - * 7.5
VOLUME OF TRADES (000'S) 1,899.9 - * 198,623.3
Customer Buy * - * 124,189.6
Customer Sell 1,623.3 - - 61,984.6
Dealer to Dealer 58.5 - - *
<= $1MM 488.4 - * 9,564.2
<= $10MM * - - 164,193.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 22 - * 79
Customer Buy * - * 45
Customer Sell 7 - - 30
Dealer to Dealer 12 - - *
<= $1MM 21 - * 30
<= $10MM * - - 48
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 72.3 - - 90.7
Weighted Avg. Price 64.9 - - 85.6
Avg. Price Bottom 5 Trades 24.7 - - 79.7
2nd Quartile Price 61.0 - - 80.2
3rd Quartile Price 81.0 - - 99.3
4th Quartile Price 87.8 - - 100.3
Avg. Price Top 5 Trades 96.6 - - 100.0
Standard Deviation 20.1 - - 13.0
VOLUME OF TRADES (000'S) 15,010.7 - - 37,265.5
Customer Buy 9,406.8 - - 26,480.1
Customer Sell 5,330.0 - - *
Dealer to Dealer 274.0 - - -
<= $1MM 5,841.3 - - *
<= $10MM * - - 34,442.9
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 101 - - 11
Customer Buy 21 - - 9
Customer Sell 33 - - *
Dealer to Dealer 47 - - -
<= $1MM 98 - - *
<= $10MM * - - 7
<= $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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