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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 87.3 * 99.8
Weighted Avg. Price 94.8 * 100.2
Avg. Price Bottom 5 Trades 61.5 * 89.7
2nd Quartile Price 80.8 * 99.2
3rd Quartile Price 88.6 * 100.0
4th Quartile Price 99.9 * 100.6
Avg. Price Top 5 Trades 100.6 * 109.8
Standard Deviation 12.2 * 2.3
VOLUME OF TRADES (000'S) 138,157.6 * 607,702.7
Customer Buy 65,320.6 * 395,530.3
Customer Sell 55,928.9 * 196,863.9
Dealer to Dealer 16,908.0 - 15,308.5
<= $1MM 17,685.2 - 32,996.8
<= $10MM 90,445.0 - 399,216.0
<= $100MM * * 175,489.9
> $100MM - * -
NUMBER OF TRADES 85 * 349
Customer Buy 48 * 158
Customer Sell 25 * 127
Dealer to Dealer 12 - 64
<= $1MM 55 - 235
<= $10MM 28 - 109
<= $100MM * * 5
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 68.8 2.4 95.6
Weighted Avg. Price 64.0 2.0 99.0
Avg. Price Bottom 5 Trades 8.9 0.2 87.2
2nd Quartile Price 50.0 0.4 92.5
3rd Quartile Price 71.6 0.9 97.0
4th Quartile Price 88.7 2.8 100.0
Avg. Price Top 5 Trades 128.5 8.8 101.2
Standard Deviation 28.3 3.1 4.5
VOLUME OF TRADES (000'S) 59,095.3 344,428.6 137,725.9
Customer Buy 35,462.3 172,214.3 62,864.0
Customer Sell 23,302.4 172,214.3 47,826.2
Dealer to Dealer 330.6 - 27,035.7
<= $1MM 11,380.8 * 23,792.0
<= $10MM 47,714.5 134,813.8 92,437.6
<= $100MM - 208,815.0 *
> $100MM - - -
NUMBER OF TRADES 112 34 86
Customer Buy 38 17 22
Customer Sell 50 17 37
Dealer to Dealer 24 - 27
<= $1MM 92 * 61
<= $10MM 20 20 23
<= $100MM - 12 *
> $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 92.4 - * 86.7
Weighted Avg. Price 98.1 - * 94.7
Avg. Price Bottom 5 Trades 90.3 - * 61.5
2nd Quartile Price 91.0 - * 75.5
3rd Quartile Price 93.5 - * 87.8
4th Quartile Price 98.5 - * 99.9
Avg. Price Top 5 Trades 95.2 - * 100.6
Standard Deviation 6.4 - * 12.7
VOLUME OF TRADES (000'S) 1,431.4 - * 136,632.8
Customer Buy 1,428.4 - * 63,798.8
Customer Sell * - - 55,927.9
Dealer to Dealer * - - 16,906.0
<= $1MM 32.7 - * 17,559.1
<= $10MM * - - 89,046.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 8 - * 76
Customer Buy 6 - * 41
Customer Sell * - - 24
Dealer to Dealer * - - 11
<= $1MM 7 - * 47
<= $10MM * - - 27
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.5 - - 78.7
Weighted Avg. Price 44.0 - - 83.1
Avg. Price Bottom 5 Trades 8.9 - - 57.1
2nd Quartile Price 43.7 - - 68.0
3rd Quartile Price 74.1 - - 71.5
4th Quartile Price 88.9 - - 88.7
Avg. Price Top 5 Trades 101.4 - - 126.3
Standard Deviation 27.4 - - 29.1
VOLUME OF TRADES (000'S) 28,845.3 - - 30,250.0
Customer Buy 13,877.3 - - 21,585.0
Customer Sell 14,637.4 - - 8,665.0
Dealer to Dealer 330.6 - - -
<= $1MM 5,151.2 - - 6,229.7
<= $10MM 23,694.1 - - 24,020.4
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 84 - - 28
Customer Buy 21 - - 17
Customer Sell 39 - - 11
Dealer to Dealer 24 - - -
<= $1MM 74 - - 18
<= $10MM 10 - - 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 - - - *
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 - - - 2.4
Weighted Avg. Price - - - 2.0
Avg. Price Bottom 5 Trades - - - 0.2
2nd Quartile Price - - - 0.4
3rd Quartile Price - - - 0.9
4th Quartile Price - - - 2.8
Avg. Price Top 5 Trades - - - 8.8
Standard Deviation - - - 3.1
VOLUME OF TRADES (000'S) - - - 344,428.6
Customer Buy - - - 172,214.3
Customer Sell - - - 172,214.3
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - 134,813.8
<= $100MM - - - 208,815.0
> $100MM - - - -
NUMBER OF TRADES - - - 34
Customer Buy - - - 17
Customer Sell - - - 17
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - 20
<= $100MM - - - 12
> $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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