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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 92.6 * 99.4
Weighted Avg. Price 94.2 * 99.5
Avg. Price Bottom 5 Trades 69.3 * 88.1
2nd Quartile Price 87.4 * 99.0
3rd Quartile Price 95.2 * 100.1
4th Quartile Price 100.1 * 100.7
Avg. Price Top 5 Trades 101.0 * 104.3
Standard Deviation 8.8 * 2.6
VOLUME OF TRADES (000'S) 257,198.7 * 507,799.1
Customer Buy 113,112.1 * 229,241.7
Customer Sell 100,302.3 - 244,137.1
Dealer to Dealer 43,784.4 - 34,420.4
<= $1MM 11,104.7 - 47,090.7
<= $10MM 149,848.0 - 218,484.9
<= $100MM 96,245.9 - 242,223.5
> $100MM - * -
NUMBER OF TRADES 84 * 271
Customer Buy 37 * 128
Customer Sell 33 - 110
Dealer to Dealer 14 - 33
<= $1MM 46 - 192
<= $10MM 30 - 67
<= $100MM 8 - 12
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 67.3 - 97.0
Weighted Avg. Price 74.6 - 99.3
Avg. Price Bottom 5 Trades 1.6 - 75.3
2nd Quartile Price 50.3 - 98.7
3rd Quartile Price 75.5 - 100.3
4th Quartile Price 88.0 - 100.8
Avg. Price Top 5 Trades 101.0 - 105.3
Standard Deviation 27.1 - 16.4
VOLUME OF TRADES (000'S) 339,101.4 - 52,533.2
Customer Buy 101,474.6 - 27,449.8
Customer Sell 126,906.2 - 23,572.7
Dealer to Dealer 110,720.6 - *
<= $1MM 11,854.9 - 7,682.6
<= $10MM 222,907.2 - 44,850.5
<= $100MM 104,339.3 - -
> $100MM - - -
NUMBER OF TRADES 169 - 34
Customer Buy 49 - 15
Customer Sell 55 - 17
Dealer to Dealer 65 - *
<= $1MM 99 - 19
<= $10MM 63 - 15
<= $100MM 7 - -
> $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 85.7 - - 94.1
Weighted Avg. Price 86.6 - - 94.2
Avg. Price Bottom 5 Trades 80.1 - - 73.8
2nd Quartile Price 86.3 - - 90.9
3rd Quartile Price 87.4 - - 99.1
4th Quartile Price 89.6 - - 100.2
Avg. Price Top 5 Trades 89.1 - - 101.0
Standard Deviation 7.1 - - 8.4
VOLUME OF TRADES (000'S) 38.1 - - 257,160.6
Customer Buy * - - 113,109.4
Customer Sell 15.4 - - 100,286.9
Dealer to Dealer 20.0 - - 43,764.4
<= $1MM 38.1 - - 11,066.7
<= $10MM - - - 149,848.0
<= $100MM - - - 96,245.9
> $100MM - - - -
NUMBER OF TRADES 15 - - 69
Customer Buy * - - 35
Customer Sell 6 - - 27
Dealer to Dealer 7 - - 7
<= $1MM 15 - - 31
<= $10MM - - - 30
<= $100MM - - - 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 63.2 18.4 * 95.9
Weighted Avg. Price 60.2 18.4 * 98.5
Avg. Price Bottom 5 Trades 1.6 18.4 * 76.8
2nd Quartile Price 48.8 * * 98.7
3rd Quartile Price 70.6 * * 100.1
4th Quartile Price 83.5 * * 100.3
Avg. Price Top 5 Trades 92.8 18.4 * 101.0
Standard Deviation 25.1 0.6 * 9.2
VOLUME OF TRADES (000'S) 176,945.6 362.0 * 132,688.0
Customer Buy 61,248.0 * * 39,218.9
Customer Sell 66,860.7 * * 45,887.9
Dealer to Dealer 48,836.9 * * 47,581.3
<= $1MM 9,680.7 362.0 * *
<= $10MM 123,264.9 - - 99,642.3
<= $100MM * - * *
> $100MM - - - -
NUMBER OF TRADES 133 5 * 28
Customer Buy 37 * * 10
Customer Sell 43 * * 10
Dealer to Dealer 53 * * 8
<= $1MM 90 5 * *
<= $10MM 41 - - 22
<= $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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