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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 94.7 * 98.9
Weighted Avg. Price 97.2 * 99.1
Avg. Price Bottom 5 Trades 68.7 * 79.3
2nd Quartile Price 90.5 * 99.1
3rd Quartile Price 98.5 * 100.1
4th Quartile Price 100.1 * 100.6
Avg. Price Top 5 Trades 101.2 * 102.5
Standard Deviation 8.2 * 4.0
VOLUME OF TRADES (000'S) 242,475.7 * 905,280.8
Customer Buy 137,343.3 * 379,007.7
Customer Sell 95,155.3 - 517,140.1
Dealer to Dealer 9,977.1 - 9,133.0
<= $1MM 8,958.7 * 49,941.4
<= $10MM 129,083.3 - 371,348.9
<= $100MM 104,433.7 - 483,990.4
> $100MM - - -
NUMBER OF TRADES 97 * 350
Customer Buy 41 * 138
Customer Sell 41 - 183
Dealer to Dealer 15 - 29
<= $1MM 56 * 222
<= $10MM 34 - 106
<= $100MM 7 - 22
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 69.7 13.9 502.9
Weighted Avg. Price 18.2 0.6 85.7
Avg. Price Bottom 5 Trades 2.3 1.6 6.6
2nd Quartile Price 53.0 0.8 92.3
3rd Quartile Price 77.0 9.9 99.8
4th Quartile Price 88.8 32.0 101.3
Avg. Price Top 5 Trades 100.2 26.3 4,991.9
Standard Deviation 23.7 21.6 1,345.8
VOLUME OF TRADES (000'S) 909,673.5 27,947.9 200,002.2
Customer Buy 427,558.7 13,979.1 112,357.7
Customer Sell 437,590.2 * 81,328.0
Dealer to Dealer 44,524.6 - 6,316.6
<= $1MM 53,564.6 593.1 11,352.4
<= $10MM 172,916.6 * 140,580.1
<= $100MM * - *
> $100MM * - -
NUMBER OF TRADES 416 10 78
Customer Buy 153 6 44
Customer Sell 153 * 29
Dealer to Dealer 110 - 5
<= $1MM 345 6 31
<= $10MM 66 * 43
<= $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 90.3 - - 96.4
Weighted Avg. Price 92.7 - - 97.3
Avg. Price Bottom 5 Trades 76.5 - - 78.9
2nd Quartile Price 89.0 - - 96.4
3rd Quartile Price 90.5 - - 99.3
4th Quartile Price 95.3 - - 100.4
Avg. Price Top 5 Trades 99.5 - - 101.2
Standard Deviation 9.5 - - 7.0
VOLUME OF TRADES (000'S) 1,964.5 - - 240,511.2
Customer Buy 817.8 - - 136,525.5
Customer Sell 651.4 - - 94,503.9
Dealer to Dealer 495.4 - - 9,481.7
<= $1MM 1,964.5 - - 6,994.2
<= $10MM - - - 129,083.3
<= $100MM - - - 104,433.7
> $100MM - - - -
NUMBER OF TRADES 28 - - 69
Customer Buy 11 - - 30
Customer Sell 10 - - 31
Dealer to Dealer 7 - - 8
<= $1MM 28 - - 28
<= $10MM - - - 34
<= $100MM - - - 7
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.2 * 86.9 74.0
Weighted Avg. Price 55.0 * 83.7 8.8
Avg. Price Bottom 5 Trades 3.9 * 86.1 42.4
2nd Quartile Price 51.9 * 82.6 70.7
3rd Quartile Price 76.3 * 85.5 89.3
4th Quartile Price 88.0 * 92.5 98.0
Avg. Price Top 5 Trades 100.0 * 88.5 98.4
Standard Deviation 23.5 * 4.8 30.3
VOLUME OF TRADES (000'S) 174,358.8 * 4,251.0 728,072.4
Customer Buy 56,231.1 * * 368,634.7
Customer Sell 78,326.7 * * 356,570.6
Dealer to Dealer 39,801.0 * * *
<= $1MM 46,322.3 * 4,251.0 -
<= $10MM 116,952.2 - - 55,964.4
<= $100MM * - - *
> $100MM - - - *
NUMBER OF TRADES 387 * 8 18
Customer Buy 139 * * 10
Customer Sell 142 * * 7
Dealer to Dealer 106 * * *
<= $1MM 334 * 8 -
<= $10MM 52 - - 14
<= $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 13.9 - - -
Weighted Avg. Price 0.6 - - -
Avg. Price Bottom 5 Trades 1.6 - - -
2nd Quartile Price 0.8 - - -
3rd Quartile Price 9.9 - - -
4th Quartile Price 32.0 - - -
Avg. Price Top 5 Trades 26.3 - - -
Standard Deviation 21.6 - - -
VOLUME OF TRADES (000'S) 27,947.9 - - -
Customer Buy 13,979.1 - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 593.1 - - -
<= $10MM * - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 10 - - -
Customer Buy 6 - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 6 - - -
<= $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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