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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 94.0 * 99.8
Weighted Avg. Price 91.9 * 100.2
Avg. Price Bottom 5 Trades 76.0 * 90.5
2nd Quartile Price 92.1 * 99.2
3rd Quartile Price 99.0 * 100.2
4th Quartile Price 100.0 * 100.8
Avg. Price Top 5 Trades 100.9 * 104.6
Standard Deviation 8.7 * 2.1
VOLUME OF TRADES (000'S) 121,552.8 * 725,976.6
Customer Buy 89,474.0 - 315,956.4
Customer Sell 28,635.9 * 409,613.2
Dealer to Dealer * - 407.0
<= $1MM 6,513.6 - 36,193.8
<= $10MM 72,015.3 - 291,295.6
<= $100MM * - 398,487.2
> $100MM - * -
NUMBER OF TRADES 42 * 380
Customer Buy 26 - 176
Customer Sell 13 * 156
Dealer to Dealer * - 48
<= $1MM 22 - 273
<= $10MM 17 - 88
<= $100MM * - 19
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 69.0 6.3 95.2
Weighted Avg. Price 84.7 4.0 100.9
Avg. Price Bottom 5 Trades 14.4 1.2 51.0
2nd Quartile Price 51.4 0.6 99.8
3rd Quartile Price 76.0 5.0 100.4
4th Quartile Price 88.0 8.0 101.3
Avg. Price Top 5 Trades 107.1 14.5 106.0
Standard Deviation 24.4 9.0 20.1
VOLUME OF TRADES (000'S) 88,374.3 1,014.2 152,137.0
Customer Buy 51,176.0 499.1 72,053.4
Customer Sell 36,653.4 499.1 71,908.8
Dealer to Dealer 544.9 * *
<= $1MM 4,149.2 1,014.2 6,492.7
<= $10MM 84,225.2 - 63,674.8
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 134 13 46
Customer Buy 76 6 25
Customer Sell 35 6 17
Dealer to Dealer 23 * *
<= $1MM 109 13 19
<= $10MM 25 - 25
<= $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 93.6 - - 94.1
Weighted Avg. Price 100.9 - - 91.7
Avg. Price Bottom 5 Trades 88.9 - - 76.0
2nd Quartile Price 92.5 - - 92.5
3rd Quartile Price 95.0 - - 99.3
4th Quartile Price 101.8 - - 100.0
Avg. Price Top 5 Trades 98.4 - - 100.3
Standard Deviation 6.6 - - 9.3
VOLUME OF TRADES (000'S) 2,065.2 - - 119,487.6
Customer Buy 1,388.5 - - 88,085.6
Customer Sell * - - 27,961.0
Dealer to Dealer * - - *
<= $1MM 2,065.2 - - 4,448.4
<= $10MM - - - 72,015.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 9 - - 33
Customer Buy 6 - - 20
Customer Sell * - - 11
Dealer to Dealer * - - *
<= $1MM 9 - - 13
<= $10MM - - - 17
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.8 - - 92.8
Weighted Avg. Price 73.7 - - 90.8
Avg. Price Bottom 5 Trades 14.4 - - 78.7
2nd Quartile Price 45.0 - - 95.7
3rd Quartile Price 74.5 - - 98.5
4th Quartile Price 85.0 - - 100.0
Avg. Price Top 5 Trades 104.3 - - 100.3
Standard Deviation 23.8 - - 13.0
VOLUME OF TRADES (000'S) 31,567.7 - - 56,806.6
Customer Buy 18,464.2 - - 32,711.8
Customer Sell 12,558.6 - - 24,094.8
Dealer to Dealer 544.9 - - -
<= $1MM 3,421.3 - - *
<= $10MM 28,146.4 - - 56,078.8
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 118 - - 16
Customer Buy 67 - - 9
Customer Sell 28 - - 7
Dealer to Dealer 23 - - -
<= $1MM 108 - - *
<= $10MM 10 - - 15
<= $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 6.3 - - -
Weighted Avg. Price 4.0 - - -
Avg. Price Bottom 5 Trades 1.2 - - -
2nd Quartile Price 0.6 - - -
3rd Quartile Price 5.0 - - -
4th Quartile Price 8.0 - - -
Avg. Price Top 5 Trades 14.5 - - -
Standard Deviation 9.0 - - -
VOLUME OF TRADES (000'S) 1,014.2 - - -
Customer Buy 499.1 - - -
Customer Sell 499.1 - - -
Dealer to Dealer * - - -
<= $1MM 1,014.2 - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 13 - - -
Customer Buy 6 - - -
Customer Sell 6 - - -
Dealer to Dealer * - - -
<= $1MM 13 - - -
<= $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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