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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 93.6 * 98.6
Weighted Avg. Price 94.1 * 97.5
Avg. Price Bottom 5 Trades 69.5 * 81.1
2nd Quartile Price 90.8 * 98.6
3rd Quartile Price 96.8 * 100.0
4th Quartile Price 100.1 * 100.6
Avg. Price Top 5 Trades 100.8 * 102.8
Standard Deviation 8.6 * 4.1
VOLUME OF TRADES (000'S) 201,065.1 * 585,193.7
Customer Buy 129,001.5 * 378,834.9
Customer Sell 47,482.1 - 161,156.4
Dealer to Dealer 24,581.6 * 45,202.3
<= $1MM 6,037.5 - 27,483.6
<= $10MM 122,375.0 - 329,796.8
<= $100MM * * 227,913.3
> $100MM - - -
NUMBER OF TRADES 77 * 251
Customer Buy 42 * 126
Customer Sell 18 - 64
Dealer to Dealer 17 * 61
<= $1MM 46 - 165
<= $10MM 29 - 76
<= $100MM * * 10
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 79.2 - 98.1
Weighted Avg. Price 93.2 - 100.5
Avg. Price Bottom 5 Trades 30.8 - 91.7
2nd Quartile Price 75.0 - 96.0
3rd Quartile Price 80.8 - 100.0
4th Quartile Price 91.0 - 101.1
Avg. Price Top 5 Trades 108.2 - 103.0
Standard Deviation 18.8 - 4.2
VOLUME OF TRADES (000'S) 71,295.0 - 112,541.6
Customer Buy 45,283.0 - 78,857.2
Customer Sell 25,912.1 - 31,662.3
Dealer to Dealer 99.9 - 2,022.1
<= $1MM 6,590.0 - 7,164.0
<= $10MM 34,081.6 - 83,212.6
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 84 - 44
Customer Buy 31 - 22
Customer Sell 36 - 16
Dealer to Dealer 17 - 6
<= $1MM 74 - 19
<= $10MM 8 - 24
<= $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 91.1 - - 95.3
Weighted Avg. Price 93.0 - - 94.1
Avg. Price Bottom 5 Trades 84.9 - - 69.5
2nd Quartile Price 87.4 - - 98.4
3rd Quartile Price 92.0 - - 100.0
4th Quartile Price 94.8 - - 100.4
Avg. Price Top 5 Trades 97.5 - - 100.8
Standard Deviation 4.5 - - 10.3
VOLUME OF TRADES (000'S) 968.5 - - 200,096.6
Customer Buy 772.0 - - 128,229.5
Customer Sell 155.8 - - 47,326.2
Dealer to Dealer 40.7 - - 24,540.8
<= $1MM 968.5 - - 5,069.0
<= $10MM - - - 122,375.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 32 - - 45
Customer Buy 11 - - 31
Customer Sell 11 - - 7
Dealer to Dealer 10 - - 7
<= $1MM 32 - - 14
<= $10MM - - - 29
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 78.2 - * 91.4
Weighted Avg. Price 98.1 - * 86.5
Avg. Price Bottom 5 Trades 30.8 - * 89.5
2nd Quartile Price 74.4 - * 98.2
3rd Quartile Price 80.5 - * 100.2
4th Quartile Price 90.3 - * 101.1
Avg. Price Top 5 Trades 108.0 - * 94.7
Standard Deviation 19.1 - * 12.6
VOLUME OF TRADES (000'S) 42,961.9 - * 25,213.6
Customer Buy 24,060.2 - * *
Customer Sell 18,801.9 - - *
Dealer to Dealer 99.9 - - -
<= $1MM 6,050.0 - - *
<= $10MM * - * 24,673.6
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 77 - * 6
Customer Buy 26 - * *
Customer Sell 34 - - *
Dealer to Dealer 17 - - -
<= $1MM 73 - - *
<= $10MM * - * 5
<= $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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