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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 94.9 - 99.8
Weighted Avg. Price 95.8 - 100.1
Avg. Price Bottom 5 Trades 84.2 - 89.0
2nd Quartile Price 90.3 - 99.8
3rd Quartile Price 100.0 - 100.2
4th Quartile Price 100.6 - 100.8
Avg. Price Top 5 Trades 101.7 - 102.7
Standard Deviation 6.6 - 2.3
VOLUME OF TRADES (000'S) 168,252.0 - 236,582.4
Customer Buy 118,966.6 - 166,721.6
Customer Sell 33,209.3 - 66,640.7
Dealer to Dealer 16,076.1 - 3,220.2
<= $1MM 3,350.3 - 30,208.5
<= $10MM 80,403.8 - 160,488.9
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 35 - 191
Customer Buy 20 - 115
Customer Sell 10 - 52
Dealer to Dealer 5 - 24
<= $1MM 13 - 144
<= $10MM 19 - 44
<= $100MM * - *
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 72.0 * 87.0
Weighted Avg. Price 91.9 * 97.8
Avg. Price Bottom 5 Trades 15.5 * 32.5
2nd Quartile Price 59.5 * 89.0
3rd Quartile Price 79.0 * 97.6
4th Quartile Price 90.4 * 100.8
Avg. Price Top 5 Trades 100.5 * 103.1
Standard Deviation 24.3 * 29.3
VOLUME OF TRADES (000'S) 49,109.8 * 98,962.6
Customer Buy 28,947.1 * 51,485.7
Customer Sell 19,900.5 * 32,332.2
Dealer to Dealer 262.2 - 15,144.7
<= $1MM 4,796.0 * 2,684.3
<= $10MM 44,313.8 - 64,436.4
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 80 * 36
Customer Buy 34 * 22
Customer Sell 26 * 8
Dealer to Dealer 20 - 6
<= $1MM 68 * 12
<= $10MM 12 - 22
<= $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 91.5 - - 95.6
Weighted Avg. Price 96.5 - - 95.8
Avg. Price Bottom 5 Trades 91.5 - - 84.2
2nd Quartile Price * - - 91.1
3rd Quartile Price * - - 100.2
4th Quartile Price * - - 100.6
Avg. Price Top 5 Trades 91.5 - - 101.7
Standard Deviation 2.5 - - 6.9
VOLUME OF TRADES (000'S) 560.2 - - 167,691.8
Customer Buy * - - 118,417.0
Customer Sell * - - 33,201.7
Dealer to Dealer * - - *
<= $1MM 560.2 - - 2,790.1
<= $10MM - - - 80,403.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 6 - - 29
Customer Buy * - - 19
Customer Sell * - - 6
Dealer to Dealer * - - *
<= $1MM 6 - - 7
<= $10MM - - - 19
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.6 - * 94.0
Weighted Avg. Price 88.2 - * 91.4
Avg. Price Bottom 5 Trades 15.5 - * 86.5
2nd Quartile Price 55.3 - * 88.9
3rd Quartile Price 74.0 - * 99.5
4th Quartile Price 84.5 - * 101.3
Avg. Price Top 5 Trades 96.7 - * 100.5
Standard Deviation 24.0 - * 8.9
VOLUME OF TRADES (000'S) 10,061.5 - * 29,353.6
Customer Buy 9,203.0 - * 14,896.8
Customer Sell 596.3 - * 14,456.8
Dealer to Dealer 262.2 - - -
<= $1MM 2,375.2 - - *
<= $10MM * - * 26,932.9
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 67 - * 11
Customer Buy 27 - * 6
Customer Sell 20 - * 5
Dealer to Dealer 20 - - -
<= $1MM 65 - - *
<= $10MM * - * 8
<= $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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