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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 92.4 - 99.8
Weighted Avg. Price 94.3 - 100.5
Avg. Price Bottom 5 Trades 78.5 - 91.9
2nd Quartile Price 85.0 - 99.7
3rd Quartile Price 95.4 - 100.2
4th Quartile Price 100.2 - 100.6
Avg. Price Top 5 Trades 100.7 - 102.7
Standard Deviation 8.1 - 1.7
VOLUME OF TRADES (000'S) 133,570.6 - 799,744.8
Customer Buy 50,780.7 - 231,304.6
Customer Sell 76,207.8 - 504,274.9
Dealer to Dealer 6,582.0 - 64,165.3
<= $1MM 8,471.5 - 41,450.3
<= $10MM 96,967.8 - 287,941.0
<= $100MM * - 470,353.5
> $100MM - - -
NUMBER OF TRADES 69 - 270
Customer Buy 22 - 81
Customer Sell 34 - 140
Dealer to Dealer 13 - 49
<= $1MM 42 - 169
<= $10MM 25 - 76
<= $100MM * - 25
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.7 * 96.6
Weighted Avg. Price 71.9 * 98.8
Avg. Price Bottom 5 Trades 16.0 * 86.5
2nd Quartile Price 56.3 * 91.4
3rd Quartile Price 74.0 * 99.8
4th Quartile Price 83.6 * 103.4
Avg. Price Top 5 Trades 101.2 * 104.9
Standard Deviation 21.5 * 6.9
VOLUME OF TRADES (000'S) 95,404.1 * 103,403.0
Customer Buy 40,915.4 * 63,862.8
Customer Sell 46,647.4 * 30,207.9
Dealer to Dealer 7,841.4 * *
<= $1MM 8,187.8 * 3,918.1
<= $10MM 60,466.3 - 99,484.9
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 190 * 35
Customer Buy 41 * 22
Customer Sell 72 * 9
Dealer to Dealer 77 * *
<= $1MM 172 * 10
<= $10MM 16 - 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 88.0 - - 94.3
Weighted Avg. Price 97.7 - - 94.3
Avg. Price Bottom 5 Trades 81.7 - - 79.1
2nd Quartile Price 84.0 - - 92.0
3rd Quartile Price 90.0 - - 98.5
4th Quartile Price 92.6 - - 100.3
Avg. Price Top 5 Trades 95.4 - - 100.7
Standard Deviation 6.4 - - 8.1
VOLUME OF TRADES (000'S) 1,874.2 - - 131,696.3
Customer Buy 1,736.3 - - 49,044.4
Customer Sell 5.5 - - 76,202.3
Dealer to Dealer 132.4 - - *
<= $1MM 274.9 - - 8,196.6
<= $10MM * - - 95,368.4
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 21 - - 48
Customer Buy 7 - - 15
Customer Sell 5 - - 29
Dealer to Dealer 9 - - *
<= $1MM 20 - - 22
<= $10MM * - - 24
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.8 * - 91.4
Weighted Avg. Price 78.3 * - 91.0
Avg. Price Bottom 5 Trades 16.8 * - 80.2
2nd Quartile Price 56.3 * - 94.6
3rd Quartile Price 72.6 * - 99.8
4th Quartile Price 82.8 * - 101.7
Avg. Price Top 5 Trades 99.0 * - 100.9
Standard Deviation 20.4 * - 17.4
VOLUME OF TRADES (000'S) 33,486.7 * - 42,373.4
Customer Buy 11,063.7 * - 20,079.7
Customer Sell 14,581.6 * - 22,293.7
Dealer to Dealer 7,841.4 - - -
<= $1MM 6,142.3 - - 2,045.5
<= $10MM 27,344.3 * - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 177 * - 11
Customer Buy 35 * - 5
Customer Sell 65 * - 6
Dealer to Dealer 77 - - -
<= $1MM 167 - - 5
<= $10MM 10 * - *
<= $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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