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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 93.0 * 99.8
Weighted Avg. Price 88.8 * 100.7
Avg. Price Bottom 5 Trades 66.5 * 86.2
2nd Quartile Price 86.8 * 99.8
3rd Quartile Price 99.2 * 100.4
4th Quartile Price 100.2 * 101.2
Avg. Price Top 5 Trades 104.3 * 104.0
Standard Deviation 11.3 * 3.2
VOLUME OF TRADES (000'S) 166,949.1 * 781,938.4
Customer Buy 120,628.2 * 351,173.5
Customer Sell 46,305.8 * 326,373.8
Dealer to Dealer 15.0 - 104,391.1
<= $1MM 12,250.8 - 30,559.4
<= $10MM 97,606.3 - 260,993.2
<= $100MM * * 490,385.8
> $100MM - * -
NUMBER OF TRADES 70 * 218
Customer Buy 33 * 96
Customer Sell 32 * 82
Dealer to Dealer 5 - 40
<= $1MM 44 - 128
<= $10MM 22 - 72
<= $100MM * * 18
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 74.8 * 98.5
Weighted Avg. Price 97.4 * 100.5
Avg. Price Bottom 5 Trades 29.6 * 91.9
2nd Quartile Price 60.0 * 94.6
3rd Quartile Price 80.0 * 100.3
4th Quartile Price 95.6 * 101.3
Avg. Price Top 5 Trades 105.9 * 104.1
Standard Deviation 23.2 * 4.2
VOLUME OF TRADES (000'S) 86,458.8 * 88,900.6
Customer Buy 37,142.3 * 27,612.1
Customer Sell 48,459.3 * 60,048.4
Dealer to Dealer 857.2 - *
<= $1MM 7,273.4 - 8,184.5
<= $10MM 49,069.4 - 33,816.1
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 113 * 35
Customer Buy 28 * 7
Customer Sell 44 * 24
Dealer to Dealer 41 - *
<= $1MM 97 - 21
<= $10MM 14 - 11
<= $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 93.9 - - 92.6
Weighted Avg. Price 98.8 - - 88.6
Avg. Price Bottom 5 Trades 83.4 - - 66.5
2nd Quartile Price 87.0 - - 88.4
3rd Quartile Price 98.4 - - 99.4
4th Quartile Price 103.7 - - 100.2
Avg. Price Top 5 Trades 103.2 - - 102.2
Standard Deviation 8.4 - - 12.4
VOLUME OF TRADES (000'S) 2,814.4 - - 164,134.7
Customer Buy 2,366.6 - - 118,261.6
Customer Sell 432.7 - - 45,873.1
Dealer to Dealer 15.0 - - -
<= $1MM 1,643.4 - - 10,607.5
<= $10MM * - - 96,435.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 21 - - 49
Customer Buy 7 - - 26
Customer Sell 9 - - 23
Dealer to Dealer 5 - - -
<= $1MM 20 - - 24
<= $10MM * - - 21
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 72.0 - - 94.6
Weighted Avg. Price 95.8 - - 98.0
Avg. Price Bottom 5 Trades 29.6 - - 82.7
2nd Quartile Price 51.3 - - 100.1
3rd Quartile Price 78.5 - - 100.8
4th Quartile Price 92.7 - - 101.2
Avg. Price Top 5 Trades 105.0 - - 101.6
Standard Deviation 22.9 - - 14.7
VOLUME OF TRADES (000'S) 24,623.8 - - 61,835.1
Customer Buy 14,789.8 - - 22,352.5
Customer Sell 9,166.8 - - 39,292.6
Dealer to Dealer 667.2 - - *
<= $1MM 5,893.4 - - *
<= $10MM 18,730.3 - - 30,339.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 99 - - 14
Customer Buy 23 - - 5
Customer Sell 36 - - 8
Dealer to Dealer 40 - - *
<= $1MM 94 - - *
<= $10MM 5 - - 9
<= $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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