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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 95.8 - 100.5
Weighted Avg. Price 97.0 - 99.3
Avg. Price Bottom 5 Trades 81.0 - 88.6
2nd Quartile Price 90.0 - 100.8
3rd Quartile Price 100.3 - 100.8
4th Quartile Price 100.9 - 100.8
Avg. Price Top 5 Trades 101.9 - 103.9
Standard Deviation 6.9 - 1.3
VOLUME OF TRADES (000'S) 478,913.8 - 1,412,024.4
Customer Buy 217,100.1 - 703,432.7
Customer Sell 216,072.1 - 669,809.4
Dealer to Dealer 45,741.5 - 38,782.3
<= $1MM 11,400.8 - 74,268.1
<= $10MM 244,137.8 - 496,304.9
<= $100MM 223,375.2 - 841,451.4
> $100MM - - -
NUMBER OF TRADES 108 - 1,508
Customer Buy 59 - 1,227
Customer Sell 34 - 168
Dealer to Dealer 15 - 113
<= $1MM 35 - 1,340
<= $10MM 60 - 138
<= $100MM 13 - 30
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 70.2 - 97.8
Weighted Avg. Price 88.2 - 99.0
Avg. Price Bottom 5 Trades 16.9 - 57.7
2nd Quartile Price 48.2 - 98.9
3rd Quartile Price 79.3 - 100.2
4th Quartile Price 89.5 - 101.4
Avg. Price Top 5 Trades 105.9 - 105.2
Standard Deviation 23.9 - 11.6
VOLUME OF TRADES (000'S) 290,506.9 - 188,914.8
Customer Buy 142,573.6 - 112,308.6
Customer Sell 147,748.3 - 50,265.9
Dealer to Dealer 185.0 - 26,340.3
<= $1MM 5,119.6 - 19,377.0
<= $10MM 185,509.6 - 157,537.8
<= $100MM 99,877.8 - *
> $100MM - - -
NUMBER OF TRADES 201 - 94
Customer Buy 89 - 42
Customer Sell 71 - 39
Dealer to Dealer 41 - 13
<= $1MM 160 - 53
<= $10MM 36 - 40
<= $100MM 5 - *
> $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 91.2 - - 96.4
Weighted Avg. Price 94.0 - - 97.0
Avg. Price Bottom 5 Trades 86.6 - - 81.4
2nd Quartile Price 89.5 - - 91.6
3rd Quartile Price 93.0 - - 100.6
4th Quartile Price 97.0 - - 100.9
Avg. Price Top 5 Trades 96.4 - - 101.9
Standard Deviation 5.6 - - 6.8
VOLUME OF TRADES (000'S) 1,280.5 - - 477,633.3
Customer Buy 673.1 - - 216,427.0
Customer Sell * - - 215,470.7
Dealer to Dealer * - - 45,735.6
<= $1MM 1,280.5 - - 10,120.3
<= $10MM - - - 244,137.8
<= $100MM - - - 223,375.2
> $100MM - - - -
NUMBER OF TRADES 13 - - 95
Customer Buy 8 - - 51
Customer Sell * - - 31
Dealer to Dealer * - - 13
<= $1MM 13 - - 22
<= $10MM - - - 60
<= $100MM - - - 13
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.8 * * 94.3
Weighted Avg. Price 77.6 * * 95.3
Avg. Price Bottom 5 Trades 16.9 * * 75.1
2nd Quartile Price 45.0 * * 89.5
3rd Quartile Price 72.4 * * 100.1
4th Quartile Price 84.3 * * 101.1
Avg. Price Top 5 Trades 104.7 * * 102.2
Standard Deviation 23.3 * * 10.5
VOLUME OF TRADES (000'S) 102,583.9 * * 153,373.1
Customer Buy 51,368.4 * * 76,951.0
Customer Sell 51,030.5 * * 76,422.1
Dealer to Dealer 185.0 - - -
<= $1MM 4,048.3 - - *
<= $10MM 40,509.7 * * 110,450.0
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 169 * * 27
Customer Buy 72 * * 15
Customer Sell 56 * * 12
Dealer to Dealer 41 - - -
<= $1MM 157 - - *
<= $10MM 10 * * 21
<= $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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