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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 * 99.7
Weighted Avg. Price 95.1 * 99.4
Avg. Price Bottom 5 Trades 77.3 * 84.9
2nd Quartile Price 89.6 * 99.1
3rd Quartile Price 98.3 * 100.1
4th Quartile Price 100.8 * 100.9
Avg. Price Top 5 Trades 104.9 * 103.9
Standard Deviation 7.5 * 2.5
VOLUME OF TRADES (000'S) 357,748.1 * 512,322.9
Customer Buy 175,605.6 * 251,067.2
Customer Sell 154,512.1 - 225,220.3
Dealer to Dealer 27,630.4 - 36,035.5
<= $1MM 12,772.5 - 36,669.3
<= $10MM 221,700.3 - 272,338.0
<= $100MM 123,275.3 - 203,315.6
> $100MM - * -
NUMBER OF TRADES 112 * 366
Customer Buy 52 * 88
Customer Sell 51 - 171
Dealer to Dealer 9 - 107
<= $1MM 52 - 287
<= $10MM 51 - 66
<= $100MM 9 - 13
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 68.1 * 643.3
Weighted Avg. Price 91.0 * 101.2
Avg. Price Bottom 5 Trades 21.0 * 58.6
2nd Quartile Price 42.8 * 95.7
3rd Quartile Price 76.8 * 100.6
4th Quartile Price 90.3 * 101.7
Avg. Price Top 5 Trades 101.7 * 3,403.1
Standard Deviation 25.9 * 2,301.6
VOLUME OF TRADES (000'S) 44,385.5 * 65,248.8
Customer Buy 22,449.6 * 22,255.1
Customer Sell 21,301.7 * 28,647.7
Dealer to Dealer 634.2 - 14,346.0
<= $1MM 14,601.5 - 7,180.9
<= $10MM 29,784.0 * 46,067.9
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 142 * 36
Customer Buy 40 * 14
Customer Sell 66 * 16
Dealer to Dealer 36 - 6
<= $1MM 131 - 20
<= $10MM 11 * 15
<= $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 96.3 - 92.6 94.8
Weighted Avg. Price 98.5 - 92.6 95.1
Avg. Price Bottom 5 Trades 90.3 - 92.6 77.3
2nd Quartile Price 92.8 - * 87.4
3rd Quartile Price 96.5 - * 100.3
4th Quartile Price 99.8 - * 100.9
Avg. Price Top 5 Trades 103.3 - 92.6 102.4
Standard Deviation 5.6 - 2.8 8.0
VOLUME OF TRADES (000'S) 3,516.2 - 2,353.8 351,878.1
Customer Buy 972.5 - * 172,792.9
Customer Sell 2,530.2 - * 151,468.3
Dealer to Dealer * - - 27,616.9
<= $1MM 3,516.2 - * 8,624.0
<= $10MM - - * 219,978.9
<= $100MM - - - 123,275.3
> $100MM - - - -
NUMBER OF TRADES 20 - 5 87
Customer Buy 6 - * 44
Customer Sell 10 - * 38
Dealer to Dealer * - - 5
<= $1MM 20 - * 28
<= $10MM - - * 50
<= $100MM - - - 9
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.1 - - 95.1
Weighted Avg. Price 84.6 - - 93.5
Avg. Price Bottom 5 Trades 21.0 - - 84.4
2nd Quartile Price 41.0 - - 100.3
3rd Quartile Price 75.3 - - 100.6
4th Quartile Price 87.9 - - 100.7
Avg. Price Top 5 Trades 99.5 - - 101.1
Standard Deviation 25.3 - - 12.4
VOLUME OF TRADES (000'S) 12,452.8 - - 31,932.7
Customer Buy 3,641.9 - - 18,807.7
Customer Sell 8,176.8 - - 13,125.0
Dealer to Dealer 634.2 - - -
<= $1MM 12,452.8 - - *
<= $10MM - - - 29,784.0
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 128 - - 14
Customer Buy 31 - - 9
Customer Sell 61 - - 5
Dealer to Dealer 36 - - -
<= $1MM 128 - - *
<= $10MM - - - 11
<= $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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