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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 93.4 4.2 99.7
Weighted Avg. Price 95.8 4.1 101.2
Avg. Price Bottom 5 Trades 81.1 4.2 89.7
2nd Quartile Price 87.6 * 98.8
3rd Quartile Price 91.6 * 100.3
4th Quartile Price 100.1 * 101.1
Avg. Price Top 5 Trades 101.5 4.2 104.2
Standard Deviation 7.1 1.3 2.5
VOLUME OF TRADES (000'S) 261,517.7 201,194.5 508,173.0
Customer Buy 175,954.7 * 308,980.2
Customer Sell 70,041.3 * 198,647.3
Dealer to Dealer 15,521.7 - 545.4
<= $1MM 10,166.9 - 55,270.3
<= $10MM 82,388.2 - 187,297.1
<= $100MM 168,962.6 201,194.5 265,605.5
> $100MM - - -
NUMBER OF TRADES 60 5 256
Customer Buy 29 * 109
Customer Sell 19 * 114
Dealer to Dealer 12 - 33
<= $1MM 30 - 183
<= $10MM 21 - 60
<= $100MM 9 5 13
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 71.8 * 97.5
Weighted Avg. Price 92.2 * 97.0
Avg. Price Bottom 5 Trades 19.8 * 89.8
2nd Quartile Price 53.4 * 95.4
3rd Quartile Price 76.3 * 98.1
4th Quartile Price 92.0 * 101.6
Avg. Price Top 5 Trades 105.7 * 103.1
Standard Deviation 24.3 * 4.2
VOLUME OF TRADES (000'S) 97,206.6 * 78,554.8
Customer Buy 69,502.6 - 41,066.0
Customer Sell 23,620.6 * 34,988.8
Dealer to Dealer 4,083.4 - *
<= $1MM 10,158.3 * 3,072.1
<= $10MM 57,447.4 - 52,104.8
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 177 * 40
Customer Buy 49 - 22
Customer Sell 80 * 17
Dealer to Dealer 48 - *
<= $1MM 157 * 23
<= $10MM 18 - 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 87.8 - - 94.4
Weighted Avg. Price 92.3 - - 95.9
Avg. Price Bottom 5 Trades 86.6 - - 82.5
2nd Quartile Price 87.3 - - 88.0
3rd Quartile Price 90.0 - - 99.7
4th Quartile Price 90.3 - - 100.5
Avg. Price Top 5 Trades 89.7 - - 101.5
Standard Deviation 4.3 - - 7.1
VOLUME OF TRADES (000'S) 551.2 - - 260,966.5
Customer Buy * - - 175,516.8
Customer Sell * - - 70,039.4
Dealer to Dealer * - - 15,410.3
<= $1MM 551.2 - - 9,615.7
<= $10MM - - - 82,388.2
<= $100MM - - - 168,962.6
> $100MM - - - -
NUMBER OF TRADES 9 - - 51
Customer Buy * - - 25
Customer Sell * - - 17
Dealer to Dealer * - - 9
<= $1MM 9 - - 21
<= $10MM - - - 21
<= $100MM - - - 9
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.9 - - 95.7
Weighted Avg. Price 87.7 - - 95.6
Avg. Price Bottom 5 Trades 19.8 - - 72.7
2nd Quartile Price 51.0 - - 100.1
3rd Quartile Price 70.6 - - 100.8
4th Quartile Price 90.0 - - 102.4
Avg. Price Top 5 Trades 105.0 - - 103.3
Standard Deviation 23.4 - - 14.4
VOLUME OF TRADES (000'S) 41,636.6 - - 55,570.0
Customer Buy 28,112.7 - - 41,389.9
Customer Sell 10,600.5 - - 13,020.1
Dealer to Dealer 2,923.3 - - *
<= $1MM 6,041.7 - - 4,116.6
<= $10MM 18,175.6 - - 39,271.9
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 152 - - 25
Customer Buy 37 - - 12
Customer Sell 70 - - 10
Dealer to Dealer 45 - - *
<= $1MM 145 - - 12
<= $10MM 6 - - 12
<= $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 - - - 4.2
Weighted Avg. Price - - - 4.1
Avg. Price Bottom 5 Trades - - - 4.2
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 4.2
Standard Deviation - - - 1.3
VOLUME OF TRADES (000'S) - - - 201,194.5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 201,194.5
> $100MM - - - -
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 5
> $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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