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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 94.0 * 101.5
Weighted Avg. Price 96.8 * 100.7
Avg. Price Bottom 5 Trades 79.4 * 89.6
2nd Quartile Price 87.3 * 101.8
3rd Quartile Price 97.9 * 101.8
4th Quartile Price 100.4 * 101.8
Avg. Price Top 5 Trades 102.0 * 103.6
Standard Deviation 7.2 * 1.1
VOLUME OF TRADES (000'S) 199,753.8 * 540,925.5
Customer Buy 75,188.4 * 310,632.4
Customer Sell 98,006.7 * 160,748.6
Dealer to Dealer 26,558.7 - 69,544.6
<= $1MM 32,923.4 - 49,250.0
<= $10MM 78,549.4 - 282,430.1
<= $100MM 88,281.0 * 209,245.4
> $100MM - * -
NUMBER OF TRADES 106 * 1,347
Customer Buy 50 * 1,167
Customer Sell 42 * 133
Dealer to Dealer 14 - 47
<= $1MM 72 - 1,263
<= $10MM 29 - 74
<= $100MM 5 * 10
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 65.3 * 95.8
Weighted Avg. Price 65.3 * 100.6
Avg. Price Bottom 5 Trades 3.8 * 56.3
2nd Quartile Price 42.5 * 97.6
3rd Quartile Price 76.3 * 99.9
4th Quartile Price 89.1 * 101.2
Avg. Price Top 5 Trades 106.9 * 105.8
Standard Deviation 29.6 * 14.9
VOLUME OF TRADES (000'S) 121,948.1 * 145,096.6
Customer Buy 54,080.3 * 69,161.2
Customer Sell 62,750.1 - 59,118.3
Dealer to Dealer 5,117.7 - 16,817.1
<= $1MM 13,555.5 * 11,157.5
<= $10MM 72,447.2 - 68,190.0
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 141 * 57
Customer Buy 58 * 27
Customer Sell 61 - 23
Dealer to Dealer 22 - 7
<= $1MM 112 * 30
<= $10MM 27 - 24
<= $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 87.6 * - 94.8
Weighted Avg. Price 91.3 * - 96.9
Avg. Price Bottom 5 Trades 81.1 * - 82.3
2nd Quartile Price 82.0 * - 87.5
3rd Quartile Price 91.0 * - 98.3
4th Quartile Price 98.1 * - 100.7
Avg. Price Top 5 Trades 95.5 * - 102.0
Standard Deviation 8.9 * - 6.7
VOLUME OF TRADES (000'S) 1,419.4 * - 194,705.5
Customer Buy * * - 73,195.1
Customer Sell 710.9 * - 94,957.4
Dealer to Dealer * - - 26,553.0
<= $1MM 1,419.4 - - 31,504.0
<= $10MM - * - 74,920.4
<= $100MM - - - 88,281.0
> $100MM - - - -
NUMBER OF TRADES 11 * - 92
Customer Buy * * - 47
Customer Sell 5 * - 35
Dealer to Dealer * - - 10
<= $1MM 11 - - 61
<= $10MM - * - 26
<= $100MM - - - 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 59.5 - - 91.3
Weighted Avg. Price 34.3 - - 95.6
Avg. Price Bottom 5 Trades 3.8 - - 69.7
2nd Quartile Price 41.0 - - 88.1
3rd Quartile Price 68.0 - - 99.8
4th Quartile Price 83.0 - - 101.6
Avg. Price Top 5 Trades 106.7 - - 102.4
Standard Deviation 29.2 - - 12.5
VOLUME OF TRADES (000'S) 60,330.6 - - 61,617.5
Customer Buy 22,795.5 - - 31,284.8
Customer Sell 36,417.4 - - 26,332.7
Dealer to Dealer 1,117.7 - - *
<= $1MM 8,314.9 - - 5,240.5
<= $10MM 31,070.2 - - 41,377.0
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 115 - - 26
Customer Buy 40 - - 18
Customer Sell 55 - - 6
Dealer to Dealer 20 - - *
<= $1MM 101 - - 11
<= $10MM 13 - - 14
<= $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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