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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 92.5 * 99.7
Weighted Avg. Price 98.4 * 100.2
Avg. Price Bottom 5 Trades 81.2 * 89.7
2nd Quartile Price 85.6 * 99.7
3rd Quartile Price 94.3 * 100.2
4th Quartile Price 99.1 * 100.7
Avg. Price Top 5 Trades 102.0 * 103.9
Standard Deviation 7.1 * 2.2
VOLUME OF TRADES (000'S) 111,435.1 * 903,150.4
Customer Buy 59,993.3 * 518,311.8
Customer Sell 49,680.7 * 371,834.6
Dealer to Dealer 1,761.1 - 13,004.0
<= $1MM 9,845.6 - 69,302.7
<= $10MM 60,107.1 - 491,653.1
<= $100MM * - 342,194.5
> $100MM - * -
NUMBER OF TRADES 83 * 389
Customer Buy 39 * 203
Customer Sell 25 * 154
Dealer to Dealer 19 - 32
<= $1MM 65 - 248
<= $10MM 15 - 126
<= $100MM * - 15
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 70.3 * 346.1
Weighted Avg. Price 88.6 * 47.2
Avg. Price Bottom 5 Trades 2.3 * 10.9
2nd Quartile Price 47.6 * 97.1
3rd Quartile Price 77.0 * 99.7
4th Quartile Price 90.0 * 101.9
Avg. Price Top 5 Trades 109.3 * 4,036.5
Standard Deviation 25.9 * 1,456.2
VOLUME OF TRADES (000'S) 82,988.7 * 544,954.9
Customer Buy 57,073.7 - 272,283.1
Customer Sell 25,611.5 * 260,396.1
Dealer to Dealer 303.5 - *
<= $1MM 9,129.1 - 6,948.0
<= $10MM 59,831.4 - 209,466.0
<= $100MM * * *
> $100MM - - *
NUMBER OF TRADES 152 * 77
Customer Buy 60 - 38
Customer Sell 63 * 35
Dealer to Dealer 29 - *
<= $1MM 135 - 19
<= $10MM 16 - 52
<= $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 88.5 - * 94.1
Weighted Avg. Price 90.8 - * 98.4
Avg. Price Bottom 5 Trades 82.3 - * 82.0
2nd Quartile Price 84.0 - * 89.2
3rd Quartile Price 89.0 - * 98.0
4th Quartile Price 94.6 - * 100.0
Avg. Price Top 5 Trades 96.4 - * 102.0
Standard Deviation 5.9 - * 7.0
VOLUME OF TRADES (000'S) 292.9 - * 111,108.3
Customer Buy * - * 59,845.6
Customer Sell 63.6 - - 49,617.1
Dealer to Dealer 115.4 - - 1,645.6
<= $1MM 292.9 - * 9,518.8
<= $10MM - - - 60,107.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 25 - * 55
Customer Buy * - * 32
Customer Sell 10 - - 15
Dealer to Dealer 11 - - 8
<= $1MM 25 - * 37
<= $10MM - - - 15
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.6 - * 98.4
Weighted Avg. Price 64.9 - * 98.2
Avg. Price Bottom 5 Trades 2.3 - * 96.2
2nd Quartile Price 44.5 - * 98.3
3rd Quartile Price 75.9 - * 99.9
4th Quartile Price 87.8 - * 100.5
Avg. Price Top 5 Trades 109.3 - * 100.6
Standard Deviation 25.6 - * 2.4
VOLUME OF TRADES (000'S) 20,641.1 - * 57,208.0
Customer Buy 11,292.8 - * 40,641.2
Customer Sell 9,044.7 - - 16,566.8
Dealer to Dealer 303.5 - - -
<= $1MM 8,129.1 - - *
<= $10MM * - * 42,179.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 138 - * 13
Customer Buy 51 - * 8
Customer Sell 58 - - 5
Dealer to Dealer 29 - - -
<= $1MM 134 - - *
<= $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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