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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 94.3 - 100.3
Weighted Avg. Price 93.4 - 100.3
Avg. Price Bottom 5 Trades 83.6 - 92.9
2nd Quartile Price 89.7 - 99.6
3rd Quartile Price 95.5 - 100.5
4th Quartile Price 100.4 - 101.2
Avg. Price Top 5 Trades 100.9 - 103.7
Standard Deviation 6.4 - 1.7
VOLUME OF TRADES (000'S) 130,609.6 - 591,605.1
Customer Buy 40,956.2 - 327,141.6
Customer Sell 87,105.5 - 218,365.2
Dealer to Dealer 2,547.9 - 46,098.3
<= $1MM 3,347.0 - 22,872.0
<= $10MM 44,127.5 - 163,491.7
<= $100MM 83,135.2 - 405,241.4
> $100MM - - -
NUMBER OF TRADES 40 - 226
Customer Buy 18 - 102
Customer Sell 16 - 86
Dealer to Dealer 6 - 38
<= $1MM 21 - 166
<= $10MM 14 - 46
<= $100MM 5 - 14
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 70.9 * 100.7
Weighted Avg. Price 88.9 * 102.3
Avg. Price Bottom 5 Trades 15.5 * 94.8
2nd Quartile Price 55.6 * 100.0
3rd Quartile Price 77.5 * 100.7
4th Quartile Price 86.0 * 102.7
Avg. Price Top 5 Trades 99.9 * 105.7
Standard Deviation 20.7 * 3.5
VOLUME OF TRADES (000'S) 36,296.3 * 38,241.2
Customer Buy 34,236.9 * 19,724.9
Customer Sell 1,587.6 * 18,165.0
Dealer to Dealer 471.9 - 351.2
<= $1MM 1,889.8 * 5,970.2
<= $10MM 17,001.5 - 32,271.0
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 149 * 31
Customer Buy 50 * 17
Customer Sell 59 * 9
Dealer to Dealer 40 - 5
<= $1MM 143 * 18
<= $10MM 5 - 13
<= $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 88.3 - * 95.7
Weighted Avg. Price 90.6 - * 93.4
Avg. Price Bottom 5 Trades 85.5 - * 84.9
2nd Quartile Price 86.0 - * 92.4
3rd Quartile Price 89.6 - * 100.0
4th Quartile Price 94.1 - * 100.7
Avg. Price Top 5 Trades 90.3 - * 100.9
Standard Deviation 4.6 - * 6.1
VOLUME OF TRADES (000'S) 33.5 - * 130,218.9
Customer Buy * - * 40,619.3
Customer Sell * - * 87,067.7
Dealer to Dealer * - - *
<= $1MM 33.5 - * 2,956.2
<= $10MM - - - 44,127.5
<= $100MM - - - 83,135.2
> $100MM - - - -
NUMBER OF TRADES 8 - * 29
Customer Buy * - * 14
Customer Sell * - * 11
Dealer to Dealer * - - *
<= $1MM 8 - * 10
<= $10MM - - - 14
<= $100MM - - - 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 70.4 - - *
Weighted Avg. Price 54.1 - - *
Avg. Price Bottom 5 Trades 15.5 - - *
2nd Quartile Price 55.0 - - *
3rd Quartile Price 77.0 - - *
4th Quartile Price 86.0 - - *
Avg. Price Top 5 Trades 99.2 - - *
Standard Deviation 20.5 - - *
VOLUME OF TRADES (000'S) 6,323.3 - - *
Customer Buy 4,263.9 - - *
Customer Sell 1,587.6 - - -
Dealer to Dealer 471.9 - - -
<= $1MM 1,889.8 - - -
<= $10MM * - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 146 - - *
Customer Buy 47 - - *
Customer Sell 59 - - -
Dealer to Dealer 40 - - -
<= $1MM 143 - - -
<= $10MM * - - *
<= $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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