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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 93.8 - 99.4
Weighted Avg. Price 96.4 - 99.7
Avg. Price Bottom 5 Trades 81.0 - 84.1
2nd Quartile Price 89.1 - 99.6
3rd Quartile Price 93.2 - 99.9
4th Quartile Price 100.0 - 100.4
Avg. Price Top 5 Trades 103.0 - 104.4
Standard Deviation 5.9 - 2.8
VOLUME OF TRADES (000'S) 121,071.2 - 924,714.2
Customer Buy 64,794.5 - 375,938.8
Customer Sell 48,071.3 - 487,511.5
Dealer to Dealer 8,205.4 - 61,263.9
<= $1MM 24,237.6 - 65,867.7
<= $10MM 96,833.6 - 404,366.8
<= $100MM - - 454,479.6
> $100MM - - -
NUMBER OF TRADES 121 - 560
Customer Buy 53 - 354
Customer Sell 45 - 146
Dealer to Dealer 23 - 60
<= $1MM 88 - 425
<= $10MM 33 - 116
<= $100MM - - 19
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 62.8 * 508.2
Weighted Avg. Price 83.6 * 104.6
Avg. Price Bottom 5 Trades 8.7 * 79.8
2nd Quartile Price 41.4 * 92.4
3rd Quartile Price 67.5 * 98.6
4th Quartile Price 86.0 * 100.3
Avg. Price Top 5 Trades 106.6 * 3,402.4
Standard Deviation 27.8 * 2,000.1
VOLUME OF TRADES (000'S) 179,447.5 * 97,832.4
Customer Buy 86,114.5 * 55,251.6
Customer Sell 73,330.6 - 26,072.9
Dealer to Dealer 20,002.4 - 16,507.9
<= $1MM 13,521.0 * 10,539.3
<= $10MM 114,213.2 - 87,293.1
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 242 * 48
Customer Buy 90 * 28
Customer Sell 94 - 13
Dealer to Dealer 58 - 7
<= $1MM 203 * 27
<= $10MM 35 - 21
<= $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 91.4 - * 95.8
Weighted Avg. Price 91.7 - * 97.2
Avg. Price Bottom 5 Trades 84.4 - * 81.8
2nd Quartile Price 88.8 - * 91.5
3rd Quartile Price 92.2 - * 99.2
4th Quartile Price 93.2 - * 100.6
Avg. Price Top 5 Trades 99.6 - * 101.8
Standard Deviation 4.4 - * 6.3
VOLUME OF TRADES (000'S) 18,018.6 - * 103,025.3
Customer Buy 5,924.5 - * 58,842.7
Customer Sell 5,577.4 - - 42,493.9
Dealer to Dealer 6,516.7 - - *
<= $1MM 11,685.7 - * 12,524.5
<= $10MM * - - 90,500.8
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 54 - * 66
Customer Buy 13 - * 39
Customer Sell 21 - - 24
Dealer to Dealer 20 - - *
<= $1MM 50 - * 37
<= $10MM * - - 29
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 59.0 * * 99.2
Weighted Avg. Price 81.8 * * 99.5
Avg. Price Bottom 5 Trades 10.0 * * 97.2
2nd Quartile Price 38.3 * * 99.0
3rd Quartile Price 63.0 * * 99.3
4th Quartile Price 82.5 * * 100.6
Avg. Price Top 5 Trades 105.6 * * 101.3
Standard Deviation 26.3 * * 1.7
VOLUME OF TRADES (000'S) 64,483.7 * * 73,104.8
Customer Buy 34,532.0 * * 34,193.2
Customer Sell 26,114.3 * * 32,746.6
Dealer to Dealer 3,837.4 - * *
<= $1MM 11,812.6 - * *
<= $10MM 41,419.1 - * 59,866.1
<= $100MM * * - *
> $100MM - - - -
NUMBER OF TRADES 213 * * 23
Customer Buy 79 * * 9
Customer Sell 81 * * 11
Dealer to Dealer 53 - * *
<= $1MM 199 - * *
<= $10MM 13 - * 19
<= $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 Listor 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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