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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 94.2 2.1 98.9
Weighted Avg. Price 96.7 2.9 99.8
Avg. Price Bottom 5 Trades 79.5 2.1 72.2
2nd Quartile Price 88.1 * 98.6
3rd Quartile Price 97.8 * 100.2
4th Quartile Price 100.3 * 100.9
Avg. Price Top 5 Trades 104.0 2.1 103.2
Standard Deviation 8.0 1.6 4.4
VOLUME OF TRADES (000'S) 199,851.2 171,310.3 711,041.1
Customer Buy 108,197.3 * 340,531.3
Customer Sell 90,992.7 - 326,384.9
Dealer to Dealer 661.2 * 44,125.0
<= $1MM 7,058.9 - 34,806.6
<= $10MM 131,615.0 * 388,842.2
<= $100MM * * 287,392.3
> $100MM - * -
NUMBER OF TRADES 58 5 342
Customer Buy 25 * 144
Customer Sell 27 - 139
Dealer to Dealer 6 * 59
<= $1MM 24 - 230
<= $10MM 30 * 100
<= $100MM * * 12
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 76.8 * 201.6
Weighted Avg. Price 83.5 * 98.6
Avg. Price Bottom 5 Trades 24.2 * 63.9
2nd Quartile Price 70.8 * 96.8
3rd Quartile Price 80.9 * 100.1
4th Quartile Price 91.8 * 100.8
Avg. Price Top 5 Trades 100.7 * 1,366.6
Standard Deviation 20.8 * 813.9
VOLUME OF TRADES (000'S) 110,557.1 * 233,423.5
Customer Buy 75,198.8 * 103,344.4
Customer Sell 31,471.3 * 93,711.4
Dealer to Dealer 3,886.9 - 36,367.7
<= $1MM 9,877.4 * 7,039.6
<= $10MM 74,948.8 * 148,383.9
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 115 * 60
Customer Buy 44 * 33
Customer Sell 36 * 21
Dealer to Dealer 35 - 6
<= $1MM 91 * 21
<= $10MM 22 * 35
<= $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 88.9 - - 95.8
Weighted Avg. Price 97.5 - - 96.7
Avg. Price Bottom 5 Trades 84.2 - - 79.5
2nd Quartile Price 86.2 - - 95.3
3rd Quartile Price 88.1 - - 99.3
4th Quartile Price 97.9 - - 100.6
Avg. Price Top 5 Trades 95.2 - - 104.0
Standard Deviation 5.9 - - 7.9
VOLUME OF TRADES (000'S) 997.9 - - 198,853.3
Customer Buy * - - 107,877.4
Customer Sell * - - 90,975.9
Dealer to Dealer 661.2 - - -
<= $1MM 997.9 - - 6,061.0
<= $10MM - - - 131,615.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 13 - - 45
Customer Buy * - - 22
Customer Sell * - - 23
Dealer to Dealer 6 - - -
<= $1MM 13 - - 11
<= $10MM - - - 30
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 74.0 - * 99.1
Weighted Avg. Price 75.2 - * 99.4
Avg. Price Bottom 5 Trades 24.2 - * 97.9
2nd Quartile Price 69.5 - * 97.9
3rd Quartile Price 79.5 - * 99.2
4th Quartile Price 91.0 - * 100.2
Avg. Price Top 5 Trades 98.5 - * 100.6
Standard Deviation 20.5 - * 1.5
VOLUME OF TRADES (000'S) 72,705.5 - * 36,706.2
Customer Buy 45,509.6 - - 29,689.2
Customer Sell 23,309.0 - * *
Dealer to Dealer 3,886.9 - - -
<= $1MM 8,917.1 - - *
<= $10MM 38,057.5 - * 35,746.0
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 102 - * 12
Customer Buy 35 - - 9
Customer Sell 32 - * *
Dealer to Dealer 35 - - -
<= $1MM 89 - - *
<= $10MM 11 - * 10
<= $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 - - - 2.1
Weighted Avg. Price - - - 2.9
Avg. Price Bottom 5 Trades - - - 2.1
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 2.1
Standard Deviation - - - 1.6
VOLUME OF TRADES (000'S) - - - 171,310.3
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 5
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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