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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 91.8 - 100.3
Weighted Avg. Price 100.1 - 100.7
Avg. Price Bottom 5 Trades 68.8 - 93.1
2nd Quartile Price 86.4 - 100.1
3rd Quartile Price 94.0 - 100.5
4th Quartile Price 100.6 - 101.0
Avg. Price Top 5 Trades 101.8 - 105.2
Standard Deviation 10.0 - 1.7
VOLUME OF TRADES (000'S) 145,761.4 - 537,046.8
Customer Buy 104,762.1 - 308,273.8
Customer Sell 40,862.8 - 218,615.3
Dealer to Dealer 136.5 - 10,157.7
<= $1MM 10,425.3 - 58,975.6
<= $10MM 73,710.0 - 327,170.1
<= $100MM * - 150,901.0
> $100MM - - -
NUMBER OF TRADES 86 - 444
Customer Buy 36 - 180
Customer Sell 34 - 222
Dealer to Dealer 16 - 42
<= $1MM 60 - 329
<= $10MM 22 - 106
<= $100MM * - 9
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 63.9 * 97.2
Weighted Avg. Price 83.7 * 98.4
Avg. Price Bottom 5 Trades 17.0 * 88.7
2nd Quartile Price 41.2 * 95.4
3rd Quartile Price 61.0 * 97.3
4th Quartile Price 83.3 * 101.4
Avg. Price Top 5 Trades 251.0 * 102.3
Standard Deviation 58.1 * 4.4
VOLUME OF TRADES (000'S) 11,402.7 * 46,338.0
Customer Buy 6,391.1 * 26,529.3
Customer Sell 4,632.2 - 18,846.9
Dealer to Dealer 379.5 - *
<= $1MM 7,219.2 * 11,328.5
<= $10MM * - 35,009.6
<= $100MM - - -
> $100MM - - -
NUMBER OF TRADES 223 * 38
Customer Buy 74 * 17
Customer Sell 88 - 19
Dealer to Dealer 61 - *
<= $1MM 220 * 24
<= $10MM * - 14
<= $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 83.9 - - 97.4
Weighted Avg. Price 88.7 - - 100.1
Avg. Price Bottom 5 Trades 69.8 - - 82.4
2nd Quartile Price 80.1 - - 96.2
3rd Quartile Price 86.2 - - 100.5
4th Quartile Price 90.6 - - 100.9
Avg. Price Top 5 Trades 95.4 - - 101.8
Standard Deviation 8.8 - - 6.3
VOLUME OF TRADES (000'S) 312.8 - - 145,448.6
Customer Buy * - - 104,735.0
Customer Sell 149.1 - - 40,713.6
Dealer to Dealer 136.5 - - -
<= $1MM 312.8 - - 10,112.5
<= $10MM - - - 73,710.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 36 - - 50
Customer Buy * - - 32
Customer Sell 16 - - 18
Dealer to Dealer 16 - - -
<= $1MM 36 - - 24
<= $10MM - - - 22
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 62.8 - - 95.3
Weighted Avg. Price 65.6 - - 95.2
Avg. Price Bottom 5 Trades 17.0 - - 92.9
2nd Quartile Price 41.0 - - 99.6
3rd Quartile Price 57.1 - - 100.6
4th Quartile Price 82.1 - - 102.3
Avg. Price Top 5 Trades 249.7 - - 100.6
Standard Deviation 58.8 - - 11.7
VOLUME OF TRADES (000'S) 4,417.2 - - 6,985.6
Customer Buy 2,514.5 - - *
Customer Sell 1,523.2 - - *
Dealer to Dealer 379.5 - - -
<= $1MM 4,417.2 - - *
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 216 - - 7
Customer Buy 71 - - *
Customer Sell 84 - - *
Dealer to Dealer 61 - - -
<= $1MM 216 - - *
<= $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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