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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/CDO Daily CMBS Weekly CMBS
Pricing Table: Non-Agency CMO | ABS | CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 88.4 * 98.3 99.7
Weighted Avg. Price 86.3 * 98.9 99.7
Avg. Price Bottom 5 Trades 63.7 * 85.3 90.3
2nd Quartile Price 82.8 * 97.7 100.0
3rd Quartile Price 88.7 * 99.2 100.1
4th Quartile Price 99.2 * 99.9 100.1
Avg. Price Top 5 Trades 101.6 * 103.6 101.2
Standard Deviation 11.5 * 3.0 2.8
VOLUME OF TRADES (000'S) 398,242.9 * 657,130.2 381,408.0
Customer Buy 109,511.8 * 349,355.1 224,146.5
Customer Sell 272,329.9 * 176,399.9 128,280.7
Dealer to Dealer 16,401.1 * 131,375.2 28,980.8
<= $1MM 9,363.2 * 43,071.8 18,318.6
<= $10MM 95,624.6 0.0 382,119.4 242,769.0
<= $100MM 293,255.0 0.0 231,939.0 120,320.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 65 * 333 119
Customer Buy 21 * 148 61
Customer Sell 32 * 103 50
Dealer to Dealer 12 * 82 8
<= $1MM 28 * 196 32
<= $10MM 25 0 121 82
<= $100MM 12 0 16 5
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 76.0 * 89.1 83.9
Weighted Avg. Price 69.2 * 90.3 65.7
Avg. Price Bottom 5 Trades 25.1 * 56.9 40.7
2nd Quartile Price 69.0 * 89.9 91.3
3rd Quartile Price 80.0 * 98.8 93.2
4th Quartile Price 90.0 * 100.2 98.9
Avg. Price Top 5 Trades 106.4 * 100.5 99.9
Standard Deviation 19.0 * 17.7 22.9
VOLUME OF TRADES (000'S) 72,685.2 * 154,056.1 215,288.9
Customer Buy 36,937.9 * 72,063.6 93,998.2
Customer Sell 33,407.3 * 80,033.8 108,552.8
Dealer to Dealer 2,340.0 0.0 * *
<= $1MM 5,017.3 0.0 9,022.4 3,234.0
<= $10MM 47,222.4 * 77,203.7 121,557.5
<= $100MM * * * 90,497.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 140 * 46 53
Customer Buy 52 * 24 29
Customer Sell 64 * 20 23
Dealer to Dealer 24 0 * *
<= $1MM 120 0 21 5
<= $10MM 18 * 23 43
<= $100MM * * * 5
> $100MM 0 0 0 0

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 88.6 0.0 0.0 88.4
Weighted Avg. Price 97.2 0.0 0.0 86.1
Avg. Price Bottom 5 Trades 72.9 0.0 0.0 69.4
2nd Quartile Price 88.0 0.0 0.0 80.9
3rd Quartile Price 96.6 0.0 0.0 87.8
4th Quartile Price 98.0 0.0 0.0 99.8
Avg. Price Top 5 Trades 98.5 0.0 0.0 101.6
Standard Deviation 12.6 0.0 0.0 11.1
VOLUME OF TRADES (000'S) 8,709.7 0.0 0.0 389,533.2
Customer Buy * 0.0 0.0 108,611.0
Customer Sell 6,855.1 0.0 0.0 265,474.8
Dealer to Dealer 953.7 0.0 0.0 15,447.4
<= $1MM 4,539.1 0.0 0.0 4,824.2
<= $10MM * 0.0 0.0 91,454.0
<= $100MM 0.0 0.0 0.0 293,255.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 22 0 0 43
Customer Buy * 0 0 19
Customer Sell 14 0 0 18
Dealer to Dealer 6 0 0 6
<= $1MM 19 0 0 9
<= $10MM * 0 0 22
<= $100MM 0 0 0 12
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 75.6 * * 85.9
Weighted Avg. Price 53.9 * * 84.8
Avg. Price Bottom 5 Trades 28.6 * * 75.2
2nd Quartile Price 67.8 * * 75.5
3rd Quartile Price 80.0 * * 98.3
4th Quartile Price 89.0 * * 99.3
Avg. Price Top 5 Trades 105.9 * * 95.7
Standard Deviation 18.4 * * 12.9
VOLUME OF TRADES (000'S) 36,664.9 * * 21,349.1
Customer Buy 14,271.1 * * 15,331.1
Customer Sell 20,053.7 * * *
Dealer to Dealer 2,340.0 0.0 0.0 0.0
<= $1MM 4,799.6 0.0 * *
<= $10MM 11,419.7 * 0.0 21,144.0
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 125 * * 9
Customer Buy 43 * * 6
Customer Sell 58 * * *
Dealer to Dealer 24 0 0 0
<= $1MM 115 0 * *
<= $10MM 8 * 0 6
<= $100MM * 0 0 0
> $100MM 0 0 0 0

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 * 0.0 0.0 0.0
Weighted Avg. Price * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 0.0
2nd Quartile Price * 0.0 0.0 0.0
3rd Quartile Price * 0.0 0.0 0.0
4th Quartile Price * 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 0.0
VOLUME OF TRADES (000'S) * 0.0 0.0 0.0
Customer Buy * 0.0 0.0 0.0
Customer Sell * 0.0 0.0 0.0
Dealer to Dealer * 0.0 0.0 0.0
<= $1MM * 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 0 0
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer * 0 0 0
<= $1MM * 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE * 0.0 0.0 0.0
Weighted Avg. Price * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 0.0
2nd Quartile Price * 0.0 0.0 0.0
3rd Quartile Price * 0.0 0.0 0.0
4th Quartile Price * 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 0.0
VOLUME OF TRADES (000'S) * 0.0 0.0 0.0
Customer Buy * 0.0 0.0 0.0
Customer Sell * 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM * 0.0 0.0 0.0
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 0 0
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM * 0 0 0
<= $100MM * 0 0 0
> $100MM 0 0 0 0

* 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 tracedataservices@finra.org.
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