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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO
Pricing Table: Non-Agency CMO | CMBS | ABS | CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 NON-AGENCY
CMBS
(P&I)		 NON-AGENCY
CMBS
(IO/PO)		 AGENCY CMBS
(P&I)		 AGENCY CMBS
(IO/PO)		 ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 97.7 0.0 95.6 4.0 99.1 * 98.9 98.4
Weighted Avg. Price 99.0 0.0 98.2 3.5 101.6 * 99.9 98.4
Avg. Price Bottom 5 Trades 85.2 0.0 76.7 4.0 95.1 * 93.4 94.7
2nd Quartile Price 98.3 0.0 96.5 * 98.0 * 98.2 97.9
3rd Quartile Price 99.1 0.0 99.0 * 98.8 * 99.3 98.5
4th Quartile Price 99.6 0.0 99.9 * 100.4 * 99.9 99.6
Avg. Price Top 5 Trades 101.7 0.0 104.3 4.0 102.7 * 102.0 100.3
Standard Deviation 5.1 0.0 7.9 1.6 2.1 * 1.4 1.3
VOLUME OF TRADES (000'S) 91,033.4 0.0 527,011.6 263,840.7 293,858.6 * 1,748,896.8 564,609.0
Customer Buy 80,568.1 0.0 305,235.3 * 157,564.3 * 600,307.9 260,576.5
Customer Sell 10,418.3 0.0 208,570.9 * 122,514.1 0.0 1,101,928.3 289,032.5
Dealer to Dealer 47.1 0.0 13,205.4 0.0 13,780.2 0.0 46,660.7 *
<= $1MM 10,521.2 0.0 23,017.1 * 4,235.1 0.0 71,813.4 10,842.7
<= $10MM 13,792.8 0.0 325,038.5 0.0 61,873.4 * 488,804.7 322,466.3
<= $100MM * 0.0 178,956.0 * * 0.0 734,559.9 231,300.0
> $100MM 0.0 0.0 0.0 * * 0.0 * 0.0
NUMBER OF TRADES 50 0 177 6 69 * 476 107
Customer Buy 23 0 82 * 33 * 203 43
Customer Sell 20 0 80 * 27 0 219 60
Dealer to Dealer 7 0 15 0 9 0 54 *
<= $1MM 40 0 92 * 45 0 303 24
<= $10MM 7 0 73 0 19 * 139 73
<= $100MM * 0 12 * * 0 31 10
> $100MM 0 0 0 * * 0 * 0
Non-Investment Grade †
AVERAGE PRICE 82.4 0.0 65.1 * 98.9 * 99.8 90.0
Weighted Avg. Price 76.2 0.0 50.4 * 98.8 * 100.7 92.6
Avg. Price Bottom 5 Trades 6.6 0.0 8.2 * 92.5 * 93.9 74.7
2nd Quartile Price 79.3 0.0 49.0 * 97.7 * 99.1 91.9
3rd Quartile Price 87.3 0.0 82.7 * 99.8 * 100.0 96.6
4th Quartile Price 94.0 0.0 100.0 * 100.6 * 101.3 97.5
Avg. Price Top 5 Trades 103.7 0.0 101.9 * 101.8 * 104.2 97.5
Standard Deviation 19.2 0.0 39.1 * 2.5 * 2.5 21.7
VOLUME OF TRADES (000'S) 986,293.5 0.0 149,210.3 * 148,828.8 * 225,273.9 29,925.0
Customer Buy 485,606.1 0.0 74,868.3 0.0 52,050.2 * 99,146.9 15,425.0
Customer Sell 496,733.9 0.0 73,342.0 0.0 23,921.0 * 121,613.1 12,500.0
Dealer to Dealer 3,953.5 0.0 * * 72,857.6 * 4,513.9 *
<= $1MM 16,093.7 0.0 * * 6,823.8 0.0 8,544.0 7,225.0
<= $10MM 138,844.9 0.0 71,925.0 0.0 51,459.7 0.0 102,753.1 22,700.0
<= $100MM 101,298.7 0.0 74,984.0 0.0 90,545.3 * 113,976.8 0.0
> $100MM * 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 292 0 21 * 67 * 67 16
Customer Buy 91 0 11 0 27 * 24 8
Customer Sell 98 0 9 0 21 * 38 6
Dealer to Dealer 103 0 * * 19 * 5 *
<= $1MM 244 0 * * 45 0 30 8
<= $10MM 40 0 11 0 14 0 30 8
<= $100MM 6 0 6 0 8 * 7 0
> $100MM * 0 0 0 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 96.8 0.0 * 99.2
Weighted Avg. Price 99.0 0.0 * 99.1
Avg. Price Bottom 5 Trades 85.2 0.0 * 98.5
2nd Quartile Price 97.0 0.0 * 99.0
3rd Quartile Price 98.5 0.0 * 99.4
4th Quartile Price 100.0 0.0 * 99.6
Avg. Price Top 5 Trades 101.6 0.0 * 99.7
Standard Deviation 6.3 0.0 * 0.6
VOLUME OF TRADES (000'S) 5,555.3 0.0 * 74,666.0
Customer Buy 1,335.6 0.0 * 68,420.4
Customer Sell 4,172.6 0.0 0.0 6,245.6
Dealer to Dealer 47.1 0.0 0.0 0.0
<= $1MM 3,975.7 0.0 * 6,494.8
<= $10MM * 0.0 0.0 12,213.2
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 31 0 * 17
Customer Buy 10 0 * 11
Customer Sell 14 0 0 6
Dealer to Dealer 7 0 0 0
<= $1MM 30 0 * 9
<= $10MM * 0 0 6
<= $100MM 0 0 * *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 82.4 * * 0.0
Weighted Avg. Price 76.0 * * 0.0
Avg. Price Bottom 5 Trades 6.6 * * 0.0
2nd Quartile Price 79.3 * * 0.0
3rd Quartile Price 87.3 * * 0.0
4th Quartile Price 93.8 * * 0.0
Avg. Price Top 5 Trades 103.7 * * 0.0
Standard Deviation 19.3 * * 0.0
VOLUME OF TRADES (000'S) 959,215.2 * * 0.0
Customer Buy 471,481.8 * * 0.0
Customer Sell 483,779.9 * * 0.0
Dealer to Dealer 3,953.5 0.0 0.0 0.0
<= $1MM 16,093.7 0.0 0.0 0.0
<= $10MM 111,766.6 * * 0.0
<= $100MM 101,298.7 0.0 0.0 0.0
> $100MM * 0.0 0.0 0.0
NUMBER OF TRADES 286 * * 0
Customer Buy 88 * * 0
Customer Sell 95 * * 0
Dealer to Dealer 103 0 0 0
<= $1MM 244 0 0 0
<= $10MM 34 * * 0
<= $100MM 6 0 0 0
> $100MM * 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 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 0.0
Customer Sell 0.0 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 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 0
Customer Buy 0 0 0 0
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 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 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 0.0
Customer Sell 0.0 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 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 0
Customer Buy 0 0 0 0
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 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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