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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 98.4 0.0 99.7 16.7 100.5 * 99.5 98.7
Weighted Avg. Price 98.2 0.0 100.1 6.0 100.7 * 99.9 98.7
Avg. Price Bottom 5 Trades 92.7 0.0 82.5 4.0 98.3 * 97.2 93.3
2nd Quartile Price 97.8 0.0 99.4 4.8 99.3 * 99.0 98.7
3rd Quartile Price 99.8 0.0 100.7 5.3 100.3 * 99.6 99.3
4th Quartile Price 100.5 0.0 102.0 8.1 101.8 * 100.1 99.9
Avg. Price Top 5 Trades 101.4 0.0 106.1 24.9 103.8 * 101.6 100.0
Standard Deviation 2.9 0.0 4.7 33.8 1.6 * 0.9 2.6
VOLUME OF TRADES (000'S) 124,022.5 0.0 321,336.9 576,260.3 219,857.8 * 530,510.3 286,109.9
Customer Buy 51,724.3 0.0 155,611.7 570,242.1 134,674.9 0.0 297,388.0 157,168.9
Customer Sell 66,259.2 0.0 133,831.5 * 26,869.0 0.0 205,210.4 128,941.0
Dealer to Dealer 6,039.0 0.0 31,893.7 0.0 58,314.0 * 27,911.9 0.0
<= $1MM 12,460.6 0.0 28,139.5 * 5,128.2 0.0 40,330.6 14,739.5
<= $10MM 74,093.8 0.0 257,562.7 * 43,768.6 * 376,822.0 88,609.4
<= $100MM * 0.0 * * 170,961.0 0.0 113,357.7 182,761.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0 0.0 0.0
NUMBER OF TRADES 61 0 152 8 58 * 296 64
Customer Buy 23 0 54 6 19 0 120 33
Customer Sell 26 0 84 * 27 0 148 31
Dealer to Dealer 12 0 14 0 12 * 28 0
<= $1MM 42 0 90 * 35 0 180 24
<= $10MM 16 0 59 * 14 * 108 29
<= $100MM * 0 * * 9 0 8 11
> $100MM 0 0 0 * 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 84.5 * 94.2 16.4 99.7 5.4 98.2 67.7
Weighted Avg. Price 89.0 * 95.8 7.6 98.5 5.4 98.1 61.6
Avg. Price Bottom 5 Trades 8.6 * 64.9 5.7 91.6 5.3 94.1 39.7
2nd Quartile Price 78.2 * 98.8 6.1 99.1 5.3 97.0 40.0
3rd Quartile Price 88.5 * 99.5 10.6 100.6 5.3 99.6 90.0
4th Quartile Price 97.8 * 100.1 12.4 101.1 5.9 100.0 96.0
Avg. Price Top 5 Trades 103.4 * 101.4 29.2 103.1 5.5 100.8 96.0
Standard Deviation 19.6 * 12.3 28.0 2.8 0.4 2.8 29.4
VOLUME OF TRADES (000'S) 463,878.8 * 179,460.5 98,691.8 316,754.6 484,936.4 97,117.2 38,563.5
Customer Buy 314,019.4 * 83,788.2 61,909.3 205,167.7 * 70,825.8 19,023.1
Customer Sell 146,822.3 0.0 90,035.2 * 35,127.2 * 23,968.4 17,962.1
Dealer to Dealer 3,037.0 * * * 76,459.7 0.0 * *
<= $1MM 15,879.6 * 3,018.6 * 3,819.9 0.0 685.6 4,425.5
<= $10MM 102,843.6 0.0 113,617.8 * 129,201.2 0.0 59,752.0 34,138.0
<= $100MM 345,155.5 0.0 62,824.0 81,285.9 183,733.6 265,707.4 * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 258 * 42 11 71 7 24 19
Customer Buy 102 * 20 8 27 * 14 7
Customer Sell 113 0 19 * 21 * 8 11
Dealer to Dealer 43 * * * 23 0 * *
<= $1MM 219 * 10 * 27 0 6 6
<= $10MM 29 0 27 * 37 0 15 13
<= $100MM 10 0 5 7 7 5 * 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 98.3 0.0 98.1 98.8
Weighted Avg. Price 99.4 0.0 98.7 97.9
Avg. Price Bottom 5 Trades 94.5 0.0 97.7 95.4
2nd Quartile Price 97.7 0.0 98.5 98.2
3rd Quartile Price 98.9 0.0 99.9 100.2
4th Quartile Price 100.8 0.0 100.4 100.4
Avg. Price Top 5 Trades 101.4 0.0 99.3 100.5
Standard Deviation 3.3 0.0 3.1 2.2
VOLUME OF TRADES (000'S) 14,902.2 0.0 17,314.1 91,806.2
Customer Buy 3,815.5 0.0 * 46,906.4
Customer Sell 9,369.8 0.0 * 41,439.6
Dealer to Dealer 1,716.9 0.0 * 3,460.2
<= $1MM 5,740.5 0.0 2,846.1 3,874.1
<= $10MM * 0.0 0.0 64,932.1
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 33 0 7 21
Customer Buy 11 0 * 9
Customer Sell 16 0 * 7
Dealer to Dealer 6 0 * 5
<= $1MM 29 0 6 7
<= $10MM * 0 0 12
<= $100MM 0 0 * *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 84.3 0.0 * *
Weighted Avg. Price 83.4 0.0 * *
Avg. Price Bottom 5 Trades 8.6 0.0 * *
2nd Quartile Price 77.6 0.0 * *
3rd Quartile Price 88.1 0.0 * *
4th Quartile Price 97.8 0.0 * *
Avg. Price Top 5 Trades 103.4 0.0 * *
Standard Deviation 19.7 0.0 * *
VOLUME OF TRADES (000'S) 247,337.8 0.0 * *
Customer Buy 205,576.4 0.0 * *
Customer Sell 38,724.4 0.0 0.0 *
Dealer to Dealer 3,037.0 0.0 0.0 0.0
<= $1MM 15,534.5 0.0 * 0.0
<= $10MM 102,843.6 0.0 0.0 0.0
<= $100MM 128,959.6 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 253 0 * *
Customer Buy 99 0 * *
Customer Sell 111 0 0 *
Dealer to Dealer 43 0 0 0
<= $1MM 218 0 * 0
<= $10MM 29 0 0 0
<= $100MM 6 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 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
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 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 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

* 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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