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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 101.0 0.0 104.3 6.3 105.3 0.0 100.7 99.0
Weighted Avg. Price 102.4 0.0 104.4 4.7 104.7 0.0 99.9 99.2
Avg. Price Bottom 5 Trades 97.7 0.0 94.3 6.0 101.0 0.0 97.4 96.1
2nd Quartile Price 99.8 0.0 100.3 6.1 102.8 0.0 99.9 98.6
3rd Quartile Price 100.6 0.0 103.3 8.0 104.8 0.0 100.2 99.3
4th Quartile Price 102.1 0.0 108.4 8.0 106.2 0.0 101.1 99.8
Avg. Price Top 5 Trades 107.0 0.0 116.6 6.9 113.6 0.0 108.1 100.0
Standard Deviation 2.6 0.0 6.6 1.9 3.7 0.0 1.8 1.2
VOLUME OF TRADES (000'S) 55,264.6 0.0 277,494.3 171,193.2 69,912.1 0.0 451,386.5 169,540.8
Customer Buy 32,783.3 0.0 146,488.6 87,097.1 35,416.0 0.0 213,302.6 101,953.9
Customer Sell 17,764.9 0.0 118,589.7 * 32,162.9 0.0 202,696.5 52,586.9
Dealer to Dealer 4,716.3 0.0 * 0.0 2,333.2 0.0 35,387.5 *
<= $1MM 6,790.3 0.0 9,479.8 0.0 9,979.4 0.0 29,375.7 14,232.0
<= $10MM 48,474.3 0.0 144,579.7 * 59,932.7 0.0 215,114.9 104,103.0
<= $100MM 0.0 0.0 123,434.8 * 0.0 0.0 206,895.9 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 49 0 68 6 53 0 185 51
Customer Buy 26 0 44 5 29 0 88 36
Customer Sell 15 0 20 * 17 0 88 13
Dealer to Dealer 8 0 * 0 7 0 9 *
<= $1MM 37 0 25 0 36 0 105 22
<= $10MM 12 0 36 * 17 0 70 26
<= $100MM 0 0 7 * 0 0 10 *
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 80.3 11.3 90.9 0.0 100.9 * 99.5 54.8
Weighted Avg. Price 76.8 3.2 83.0 0.0 101.4 * 101.0 62.3
Avg. Price Bottom 5 Trades 21.0 11.3 52.7 0.0 96.2 * 91.9 30.1
2nd Quartile Price 76.0 * 100.1 0.0 99.0 * 100.2 11.5
3rd Quartile Price 86.8 * 103.1 0.0 100.3 * 100.4 82.5
4th Quartile Price 96.0 * 104.1 0.0 102.6 * 102.8 100.0
Avg. Price Top 5 Trades 104.0 11.3 104.7 0.0 107.1 * 106.0 94.9
Standard Deviation 21.1 12.6 27.4 0.0 3.1 * 6.5 44.2
VOLUME OF TRADES (000'S) 100,665.7 128,930.8 101,464.8 0.0 108,336.0 * 47,709.8 34,859.2
Customer Buy 54,829.3 * 42,526.1 0.0 63,325.8 * 18,683.4 19,700.0
Customer Sell 45,296.8 * 54,438.7 0.0 33,156.4 0.0 25,982.8 15,159.2
Dealer to Dealer 539.6 * * 0.0 11,853.8 0.0 3,043.7 0.0
<= $1MM 9,432.0 * 3,727.4 0.0 10,150.3 0.0 3,993.8 *
<= $10MM 91,233.7 * 46,160.5 0.0 61,696.1 0.0 43,716.0 33,400.0
<= $100MM 0.0 * * 0.0 * * 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 158 6 21 0 75 * 28 11
Customer Buy 86 * 9 0 26 * 12 6
Customer Sell 42 * 11 0 27 0 11 5
Dealer to Dealer 30 * * 0 22 0 5 0
<= $1MM 137 * 7 0 50 0 12 *
<= $10MM 21 * 10 0 23 0 16 9
<= $100MM 0 * * 0 * * 0 0
> $100MM 0 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 99.9 * * 101.4
Weighted Avg. Price 99.7 * * 102.3
Avg. Price Bottom 5 Trades 97.7 * * 99.3
2nd Quartile Price 99.4 * * 100.0
3rd Quartile Price 100.0 * * 101.5
4th Quartile Price 100.9 * * 102.2
Avg. Price Top 5 Trades 102.0 * * 104.7
Standard Deviation 1.9 * * 2.4
VOLUME OF TRADES (000'S) 3,439.9 * * 46,439.9
Customer Buy 1,600.2 * * 25,798.4
Customer Sell 1,602.4 0.0 0.0 16,162.6
Dealer to Dealer * 0.0 0.0 4,479.0
<= $1MM 3,439.9 * * 3,021.2
<= $10MM 0.0 * * 43,418.7
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 22 * * 23
Customer Buy 14 * * 8
Customer Sell 6 0 0 9
Dealer to Dealer * 0 0 6
<= $1MM 22 * * 13
<= $10MM 0 * * 10
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 80.3 0.0 0.0 0.0
Weighted Avg. Price 76.8 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 21.0 0.0 0.0 0.0
2nd Quartile Price 76.0 0.0 0.0 0.0
3rd Quartile Price 86.8 0.0 0.0 0.0
4th Quartile Price 96.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 104.0 0.0 0.0 0.0
Standard Deviation 21.1 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 100,665.7 0.0 0.0 0.0
Customer Buy 54,829.3 0.0 0.0 0.0
Customer Sell 45,296.8 0.0 0.0 0.0
Dealer to Dealer 539.6 0.0 0.0 0.0
<= $1MM 9,432.0 0.0 0.0 0.0
<= $10MM 91,233.7 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 158 0 0 0
Customer Buy 86 0 0 0
Customer Sell 42 0 0 0
Dealer to Dealer 30 0 0 0
<= $1MM 137 0 0 0
<= $10MM 21 0 0 0
<= $100MM 0 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 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 11.3 0.0 0.0 0.0
Weighted Avg. Price 3.2 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 11.3 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 11.3 0.0 0.0 0.0
Standard Deviation 12.6 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 128,930.8 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
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 6 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
<= $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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