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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 98.9 * 105.9 * 105.3 * 100.8 98.4
Weighted Avg. Price 100.2 * 108.0 * 102.3 * 99.3 98.5
Avg. Price Bottom 5 Trades 94.3 * 95.2 * 98.4 * 95.4 96.1
2nd Quartile Price 97.6 * 103.6 * 103.0 * 100.0 99.2
3rd Quartile Price 99.8 * 107.0 * 105.0 * 100.3 99.5
4th Quartile Price 100.1 * 108.4 * 107.6 * 101.6 100.2
Avg. Price Top 5 Trades 102.2 * 114.8 * 112.9 * 105.5 100.0
Standard Deviation 2.9 * 5.2 * 4.1 * 1.7 2.7
VOLUME OF TRADES (000'S) 21,715.8 * 116,620.6 * 268,379.6 * 590,632.2 25,116.0
Customer Buy 21,485.7 0.0 87,925.1 * 103,272.0 * 298,852.7 22,586.0
Customer Sell 201.8 * 28,695.5 0.0 82,387.6 * 270,637.6 *
Dealer to Dealer 28.2 0.0 0.0 0.0 82,720.0 0.0 21,142.0 0.0
<= $1MM 858.5 * 18,627.0 * 6,971.5 0.0 20,078.6 3,011.0
<= $10MM 20,857.2 0.0 87,862.6 0.0 32,703.1 * 238,763.0 22,105.0
<= $100MM 0.0 0.0 * 0.0 * * 109,676.0 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 * 0.0
NUMBER OF TRADES 28 * 64 * 52 * 162 13
Customer Buy 15 0 36 * 15 * 88 11
Customer Sell 6 * 28 0 26 * 67 *
Dealer to Dealer 7 0 0 0 11 0 7 0
<= $1MM 22 * 36 * 41 0 82 5
<= $10MM 6 0 27 0 8 * 72 8
<= $100MM 0 0 * 0 * * 6 0
> $100MM 0 0 0 0 0 0 * 0
Non-Investment Grade †
AVERAGE PRICE 87.1 * 78.5 * 104.4 2.5 103.6 *
Weighted Avg. Price 124.9 * 74.6 * 103.0 2.3 102.4 *
Avg. Price Bottom 5 Trades 37.6 * 65.5 * 97.3 1.7 100.9 *
2nd Quartile Price 82.5 * 57.9 * 101.1 2.1 102.6 *
3rd Quartile Price 90.0 * 77.5 * 102.9 3.1 104.1 *
4th Quartile Price 96.0 * 100.3 * 108.8 3.1 107.5 *
Avg. Price Top 5 Trades 119.9 * 91.1 * 113.4 3.2 106.7 *
Standard Deviation 16.0 * 19.8 * 5.3 0.8 3.2 *
VOLUME OF TRADES (000'S) 25,339.6 * 15,529.8 * 420,433.6 226,442.7 9,946.9 *
Customer Buy 14,359.2 * * * 234,803.0 113,221.3 2,958.6 *
Customer Sell 9,320.1 0.0 * 0.0 91,850.1 113,221.3 * *
Dealer to Dealer 1,660.3 * * * 93,780.5 0.0 0.0 0.0
<= $1MM 6,559.0 * * 0.0 4,380.2 0.0 1,965.6 0.0
<= $10MM * 0.0 15,421.9 0.0 51,291.3 35,912.0 * *
<= $100MM 0.0 0.0 0.0 * 183,540.1 190,530.7 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 162 * 8 * 42 22 13 *
Customer Buy 84 * * * 20 11 10 *
Customer Sell 23 0 * 0 14 11 * *
Dealer to Dealer 55 * * * 8 0 0 0
<= $1MM 159 * * 0 17 0 10 0
<= $10MM * 0 6 0 19 8 * *
<= $100MM 0 0 0 * 5 14 0 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 98.1 * * 101.5
Weighted Avg. Price 99.5 * * 101.1
Avg. Price Bottom 5 Trades 94.3 * * 101.5
2nd Quartile Price 96.1 * * *
3rd Quartile Price 99.6 * * *
4th Quartile Price 100.0 * * *
Avg. Price Top 5 Trades 100.4 * * 101.5
Standard Deviation 3.0 * * 2.1
VOLUME OF TRADES (000'S) 3,940.4 * * 8,387.6
Customer Buy 3,896.0 * * *
Customer Sell 16.1 0.0 0.0 *
Dealer to Dealer 28.2 0.0 0.0 0.0
<= $1MM 321.6 * 0.0 *
<= $10MM * 0.0 * *
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 20 * * 5
Customer Buy 8 * * *
Customer Sell 5 0 0 *
Dealer to Dealer 7 0 0 0
<= $1MM 19 * 0 *
<= $10MM * 0 * *
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 87.0 * 0.0 0.0
Weighted Avg. Price 125.8 * 0.0 0.0
Avg. Price Bottom 5 Trades 37.6 * 0.0 0.0
2nd Quartile Price 82.5 * 0.0 0.0
3rd Quartile Price 90.0 * 0.0 0.0
4th Quartile Price 96.0 * 0.0 0.0
Avg. Price Top 5 Trades 119.9 * 0.0 0.0
Standard Deviation 16.0 * 0.0 0.0
VOLUME OF TRADES (000'S) 24,477.6 * 0.0 0.0
Customer Buy 13,497.2 * 0.0 0.0
Customer Sell 9,320.1 0.0 0.0 0.0
Dealer to Dealer 1,660.3 0.0 0.0 0.0
<= $1MM 5,697.0 * 0.0 0.0
<= $10MM * 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 161 * 0 0
Customer Buy 83 * 0 0
Customer Sell 23 0 0 0
Dealer to Dealer 55 0 0 0
<= $1MM 158 * 0 0
<= $10MM * 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
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 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
<= $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 0
Customer Sell * 0 0 0
Dealer to Dealer 0 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 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 [email protected].
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