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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 100.1 0.0 103.2 0.0 105.5 * 100.3 97.7
Weighted Avg. Price 101.5 0.0 99.8 0.0 106.1 * 100.7 98.6
Avg. Price Bottom 5 Trades 95.9 0.0 85.8 0.0 100.4 * 93.4 91.4
2nd Quartile Price 99.2 0.0 100.7 0.0 103.8 * 99.8 96.8
3rd Quartile Price 100.3 0.0 103.8 0.0 105.5 * 100.3 98.6
4th Quartile Price 101.5 0.0 106.8 0.0 107.4 * 101.3 99.9
Avg. Price Top 5 Trades 103.2 0.0 114.2 0.0 111.8 * 105.4 100.4
Standard Deviation 2.1 0.0 6.2 0.0 3.2 * 1.8 2.6
VOLUME OF TRADES (000'S) 135,143.8 0.0 401,060.6 0.0 218,735.8 * 456,226.4 248,918.8
Customer Buy 69,162.5 0.0 201,132.4 0.0 90,139.5 * 340,344.6 169,848.8
Customer Sell 65,201.0 0.0 184,398.2 0.0 71,159.9 * 104,971.5 79,070.0
Dealer to Dealer 780.2 0.0 15,530.0 0.0 57,436.3 0.0 10,910.3 0.0
<= $1MM 8,154.9 0.0 17,858.3 0.0 3,561.3 0.0 45,172.2 6,757.7
<= $10MM 35,095.2 0.0 176,772.8 0.0 160,627.6 0.0 289,304.2 143,161.2
<= $100MM 91,893.7 0.0 206,429.4 0.0 * * 121,750.0 99,000.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 52 0 120 0 59 * 339 58
Customer Buy 21 0 69 0 19 * 188 42
Customer Sell 23 0 45 0 28 * 110 16
Dealer to Dealer 8 0 6 0 12 0 41 0
<= $1MM 37 0 64 0 18 0 236 10
<= $10MM 9 0 46 0 37 0 96 43
<= $100MM 6 0 10 0 * * 7 5
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 90.2 0.0 73.8 * 102.8 11.1 83.9 81.7
Weighted Avg. Price 94.7 0.0 87.8 * 101.9 12.4 95.9 79.8
Avg. Price Bottom 5 Trades 30.9 0.0 27.9 * 98.0 11.1 22.7 45.1
2nd Quartile Price 82.1 0.0 58.5 * 100.5 * 94.1 83.3
3rd Quartile Price 93.2 0.0 84.5 * 102.3 * 100.0 89.1
4th Quartile Price 98.9 0.0 94.8 * 103.9 * 102.4 93.6
Avg. Price Top 5 Trades 193.8 0.0 102.3 * 111.1 11.1 104.7 97.5
Standard Deviation 26.2 0.0 27.8 * 3.6 6.5 37.2 23.1
VOLUME OF TRADES (000'S) 399,302.7 0.0 204,717.9 * 131,220.2 380,269.2 177,757.9 73,938.6
Customer Buy 195,946.6 0.0 76,211.5 * 64,598.9 * 85,191.4 40,194.1
Customer Sell 192,977.8 0.0 128,506.4 * 53,582.4 * 70,472.5 33,744.6
Dealer to Dealer 10,378.4 0.0 0.0 0.0 13,038.9 0.0 22,094.0 0.0
<= $1MM 16,160.8 0.0 3,478.9 0.0 7,263.6 0.0 10,880.0 8,400.0
<= $10MM 113,606.6 0.0 * * 80,252.9 0.0 66,466.9 65,538.6
<= $100MM 269,535.4 0.0 189,239.0 * * 380,269.2 100,410.9 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 183 0 40 * 58 5 56 30
Customer Buy 66 0 9 * 26 * 29 14
Customer Sell 72 0 31 * 21 * 17 16
Dealer to Dealer 45 0 0 0 11 0 10 0
<= $1MM 143 0 30 0 29 0 36 9
<= $10MM 34 0 * * 26 0 14 21
<= $100MM 6 0 7 * * 5 6 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 99.2 * 101.7 101.7
Weighted Avg. Price 100.6 * 101.4 101.7
Avg. Price Bottom 5 Trades 95.9 * 101.4 100.6
2nd Quartile Price 98.4 * 101.5 100.8
3rd Quartile Price 99.6 * 101.6 101.3
4th Quartile Price 100.3 * 102.7 102.1
Avg. Price Top 5 Trades 101.8 * 101.9 103.0
Standard Deviation 1.9 * 0.5 1.7
VOLUME OF TRADES (000'S) 10,832.5 * 42,839.4 80,746.7
Customer Buy 4,903.7 * 22,030.9 41,502.9
Customer Sell 5,875.2 0.0 * 39,243.8
Dealer to Dealer 53.7 0.0 * 0.0
<= $1MM 3,507.4 * 2,675.4 *
<= $10MM * 0.0 0.0 27,770.0
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 32 * 7 12
Customer Buy 8 * 5 7
Customer Sell 17 0 * 5
Dealer to Dealer 7 0 * 0
<= $1MM 29 * 5 *
<= $10MM * 0 0 6
<= $100MM 0 0 * *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 90.0 0.0 0.0 97.1
Weighted Avg. Price 88.8 0.0 0.0 97.5
Avg. Price Bottom 5 Trades 30.9 0.0 0.0 96.5
2nd Quartile Price 82.1 0.0 0.0 99.0
3rd Quartile Price 93.0 0.0 0.0 100.1
4th Quartile Price 98.7 0.0 0.0 100.3
Avg. Price Top 5 Trades 193.8 0.0 0.0 98.1
Standard Deviation 26.6 0.0 0.0 4.0
VOLUME OF TRADES (000'S) 129,767.3 0.0 0.0 269,535.4
Customer Buy 61,178.9 0.0 0.0 *
Customer Sell 58,210.1 0.0 0.0 *
Dealer to Dealer 10,378.4 0.0 0.0 0.0
<= $1MM 16,160.8 0.0 0.0 0.0
<= $10MM 113,606.6 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 269,535.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 177 0 0 6
Customer Buy 63 0 0 *
Customer Sell 69 0 0 *
Dealer to Dealer 45 0 0 0
<= $1MM 143 0 0 0
<= $10MM 34 0 0 0
<= $100MM 0 0 0 6
> $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 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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