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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 99.9 0.0 102.6 0.0 106.1 * 100.2 98.0
Weighted Avg. Price 101.3 0.0 103.1 0.0 107.2 * 99.7 99.1
Avg. Price Bottom 5 Trades 93.5 0.0 88.1 0.0 100.7 * 92.4 92.7
2nd Quartile Price 99.5 0.0 100.6 0.0 104.2 * 99.6 97.0
3rd Quartile Price 100.1 0.0 102.5 0.0 106.3 * 100.1 99.1
4th Quartile Price 101.4 0.0 105.2 0.0 107.8 * 101.0 99.6
Avg. Price Top 5 Trades 103.6 0.0 112.2 0.0 111.8 * 106.8 100.1
Standard Deviation 2.7 0.0 5.1 0.0 3.5 * 2.1 2.3
VOLUME OF TRADES (000'S) 68,793.1 0.0 288,419.0 0.0 83,835.5 * 805,674.1 302,226.2
Customer Buy 36,975.3 0.0 150,423.2 0.0 34,349.6 * 506,411.3 121,731.2
Customer Sell 31,725.2 0.0 120,368.2 0.0 32,117.1 0.0 237,002.1 149,494.9
Dealer to Dealer 92.6 0.0 17,627.6 0.0 17,368.7 0.0 62,260.7 31,000.0
<= $1MM 5,138.0 0.0 15,842.1 0.0 7,272.5 0.0 46,870.3 8,890.0
<= $10MM 18,123.4 0.0 175,752.8 0.0 62,068.0 0.0 386,891.0 127,231.2
<= $100MM * 0.0 96,824.1 0.0 * * 371,912.8 166,105.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 55 0 101 0 57 * 274 58
Customer Buy 27 0 41 0 16 * 148 31
Customer Sell 16 0 42 0 31 0 101 18
Dealer to Dealer 12 0 18 0 10 0 25 9
<= $1MM 45 0 46 0 36 0 143 13
<= $10MM 7 0 48 0 20 0 112 39
<= $100MM * 0 7 0 * * 19 6
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.7 0.0 79.6 55.6 101.6 8.1 98.2 88.7
Weighted Avg. Price 84.0 0.0 91.4 20.2 102.5 4.5 94.3 89.3
Avg. Price Bottom 5 Trades 30.0 0.0 55.6 46.7 97.0 4.5 70.2 41.1
2nd Quartile Price 77.5 0.0 67.4 23.4 100.3 6.5 99.5 89.6
3rd Quartile Price 86.5 0.0 76.7 100.1 101.3 6.7 100.8 94.0
4th Quartile Price 94.7 0.0 100.0 100.3 103.2 8.1 104.0 96.3
Avg. Price Top 5 Trades 108.1 0.0 102.2 65.2 107.3 15.2 104.5 98.5
Standard Deviation 14.7 0.0 18.2 47.1 2.9 7.2 15.0 15.5
VOLUME OF TRADES (000'S) 156,876.0 0.0 80,624.5 107,181.7 311,269.0 2,463,301.3 95,800.3 144,465.1
Customer Buy 74,130.9 0.0 53,818.9 * 184,150.5 1,947,000.0 56,126.4 74,858.2
Customer Sell 57,651.5 0.0 26,236.1 * 14,222.2 * 39,104.4 69,606.9
Dealer to Dealer 25,093.6 0.0 569.5 * 112,896.3 * * 0.0
<= $1MM 15,620.4 0.0 2,915.2 * 11,285.3 0.0 8,864.7 15,979.1
<= $10MM 84,675.0 0.0 47,189.3 * 99,683.8 * 86,935.6 128,486.0
<= $100MM * 0.0 * * 200,299.8 826,718.7 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 1,627,672.8 0.0 0.0
NUMBER OF TRADES 285 0 33 6 70 21 45 76
Customer Buy 130 0 9 * 39 16 23 40
Customer Sell 93 0 14 * 12 * 19 36
Dealer to Dealer 62 0 10 * 19 * * 0
<= $1MM 254 0 17 * 36 0 19 23
<= $10MM 27 0 14 * 26 * 26 53
<= $100MM * 0 * * 8 14 0 0
> $100MM 0 0 0 0 0 6 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 99.7 * * 100.9
Weighted Avg. Price 100.3 * * 101.1
Avg. Price Bottom 5 Trades 93.9 * * 100.3
2nd Quartile Price 99.5 * * 100.5
3rd Quartile Price 100.0 * * 100.8
4th Quartile Price 100.8 * * 102.2
Avg. Price Top 5 Trades 103.0 * * 101.5
Standard Deviation 2.9 * * 0.8
VOLUME OF TRADES (000'S) 2,370.0 * * 47,395.7
Customer Buy 1,587.5 * * 32,532.5
Customer Sell 691.8 * * *
Dealer to Dealer 90.7 * 0.0 0.0
<= $1MM 2,370.0 * * *
<= $10MM 0.0 * 0.0 13,035.5
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 38 * * 10
Customer Buy 17 * * 8
Customer Sell 10 * * *
Dealer to Dealer 11 * 0 0
<= $1MM 38 * * *
<= $10MM 0 * 0 5
<= $100MM 0 0 * *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.1 * 0.0 99.3
Weighted Avg. Price 76.5 * 0.0 99.6
Avg. Price Bottom 5 Trades 30.0 * 0.0 97.9
2nd Quartile Price 76.6 * 0.0 99.8
3rd Quartile Price 85.9 * 0.0 99.9
4th Quartile Price 92.6 * 0.0 101.5
Avg. Price Top 5 Trades 108.1 * 0.0 100.5
Standard Deviation 14.7 * 0.0 2.3
VOLUME OF TRADES (000'S) 99,095.5 * 0.0 49,481.7
Customer Buy 49,966.0 * 0.0 20,015.5
Customer Sell 34,035.9 * 0.0 *
Dealer to Dealer 15,093.6 0.0 0.0 *
<= $1MM 15,620.4 0.0 0.0 0.0
<= $10MM 40,567.5 * 0.0 35,808.7
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 272 * 0 11
Customer Buy 123 * 0 6
Customer Sell 88 * 0 *
Dealer to Dealer 61 0 0 *
<= $1MM 254 0 0 0
<= $10MM 15 * 0 10
<= $100MM * 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 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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