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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 0.0 104.7 * 105.9 * 101.0 99.4
Weighted Avg. Price 102.1 0.0 106.0 * 107.4 * 99.9 99.7
Avg. Price Bottom 5 Trades 87.2 0.0 90.0 * 100.0 * 94.2 89.5
2nd Quartile Price 99.3 0.0 101.9 * 104.1 * 100.1 99.8
3rd Quartile Price 100.2 0.0 104.8 * 105.8 * 100.7 100.0
4th Quartile Price 101.4 0.0 107.4 * 107.9 * 101.9 100.1
Avg. Price Top 5 Trades 105.9 0.0 115.2 * 113.3 * 108.9 100.9
Standard Deviation 5.6 0.0 5.0 * 3.6 * 2.1 2.7
VOLUME OF TRADES (000'S) 184,582.8 0.0 754,921.5 * 173,123.4 * 1,352,914.6 465,057.2
Customer Buy 91,205.1 0.0 376,725.9 * 95,377.8 * 716,958.2 282,944.6
Customer Sell 87,913.4 0.0 343,195.6 * 62,013.5 0.0 555,016.1 95,094.0
Dealer to Dealer 5,464.3 0.0 35,000.0 0.0 15,732.0 * 80,940.3 87,018.7
<= $1MM 13,478.5 0.0 24,443.8 0.0 9,372.3 0.0 65,228.0 16,368.1
<= $10MM 112,392.9 0.0 293,741.9 0.0 88,261.0 0.0 429,159.3 342,389.2
<= $100MM * 0.0 436,735.8 * * 0.0 858,527.3 106,300.0
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 94 0 167 * 75 * 347 115
Customer Buy 41 0 83 * 37 * 140 60
Customer Sell 36 0 76 * 27 0 166 34
Dealer to Dealer 17 0 8 0 11 * 41 21
<= $1MM 62 0 72 0 46 0 200 27
<= $10MM 28 0 73 0 25 0 118 81
<= $100MM * 0 22 * * 0 29 7
> $100MM 0 0 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 86.7 * 89.2 0.0 102.4 7.1 97.3 95.2
Weighted Avg. Price 82.4 * 94.9 0.0 102.9 7.2 99.4 93.7
Avg. Price Bottom 5 Trades 25.4 * 43.8 0.0 99.0 2.7 66.3 77.1
2nd Quartile Price 79.0 * 90.0 0.0 100.3 5.8 100.4 94.4
3rd Quartile Price 88.6 * 100.3 0.0 101.9 6.7 101.1 97.5
4th Quartile Price 96.5 * 101.5 0.0 105.2 8.7 102.9 99.1
Avg. Price Top 5 Trades 249.7 * 103.2 0.0 107.3 12.3 104.8 100.2
Standard Deviation 42.6 * 20.5 0.0 2.8 4.7 14.4 6.2
VOLUME OF TRADES (000'S) 363,884.3 * 261,185.1 0.0 270,868.8 684,257.3 171,144.3 189,444.6
Customer Buy 143,788.1 * 143,046.1 0.0 191,402.3 379,703.2 100,810.7 95,095.1
Customer Sell 85,838.2 0.0 118,071.9 0.0 72,833.6 216,468.3 40,968.5 89,849.5
Dealer to Dealer 134,258.0 0.0 * 0.0 6,632.9 * * *
<= $1MM 25,350.5 * 2,258.1 0.0 3,980.8 * 6,451.0 15,590.0
<= $10MM 126,235.4 0.0 160,123.0 0.0 78,983.7 0.0 106,349.3 173,854.6
<= $100MM 212,298.4 0.0 98,804.0 0.0 187,904.2 682,475.9 * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 275 * 46 0 50 16 42 76
Customer Buy 116 * 22 0 31 9 21 37
Customer Sell 92 0 22 0 12 5 17 36
Dealer to Dealer 67 0 * 0 7 * * *
<= $1MM 227 * 13 0 23 * 19 17
<= $10MM 39 0 28 0 19 0 21 59
<= $100MM 9 0 5 0 8 14 * 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 98.6 * 102.4 102.0
Weighted Avg. Price 99.0 * 101.8 102.5
Avg. Price Bottom 5 Trades 87.2 * 102.4 99.9
2nd Quartile Price 98.5 * * 100.2
3rd Quartile Price 99.4 * * 100.9
4th Quartile Price 100.4 * * 103.9
Avg. Price Top 5 Trades 101.8 * 102.4 105.8
Standard Deviation 6.7 * 1.8 2.2
VOLUME OF TRADES (000'S) 21,100.7 * 30,261.8 124,384.7
Customer Buy 14,782.0 * * 51,090.9
Customer Sell 3,805.5 * * 70,342.8
Dealer to Dealer 2,513.2 0.0 0.0 *
<= $1MM 9,119.7 0.0 * 3,503.6
<= $10MM 11,981.0 * * 82,229.0
<= $100MM 0.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 55 * 5 32
Customer Buy 22 * * 15
Customer Sell 17 * * 16
Dealer to Dealer 16 0 0 *
<= $1MM 50 0 * 10
<= $10MM 5 * * 19
<= $100MM 0 0 * *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 86.2 * * 99.0
Weighted Avg. Price 77.9 * * 100.1
Avg. Price Bottom 5 Trades 25.4 * * 96.7
2nd Quartile Price 78.3 * * 99.9
3rd Quartile Price 88.4 * * 100.4
4th Quartile Price 95.6 * * 103.4
Avg. Price Top 5 Trades 249.4 * * 102.0
Standard Deviation 43.8 * * 5.1
VOLUME OF TRADES (000'S) 282,650.1 * * 67,844.4
Customer Buy 115,401.5 * 0.0 *
Customer Sell 45,461.0 0.0 * 38,490.2
Dealer to Dealer 121,787.5 * 0.0 *
<= $1MM 23,920.1 0.0 0.0 *
<= $10MM 90,969.1 * * 21,876.6
<= $100MM 167,760.9 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 260 * * 10
Customer Buy 112 * 0 *
Customer Sell 84 0 * 7
Dealer to Dealer 64 * 0 *
<= $1MM 225 0 0 *
<= $10MM 28 * * 6
<= $100MM 7 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 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 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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