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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 95.9 0.0 96.4 5.4 111.1 * 98.6 89.2
Weighted Avg. Price 97.1 0.0 93.0 5.2 112.5 * 98.8 90.3
Avg. Price Bottom 5 Trades 76.2 0.0 59.1 2.2 103.6 * 82.6 68.9
2nd Quartile Price 93.8 0.0 91.0 4.8 108.3 * 98.5 86.8
3rd Quartile Price 97.1 0.0 100.1 5.5 112.0 * 99.8 91.0
4th Quartile Price 100.1 0.0 102.6 6.5 114.3 * 100.5 94.4
Avg. Price Top 5 Trades 101.4 0.0 110.4 8.6 118.5 * 103.7 97.1
Standard Deviation 5.8 0.0 10.4 1.9 4.2 * 3.8 6.9
VOLUME OF TRADES (000'S) 556,936.3 0.0 1,288,854.4 1,289,261.1 199,106.9 * 1,021,730.9 461,092.6
Customer Buy 310,233.2 0.0 623,340.8 379,316.1 65,519.3 * 521,420.8 227,918.0
Customer Sell 245,403.6 0.0 665,287.6 909,945.0 99,003.6 * 478,994.3 227,571.9
Dealer to Dealer 1,299.6 0.0 * 0.0 34,584.0 0.0 21,315.8 *
<= $1MM 12,237.3 0.0 19,182.3 0.0 5,247.7 0.0 34,123.9 17,125.0
<= $10MM 197,378.5 0.0 340,130.5 54,561.7 172,352.0 0.0 352,671.5 331,795.6
<= $100MM 347,320.5 0.0 729,161.7 928,057.3 * 0.0 634,935.5 112,172.0
> $100MM 0.0 0.0 * * 0.0 * 0.0 0.0
NUMBER OF TRADES 120 0 171 34 85 * 228 126
Customer Buy 53 0 79 10 24 * 121 61
Customer Sell 51 0 91 24 46 * 90 63
Dealer to Dealer 16 0 * 0 15 0 17 *
<= $1MM 58 0 51 0 40 0 123 23
<= $10MM 44 0 83 7 43 0 83 95
<= $100MM 18 0 35 25 * 0 22 8
> $100MM 0 0 * * 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 72.1 3.1 71.0 * 103.2 * 87.3 65.3
Weighted Avg. Price 63.5 3.1 75.6 * 103.0 * 65.5 68.2
Avg. Price Bottom 5 Trades 25.3 3.1 41.6 * 94.6 * 44.6 36.5
2nd Quartile Price 65.0 * 62.8 * 100.5 * 75.5 53.4
3rd Quartile Price 73.0 * 76.0 * 103.3 * 95.5 62.3
4th Quartile Price 86.5 * 86.0 * 104.3 * 101.2 77.5
Avg. Price Top 5 Trades 100.4 3.1 93.1 * 114.5 * 105.6 84.2
Standard Deviation 17.8 0.0 18.8 * 4.4 * 19.1 14.7
VOLUME OF TRADES (000'S) 956,111.2 335,848.0 326,212.9 * 1,000,349.1 * 199,126.7 374,088.0
Customer Buy 549,512.9 96,047.4 194,004.1 * 562,894.2 * 65,230.0 321,782.5
Customer Sell 389,385.5 * 132,208.8 * 375,226.4 * 133,034.7 52,305.5
Dealer to Dealer 17,212.7 143,771.8 0.0 0.0 62,228.5 * 862.0 0.0
<= $1MM 10,489.6 0.0 2,410.7 0.0 6,181.3 0.0 8,976.0 7,993.5
<= $10MM 485,842.0 117,529.4 79,303.5 0.0 248,009.6 0.0 144,163.7 303,079.3
<= $100MM 459,779.6 * 244,498.7 * 746,158.3 * * 63,015.2
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 285 25 30 * 96 * 68 96
Customer Buy 157 17 19 * 41 * 21 75
Customer Sell 88 * 11 * 37 * 42 21
Dealer to Dealer 40 7 0 0 18 * 5 0
<= $1MM 152 0 5 0 23 0 26 10
<= $10MM 103 22 19 0 42 0 40 81
<= $100MM 30 * 6 * 31 * * 5
> $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 94.3 0.0 97.4 97.2
Weighted Avg. Price 93.5 0.0 98.9 97.1
Avg. Price Bottom 5 Trades 89.7 0.0 91.9 77.4
2nd Quartile Price 91.5 0.0 99.4 97.8
3rd Quartile Price 95.3 0.0 100.1 99.9
4th Quartile Price 96.2 0.0 100.3 100.9
Avg. Price Top 5 Trades 99.6 0.0 100.4 101.4
Standard Deviation 3.1 0.0 6.4 7.3
VOLUME OF TRADES (000'S) 31,492.4 0.0 58,189.7 467,254.2
Customer Buy 22,123.7 0.0 24,880.0 263,229.5
Customer Sell 8,241.7 0.0 33,309.7 203,852.1
Dealer to Dealer 1,126.9 0.0 0.0 *
<= $1MM 7,415.9 0.0 * 2,058.4
<= $10MM 24,076.6 0.0 34,332.8 138,969.2
<= $100MM 0.0 0.0 * 326,226.7
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 54 0 15 51
Customer Buy 23 0 6 24
Customer Sell 16 0 9 26
Dealer to Dealer 15 0 0 *
<= $1MM 48 0 * 7
<= $10MM 6 0 10 28
<= $100MM 0 0 * 16
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 72.1 0.0 * 71.8
Weighted Avg. Price 60.8 0.0 * 71.2
Avg. Price Bottom 5 Trades 25.3 0.0 * 65.4
2nd Quartile Price 63.3 0.0 * 67.0
3rd Quartile Price 73.4 0.0 * 70.0
4th Quartile Price 87.2 0.0 * 75.4
Avg. Price Top 5 Trades 100.4 0.0 * 83.8
Standard Deviation 18.6 0.0 * 7.1
VOLUME OF TRADES (000'S) 700,242.9 0.0 * 235,014.3
Customer Buy 426,897.9 0.0 * 112,188.0
Customer Sell 256,132.2 0.0 * 122,826.3
Dealer to Dealer 17,212.7 0.0 0.0 0.0
<= $1MM 10,489.6 0.0 0.0 0.0
<= $10MM 391,253.7 0.0 0.0 94,588.3
<= $100MM 298,499.6 0.0 * 140,426.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 258 0 * 25
Customer Buy 146 0 * 10
Customer Sell 72 0 * 15
Dealer to Dealer 40 0 0 0
<= $1MM 152 0 0 0
<= $10MM 88 0 0 15
<= $100MM 18 0 * 10
> $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 3.1 0.0 0.0
Weighted Avg. Price 0.0 3.1 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 3.1 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 3.1 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 335,848.0 0.0 0.0
Customer Buy 0.0 96,047.4 0.0 0.0
Customer Sell 0.0 * 0.0 0.0
Dealer to Dealer 0.0 143,771.8 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 117,529.4 0.0 0.0
<= $100MM 0.0 * 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 25 0 0
Customer Buy 0 17 0 0
Customer Sell 0 * 0 0
Dealer to Dealer 0 7 0 0
<= $1MM 0 0 0 0
<= $10MM 0 22 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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