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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 99.3 0.0 100.1 5.1 109.0 0.0 98.8 94.2
Weighted Avg. Price 101.2 0.0 96.9 5.2 113.2 0.0 100.6 95.7
Avg. Price Bottom 5 Trades 88.4 0.0 55.8 4.3 99.3 0.0 50.9 81.5
2nd Quartile Price 98.5 0.0 98.6 4.3 104.0 0.0 99.2 91.0
3rd Quartile Price 99.6 0.0 103.0 6.8 108.7 0.0 100.7 96.8
4th Quartile Price 101.6 0.0 107.5 9.4 114.9 0.0 102.1 98.2
Avg. Price Top 5 Trades 105.2 0.0 117.1 6.1 119.0 0.0 108.4 98.8
Standard Deviation 4.0 0.0 13.2 3.3 6.3 0.0 9.3 4.9
VOLUME OF TRADES (000'S) 185,456.9 0.0 1,065,953.1 199,536.4 253,551.7 0.0 1,261,627.6 630,780.3
Customer Buy 77,585.3 0.0 568,741.6 144,438.3 96,505.6 0.0 540,796.9 293,831.9
Customer Sell 93,768.4 0.0 462,513.8 * 151,750.8 0.0 695,280.5 299,656.6
Dealer to Dealer 14,103.2 0.0 34,697.7 0.0 5,295.3 0.0 25,550.2 37,291.9
<= $1MM 12,101.4 0.0 44,188.9 0.0 5,307.5 0.0 35,925.3 16,894.4
<= $10MM 52,739.1 0.0 437,099.4 * 43,078.6 0.0 381,507.6 414,207.7
<= $100MM 120,616.4 0.0 584,664.8 190,810.0 205,165.6 0.0 844,194.7 199,678.1
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 68 0 235 6 60 0 276 140
Customer Buy 26 0 116 5 15 0 134 66
Customer Sell 29 0 92 * 39 0 121 66
Dealer to Dealer 13 0 27 0 6 0 21 8
<= $1MM 44 0 109 0 39 0 130 26
<= $10MM 16 0 97 * 15 0 110 104
<= $100MM 8 0 29 5 6 0 36 10
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 76.1 10.1 80.8 * 104.3 * 100.2 72.4
Weighted Avg. Price 2.9 1.4 80.2 * 105.1 * 96.4 75.8
Avg. Price Bottom 5 Trades 6.6 6.5 62.3 * 94.0 * 72.6 35.8
2nd Quartile Price 66.3 7.4 75.0 * 101.3 * 97.5 62.8
3rd Quartile Price 86.0 15.4 80.3 * 103.2 * 104.1 76.0
4th Quartile Price 91.9 20.2 92.7 * 106.5 * 106.9 83.5
Avg. Price Top 5 Trades 99.7 15.6 98.0 * 121.3 * 111.2 97.1
Standard Deviation 23.3 8.2 11.8 * 6.3 * 9.9 16.3
VOLUME OF TRADES (000'S) 4,542,522.0 530,611.6 138,568.7 * 475,980.4 * 143,380.2 139,357.5
Customer Buy 103,149.7 * 83,754.0 * 260,393.3 0.0 65,378.8 71,822.9
Customer Sell 4,428,126.4 481,907.7 52,712.7 0.0 111,540.8 * 74,014.4 65,534.6
Dealer to Dealer 11,246.0 * * 0.0 104,046.3 0.0 3,986.9 *
<= $1MM 30,517.3 3,066.3 5,202.0 0.0 4,887.1 0.0 16,156.5 12,304.2
<= $10MM 97,900.3 0.0 85,486.7 * 135,191.3 * 127,223.7 127,053.3
<= $100MM * * * * 228,144.0 0.0 0.0 0.0
> $100MM 4,354,908.7 * 0.0 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 227 10 35 * 88 * 89 64
Customer Buy 115 * 16 * 30 0 27 31
Customer Sell 83 6 15 0 39 * 43 32
Dealer to Dealer 29 * * 0 19 0 19 *
<= $1MM 189 5 16 0 45 0 57 26
<= $10MM 30 0 17 * 32 * 32 38
<= $100MM * * * * 10 0 0 0
> $100MM 5 * 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 97.7 0.0 * 101.2
Weighted Avg. Price 98.3 0.0 * 101.7
Avg. Price Bottom 5 Trades 88.4 0.0 * 97.0
2nd Quartile Price 96.8 0.0 * 100.6
3rd Quartile Price 99.3 0.0 * 101.0
4th Quartile Price 99.7 0.0 * 103.0
Avg. Price Top 5 Trades 102.3 0.0 * 104.6
Standard Deviation 4.1 0.0 * 2.7
VOLUME OF TRADES (000'S) 30,156.5 0.0 * 154,426.8
Customer Buy 4,503.5 0.0 0.0 73,081.8
Customer Sell 15,358.6 0.0 * 77,536.2
Dealer to Dealer 10,294.3 0.0 0.0 *
<= $1MM 6,634.9 0.0 * 4,592.9
<= $10MM 23,521.6 0.0 0.0 29,217.6
<= $100MM 0.0 0.0 0.0 120,616.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 39 0 * 28
Customer Buy 15 0 0 11
Customer Sell 12 0 * 16
Dealer to Dealer 12 0 0 *
<= $1MM 31 0 * 12
<= $10MM 8 0 0 8
<= $100MM 0 0 0 8
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 75.8 0.0 0.0 *
Weighted Avg. Price 2.8 0.0 0.0 *
Avg. Price Bottom 5 Trades 6.6 0.0 0.0 *
2nd Quartile Price 66.0 0.0 0.0 *
3rd Quartile Price 85.6 0.0 0.0 *
4th Quartile Price 91.6 0.0 0.0 *
Avg. Price Top 5 Trades 99.4 0.0 0.0 *
Standard Deviation 23.4 0.0 0.0 *
VOLUME OF TRADES (000'S) 4,538,322.0 0.0 0.0 *
Customer Buy 100,149.7 0.0 0.0 *
Customer Sell 4,426,926.4 0.0 0.0 *
Dealer to Dealer 11,246.0 0.0 0.0 0.0
<= $1MM 27,517.3 0.0 0.0 *
<= $10MM 96,700.3 0.0 0.0 *
<= $100MM * 0.0 0.0 0.0
> $100MM 4,354,908.7 0.0 0.0 0.0
NUMBER OF TRADES 223 0 0 *
Customer Buy 112 0 0 *
Customer Sell 82 0 0 *
Dealer to Dealer 29 0 0 0
<= $1MM 186 0 0 *
<= $10MM 29 0 0 *
<= $100MM * 0 0 0
> $100MM 5 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 10.1 0.0 0.0 0.0
Weighted Avg. Price 1.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 6.5 0.0 0.0 0.0
2nd Quartile Price 7.4 0.0 0.0 0.0
3rd Quartile Price 15.4 0.0 0.0 0.0
4th Quartile Price 20.2 0.0 0.0 0.0
Avg. Price Top 5 Trades 15.6 0.0 0.0 0.0
Standard Deviation 8.2 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 530,611.6 0.0 0.0 0.0
Customer Buy * 0.0 0.0 0.0
Customer Sell 481,907.7 0.0 0.0 0.0
Dealer to Dealer * 0.0 0.0 0.0
<= $1MM 3,066.3 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM * 0.0 0.0 0.0
> $100MM * 0.0 0.0 0.0
NUMBER OF TRADES 10 0 0 0
Customer Buy * 0 0 0
Customer Sell 6 0 0 0
Dealer to Dealer * 0 0 0
<= $1MM 5 0 0 0
<= $10MM 0 0 0 0
<= $100MM * 0 0 0
> $100MM * 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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