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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 101.4 0.0 104.0 * 110.3 * 101.2 98.1
Weighted Avg. Price 102.7 0.0 104.9 * 115.5 * 101.3 99.0
Avg. Price Bottom 5 Trades 96.6 0.0 86.9 * 101.8 * 92.0 88.9
2nd Quartile Price 99.6 0.0 99.9 * 106.3 * 100.2 98.9
3rd Quartile Price 101.1 0.0 104.4 * 109.0 * 101.3 99.4
4th Quartile Price 102.0 0.0 109.9 * 115.4 * 102.5 99.8
Avg. Price Top 5 Trades 108.3 0.0 118.2 * 120.0 * 108.0 100.2
Standard Deviation 3.0 0.0 7.2 * 5.5 * 2.6 3.4
VOLUME OF TRADES (000'S) 171,704.2 0.0 598,575.2 * 15,537.2 * 453,374.1 303,989.7
Customer Buy 59,041.3 0.0 260,077.7 * 522.2 * 212,789.6 153,013.6
Customer Sell 110,603.8 0.0 288,117.5 * 12,986.6 0.0 227,121.6 150,976.1
Dealer to Dealer 2,059.1 0.0 50,380.0 0.0 2,028.5 0.0 13,462.9 0.0
<= $1MM 12,331.1 0.0 20,848.2 0.0 5,837.2 0.0 33,911.5 8,745.9
<= $10MM 78,334.5 0.0 276,236.0 0.0 * 0.0 249,982.6 152,839.1
<= $100MM 81,038.6 0.0 301,491.0 * 0.0 * 169,480.0 142,404.8
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 64 0 136 * 44 * 226 63
Customer Buy 23 0 53 * 5 * 96 26
Customer Sell 34 0 76 * 27 0 112 37
Dealer to Dealer 7 0 7 0 12 0 18 0
<= $1MM 44 0 61 0 41 0 141 15
<= $10MM 13 0 62 0 * 0 76 41
<= $100MM 7 0 13 * 0 * 9 7
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 34.1 16.6 88.6 * 104.2 32.6 554.9 74.4
Weighted Avg. Price 42.4 13.4 93.9 * 102.5 37.6 99.1 68.6
Avg. Price Bottom 5 Trades 0.5 7.8 80.1 * 98.5 23.6 48.4 22.1
2nd Quartile Price 0.0 7.3 93.6 * 100.4 7.7 99.3 76.1
3rd Quartile Price 0.0 25.5 95.3 * 102.3 56.3 100.4 85.3
4th Quartile Price 78.7 30.9 98.1 * 108.9 59.5 102.9 92.0
Avg. Price Top 5 Trades 108.2 25.3 96.8 * 115.2 41.5 3,321.0 97.4
Standard Deviation 41.8 10.7 15.7 * 5.2 27.7 1,998.0 29.8
VOLUME OF TRADES (000'S) 175,701.2 76,727.4 71,092.0 * 93,239.0 165,359.1 160,135.0 119,823.5
Customer Buy 80,779.6 38,363.7 * 0.0 46,902.6 * 86,564.4 70,114.2
Customer Sell 89,178.9 38,363.7 43,546.0 * 35,547.3 * 65,008.3 49,709.2
Dealer to Dealer 5,742.7 0.0 0.0 0.0 10,789.1 * 8,562.3 0.0
<= $1MM 76,090.5 * 0.0 0.0 11,886.0 0.0 1,734.5 7,696.7
<= $10MM 74,232.4 32,312.3 51,092.0 * 49,353.0 0.0 146,400.5 112,126.8
<= $100MM * * * 0.0 * 165,359.1 * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 465 10 10 * 62 8 56 51
Customer Buy 202 5 * 0 17 * 25 30
Customer Sell 196 5 6 * 29 * 25 21
Dealer to Dealer 67 0 0 0 16 * 6 0
<= $1MM 422 * 0 0 49 0 18 17
<= $10MM 41 6 9 * 11 0 37 34
<= $100MM * * * 0 * 8 * 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 99.3 * * 102.7
Weighted Avg. Price 98.3 * * 103.0
Avg. Price Bottom 5 Trades 96.6 * * 99.9
2nd Quartile Price 98.6 * * 101.2
3rd Quartile Price 99.5 * * 101.8
4th Quartile Price 100.0 * * 105.7
Avg. Price Top 5 Trades 101.2 * * 108.3
Standard Deviation 1.9 * * 2.8
VOLUME OF TRADES (000'S) 10,694.4 * * 160,962.9
Customer Buy 5,006.6 0.0 0.0 54,034.7
Customer Sell 5,628.7 * * 104,928.3
Dealer to Dealer 59.1 0.0 0.0 *
<= $1MM 758.3 * * 11,525.9
<= $10MM * 0.0 0.0 68,398.5
<= $100MM 0.0 0.0 0.0 81,038.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 24 * * 38
Customer Buy 9 0 0 14
Customer Sell 10 * * 22
Dealer to Dealer 5 0 0 *
<= $1MM 22 * * 20
<= $10MM * 0 0 11
<= $100MM 0 0 0 7
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 33.5 0.0 * *
Weighted Avg. Price 31.6 0.0 * *
Avg. Price Bottom 5 Trades 0.5 0.0 * *
2nd Quartile Price 0.0 0.0 * *
3rd Quartile Price 0.0 0.0 * *
4th Quartile Price 78.5 0.0 * *
Avg. Price Top 5 Trades 108.1 0.0 * *
Standard Deviation 41.5 0.0 * *
VOLUME OF TRADES (000'S) 148,322.8 0.0 * *
Customer Buy 66,401.1 0.0 0.0 *
Customer Sell 76,178.9 0.0 * *
Dealer to Dealer 5,742.7 0.0 0.0 0.0
<= $1MM 74,090.5 0.0 * *
<= $10MM 74,232.4 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 461 0 * *
Customer Buy 200 0 0 *
Customer Sell 194 0 * *
Dealer to Dealer 67 0 0 0
<= $1MM 420 0 * *
<= $10MM 41 0 0 0
<= $100MM 0 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 16.6 0.0 0.0 0.0
Weighted Avg. Price 13.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 7.8 0.0 0.0 0.0
2nd Quartile Price 7.3 0.0 0.0 0.0
3rd Quartile Price 25.5 0.0 0.0 0.0
4th Quartile Price 30.9 0.0 0.0 0.0
Avg. Price Top 5 Trades 25.3 0.0 0.0 0.0
Standard Deviation 10.7 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 76,727.4 0.0 0.0 0.0
Customer Buy 38,363.7 0.0 0.0 0.0
Customer Sell 38,363.7 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 32,312.3 0.0 0.0 0.0
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 10 0 0 0
Customer Buy 5 0 0 0
Customer Sell 5 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM * 0 0 0
<= $10MM 6 0 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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