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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 98.0 0.0 105.5 * 110.6 * 101.9 99.0
Weighted Avg. Price 102.6 0.0 103.3 * 113.3 * 102.0 98.8
Avg. Price Bottom 5 Trades 79.8 0.0 77.1 * 99.4 * 94.7 89.1
2nd Quartile Price 98.3 0.0 101.6 * 107.3 * 100.4 99.1
3rd Quartile Price 100.6 0.0 106.2 * 110.5 * 101.4 99.7
4th Quartile Price 102.3 0.0 109.8 * 114.6 * 103.1 100.0
Avg. Price Top 5 Trades 106.1 0.0 119.7 * 120.4 * 120.1 101.2
Standard Deviation 7.2 0.0 7.1 * 5.6 * 3.5 2.9
VOLUME OF TRADES (000'S) 220,093.6 0.0 532,102.5 * 175,985.2 * 925,707.7 329,932.0
Customer Buy 98,502.1 0.0 285,465.3 * 84,052.0 * 501,303.7 172,218.1
Customer Sell 119,040.9 0.0 236,677.2 * 57,603.2 * 368,128.2 142,629.2
Dealer to Dealer 2,550.7 0.0 9,960.0 0.0 34,330.0 0.0 56,275.8 15,084.7
<= $1MM 10,471.9 0.0 67,883.2 0.0 26,239.6 0.0 57,844.9 22,769.7
<= $10MM 76,819.3 0.0 327,243.3 0.0 105,441.6 0.0 424,401.3 230,512.2
<= $100MM * 0.0 136,976.0 * * * 443,461.5 76,650.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 113 0 259 * 105 * 314 107
Customer Buy 39 0 133 * 39 * 148 47
Customer Sell 43 0 115 * 33 * 148 50
Dealer to Dealer 31 0 11 0 33 0 18 10
<= $1MM 83 0 132 0 66 0 183 49
<= $10MM 26 0 116 0 37 0 112 53
<= $100MM * 0 11 * * * 19 5
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 76.5 12.4 69.9 28.1 110.3 16.6 161.2 84.6
Weighted Avg. Price 69.6 14.5 60.5 1.6 111.4 9.5 91.2 71.6
Avg. Price Bottom 5 Trades 5.1 2.7 20.4 28.1 99.5 14.9 36.9 40.3
2nd Quartile Price 68.1 8.0 44.0 * 102.5 14.5 100.0 79.0
3rd Quartile Price 80.7 16.2 75.4 * 110.4 24.3 100.8 92.3
4th Quartile Price 94.5 18.0 99.1 * 116.0 25.6 103.4 96.3
Avg. Price Top 5 Trades 128.5 21.0 104.1 28.1 122.2 18.4 1,156.4 99.7
Standard Deviation 24.6 7.6 29.8 41.7 7.9 6.9 276.3 18.5
VOLUME OF TRADES (000'S) 447,983.6 38,160.2 254,789.3 33,632.8 308,911.1 430,027.3 397,441.1 175,363.1
Customer Buy 220,408.5 11,733.8 148,137.3 * 182,938.1 * 192,303.4 86,223.1
Customer Sell 207,036.6 25,702.0 106,577.0 * 113,968.2 * 204,292.5 88,140.0
Dealer to Dealer 20,538.4 724.5 * 0.0 12,004.8 0.0 845.2 *
<= $1MM 32,349.3 5,916.3 1,267.0 * 12,491.9 * 12,158.5 11,408.8
<= $10MM 178,349.9 32,243.9 83,000.3 0.0 50,833.0 0.0 202,332.5 120,784.3
<= $100MM 237,284.4 0.0 170,522.0 * 245,586.2 * 182,950.0 *
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 455 29 40 5 49 6 116 57
Customer Buy 211 6 19 * 24 * 47 28
Customer Sell 148 16 20 * 17 * 59 28
Dealer to Dealer 96 7 * 0 8 0 10 *
<= $1MM 391 21 11 * 21 * 60 18
<= $10MM 50 8 19 0 16 0 45 37
<= $100MM 14 0 10 * 12 * 11 *
> $100MM 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 94.8 * * 102.5
Weighted Avg. Price 97.8 * * 102.8
Avg. Price Bottom 5 Trades 79.8 * * 100.7
2nd Quartile Price 90.0 * * 101.3
3rd Quartile Price 99.0 * * 102.1
4th Quartile Price 100.3 * * 103.5
Avg. Price Top 5 Trades 102.9 * * 106.1
Standard Deviation 7.9 * * 1.7
VOLUME OF TRADES (000'S) 3,611.8 * * 213,992.4
Customer Buy 1,811.8 * 0.0 96,121.3
Customer Sell 300.1 * * 116,820.4
Dealer to Dealer 1,500.0 0.0 0.0 *
<= $1MM 2,598.9 * * 5,383.6
<= $10MM * 0.0 0.0 75,806.4
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 65 * * 44
Customer Buy 18 * 0 20
Customer Sell 17 * * 23
Dealer to Dealer 30 0 0 *
<= $1MM 64 * * 15
<= $10MM * 0 0 25
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 76.0 * 0.0 101.3
Weighted Avg. Price 60.5 * 0.0 100.7
Avg. Price Bottom 5 Trades 5.1 * 0.0 99.7
2nd Quartile Price 68.0 * 0.0 99.6
3rd Quartile Price 80.6 * 0.0 100.1
4th Quartile Price 94.0 * 0.0 105.4
Avg. Price Top 5 Trades 127.5 * 0.0 102.4
Standard Deviation 24.6 * 0.0 2.6
VOLUME OF TRADES (000'S) 345,504.2 * 0.0 99,665.5
Customer Buy 168,093.5 * 0.0 *
Customer Sell 156,872.3 0.0 0.0 50,164.3
Dealer to Dealer 20,538.4 0.0 0.0 0.0
<= $1MM 30,830.4 * 0.0 *
<= $10MM 176,391.8 * 0.0 0.0
<= $100MM 138,282.1 0.0 0.0 99,002.3
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 445 * 0 8
Customer Buy 206 * 0 *
Customer Sell 143 0 0 5
Dealer to Dealer 96 0 0 0
<= $1MM 388 * 0 *
<= $10MM 49 * 0 0
<= $100MM 8 0 0 6
> $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 12.4 0.0 0.0 0.0
Weighted Avg. Price 14.5 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 2.7 0.0 0.0 0.0
2nd Quartile Price 8.0 0.0 0.0 0.0
3rd Quartile Price 16.2 0.0 0.0 0.0
4th Quartile Price 18.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 21.0 0.0 0.0 0.0
Standard Deviation 7.6 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 38,160.2 0.0 0.0 0.0
Customer Buy 11,733.8 0.0 0.0 0.0
Customer Sell 25,702.0 0.0 0.0 0.0
Dealer to Dealer 724.5 0.0 0.0 0.0
<= $1MM 5,916.3 0.0 0.0 0.0
<= $10MM 32,243.9 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 29 0 0 0
Customer Buy 6 0 0 0
Customer Sell 16 0 0 0
Dealer to Dealer 7 0 0 0
<= $1MM 21 0 0 0
<= $10MM 8 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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