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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
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 100.6 - 101.9 98.3 108.1 * 101.1 99.9
Weighted Avg. Price 101.7 - 101.7 98.5 107.8 * 101.8 100.0
Avg. Price Bottom 5 Trades 95.9 - 68.5 98.1 95.5 * 96.7 98.4
2nd Quartile Price 100.3 - 100.1 98.5 105.0 * 100.0 100.0
3rd Quartile Price 101.0 - 103.3 99.2 108.6 * 100.8 100.0
4th Quartile Price 101.9 - 108.0 99.5 114.0 * 102.1 100.1
Avg. Price Top 5 Trades 104.1 - 113.0 98.9 117.3 * 107.7 100.6
Standard Deviation 2.8 - 10.0 1.4 6.3 * 2.1 0.6
VOLUME OF TRADES (000'S) 74,590.2 - 316,351.6 14,000.0 211,444.2 * 446,844.1 275,937.1
Customer Buy 39,622.9 - 181,954.5 * 77,484.4 * 270,812.8 115,924.2
Customer Sell 34,361.4 - 119,262.8 * 66,008.5 * 169,078.6 132,512.9
Dealer to Dealer 606.0 - 15,134.3 * 67,951.2 * 6,952.7 27,500.0
<= $1MM 7,457.8 - 26,241.3 * 9,314.7 - 16,907.6 17,827.2
<= $10MM 67,132.5 - 159,584.6 * 45,143.1 - 230,029.5 183,173.9
<= $100MM - - 130,525.7 - 156,986.4 * 199,907.0 74,936.0
> $100MM - - - - - - - -
NUMBER OF TRADES 50 - 114 6 97 * 199 86
Customer Buy 18 - 45 * 26 * 84 38
Customer Sell 24 - 60 * 40 * 92 42
Dealer to Dealer 8 - 9 * 31 * 23 6
<= $1MM 34 - 65 * 73 - 116 25
<= $10MM 16 - 44 * 15 - 67 56
<= $100MM - - 5 - 9 * 16 5
> $100MM - - - - - - - -
Non-Investment Grade †
AVERAGE PRICE 83.9 * 71.1 * 103.6 24.0 90.4 89.0
Weighted Avg. Price 94.6 * 80.6 * 106.4 32.0 82.9 49.4
Avg. Price Bottom 5 Trades 5.6 * 38.3 * 96.0 12.7 45.0 31.8
2nd Quartile Price 73.8 * 61.1 * 99.7 21.6 100.0 94.0
3rd Quartile Price 94.0 * 78.0 * 101.8 23.0 102.0 97.9
4th Quartile Price 97.8 * 91.9 * 108.2 25.9 103.1 99.3
Avg. Price Top 5 Trades 179.5 * 100.5 * 117.3 36.7 106.4 100.3
Standard Deviation 32.5 * 22.3 * 6.0 13.8 26.4 24.0
VOLUME OF TRADES (000'S) 384,707.1 * 85,095.5 * 301,845.5 549,639.0 41,128.1 295,170.7
Customer Buy 222,359.8 * 45,131.8 - 158,867.7 260,404.6 18,130.3 127,298.2
Customer Sell 148,643.5 * 39,761.6 * 88,886.3 289,234.4 22,972.9 167,872.5
Dealer to Dealer 13,703.9 - 202.1 - 54,091.5 - * -
<= $1MM 14,343.6 - 2,270.7 - 11,306.7 - 2,804.7 12,200.0
<= $10MM 94,139.8 * 82,824.8 * 108,001.6 - 38,323.4 136,484.5
<= $100MM 276,223.7 * - - 182,537.2 318,478.5 - *
> $100MM - - - - - * - -
NUMBER OF TRADES 218 * 37 * 92 15 24 58
Customer Buy 105 * 19 - 34 7 11 26
Customer Sell 69 * 10 * 30 8 12 32
Dealer to Dealer 44 - 8 - 28 - * -
<= $1MM 178 - 19 - 50 - 12 14
<= $10MM 28 * 18 * 34 - 12 41
<= $100MM 12 * - - 8 13 - *
> $100MM - - - - - * - -

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 99.4 * - 101.8
Weighted Avg. Price 101.2 * - 101.8
Avg. Price Bottom 5 Trades 95.3 * - 100.3
2nd Quartile Price 99.8 * - 100.9
3rd Quartile Price 100.7 * - 101.7
4th Quartile Price 101.1 * - 103.0
Avg. Price Top 5 Trades 101.9 * - 104.2
Standard Deviation 3.2 * - 1.7
VOLUME OF TRADES (000'S) 11,954.2 * - 62,525.2
Customer Buy * * - 35,311.1
Customer Sell 7,091.8 * - 27,214.2
Dealer to Dealer 606.0 - - -
<= $1MM 3,601.3 * - 3,745.6
<= $10MM 8,352.8 - - 58,779.7
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 26 * - 22
Customer Buy * * - 13
Customer Sell 14 * - 9
Dealer to Dealer 8 - - -
<= $1MM 21 * - 11
<= $10MM 5 - - 11
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 83.5 * - 95.7
Weighted Avg. Price 93.4 * - 96.9
Avg. Price Bottom 5 Trades 5.6 * - 94.5
2nd Quartile Price 73.8 * - 99.5
3rd Quartile Price 92.6 * - 101.9
4th Quartile Price 97.6 * - 102.0
Avg. Price Top 5 Trades 179.5 * - 100.5
Standard Deviation 32.9 * - 11.8
VOLUME OF TRADES (000'S) 255,779.6 * - 126,334.7
Customer Buy 147,759.7 - - *
Customer Sell 94,316.0 * - *
Dealer to Dealer 13,703.9 - - -
<= $1MM 14,343.6 - - -
<= $10MM 82,094.1 * - *
<= $100MM 159,341.9 - - 116,881.8
> $100MM - - - -
NUMBER OF TRADES 211 * - 6
Customer Buy 101 - - *
Customer Sell 66 * - *
Dealer to Dealer 44 - - -
<= $1MM 178 - - -
<= $10MM 26 * - *
<= $100MM 7 - - 5
> $100MM - - - -

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 - - - -
Weighted Avg. Price - - - -
Avg. Price Bottom 5 Trades - - - -
2nd Quartile Price - - - -
3rd Quartile Price - - - -
4th Quartile Price - - - -
Avg. Price Top 5 Trades - - - -
Standard Deviation - - - -
VOLUME OF TRADES (000'S) - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE * * - -
Weighted Avg. Price * * - -
Avg. Price Bottom 5 Trades * * - -
2nd Quartile Price * * - -
3rd Quartile Price * * - -
4th Quartile Price * * - -
Avg. Price Top 5 Trades * * - -
Standard Deviation * * - -
VOLUME OF TRADES (000'S) * * - -
Customer Buy * * - -
Customer Sell * * - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM * - - -
<= $100MM - * - -
> $100MM - - - -
NUMBER OF TRADES * * - -
Customer Buy * * - -
Customer Sell * * - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM * - - -
<= $100MM - * - -
> $100MM - - - -

* 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 List or 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 [email protected].
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