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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 99.4 * 102.3 18.1 107.1 0.0 101.8 99.7
Weighted Avg. Price 101.4 * 102.5 6.7 107.3 0.0 101.7 99.8
Avg. Price Bottom 5 Trades 90.5 * 81.8 2.5 95.9 0.0 96.1 96.3
2nd Quartile Price 98.6 * 100.0 2.6 104.6 0.0 100.3 99.8
3rd Quartile Price 100.4 * 103.2 3.6 108.0 0.0 101.3 100.0
4th Quartile Price 101.5 * 108.3 8.4 110.3 0.0 102.7 100.1
Avg. Price Top 5 Trades 105.5 * 111.7 53.7 116.5 0.0 108.9 100.5
Standard Deviation 3.9 * 7.6 32.1 5.5 0.0 2.5 1.1
VOLUME OF TRADES (000'S) 130,081.0 * 475,932.6 136,040.4 273,071.3 0.0 656,687.0 156,249.1
Customer Buy 65,413.0 * 232,608.6 88,184.2 115,638.6 0.0 295,482.5 68,213.1
Customer Sell 63,408.3 * 236,069.1 47,856.2 131,926.7 0.0 329,674.7 63,606.4
Dealer to Dealer 1,259.7 0.0 7,255.0 0.0 25,506.0 0.0 31,529.7 24,429.6
<= $1MM 9,945.4 * 15,769.8 * 7,870.9 0.0 22,819.1 27,947.5
<= $10MM 54,405.5 0.0 194,550.4 36,079.6 94,893.4 0.0 261,789.8 104,160.6
<= $100MM 65,730.2 0.0 265,612.5 98,960.8 170,307.0 0.0 372,078.0 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 81 * 104 17 83 0 198 83
Customer Buy 22 * 30 10 25 0 60 29
Customer Sell 39 * 69 7 44 0 110 45
Dealer to Dealer 20 0 5 0 14 0 28 9
<= $1MM 59 * 51 * 51 0 106 42
<= $10MM 17 0 43 9 21 0 73 39
<= $100MM 5 0 10 7 11 0 19 *
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 114.0 163.4 91.9 * 103.6 7.8 90.7 90.7
Weighted Avg. Price 87.3 1.5 99.8 * 107.0 3.4 93.7 89.7
Avg. Price Bottom 5 Trades 5.2 0.6 56.5 * 96.3 7.8 48.7 65.0
2nd Quartile Price 66.7 1.0 98.4 * 100.5 * 99.0 90.6
3rd Quartile Price 90.0 7.3 100.0 * 103.0 * 100.2 97.6
4th Quartile Price 98.1 37.8 102.6 * 106.6 * 101.4 99.9
Avg. Price Top 5 Trades 1,756.3 389.7 102.9 * 113.9 7.8 107.8 100.2
Standard Deviation 449.9 510.1 22.0 * 4.4 6.6 27.2 13.1
VOLUME OF TRADES (000'S) 236,088.0 2,290.4 81,755.0 * 333,551.0 494,708.0 110,231.5 78,754.9
Customer Buy 189,427.3 1,145.2 17,094.4 * 87,970.4 * 55,951.3 40,814.9
Customer Sell 40,612.2 1,145.2 64,656.8 * 131,018.1 * 51,866.9 37,940.0
Dealer to Dealer 6,048.5 0.0 * 0.0 114,562.6 0.0 * 0.0
<= $1MM 22,961.3 2,290.4 2,588.8 0.0 25,494.9 0.0 4,995.2 12,058.5
<= $10MM 135,367.3 0.0 79,166.2 * 71,548.6 0.0 93,986.4 66,696.5
<= $100MM * 0.0 0.0 0.0 236,507.6 * * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 333 24 31 * 104 5 48 41
Customer Buy 160 12 7 * 38 * 21 23
Customer Sell 119 12 22 * 31 * 25 18
Dealer to Dealer 54 0 * 0 35 0 * 0
<= $1MM 284 24 8 0 79 0 22 17
<= $10MM 45 0 23 * 18 0 25 24
<= $100MM * 0 0 0 7 * * 0
> $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 98.0 0.0 0.0 102.2
Weighted Avg. Price 100.8 0.0 0.0 101.5
Avg. Price Bottom 5 Trades 90.5 0.0 0.0 100.2
2nd Quartile Price 95.9 0.0 0.0 101.0
3rd Quartile Price 99.6 0.0 0.0 101.8
4th Quartile Price 100.8 0.0 0.0 103.6
Avg. Price Top 5 Trades 102.9 0.0 0.0 104.8
Standard Deviation 3.9 0.0 0.0 1.7
VOLUME OF TRADES (000'S) 12,458.9 0.0 0.0 117,622.2
Customer Buy 6,322.1 0.0 0.0 59,091.0
Customer Sell 4,877.1 0.0 0.0 58,531.2
Dealer to Dealer 1,259.7 0.0 0.0 0.0
<= $1MM 5,395.3 0.0 0.0 4,550.1
<= $10MM 7,063.6 0.0 0.0 47,341.9
<= $100MM 0.0 0.0 0.0 65,730.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 54 0 0 27
Customer Buy 11 0 0 11
Customer Sell 23 0 0 16
Dealer to Dealer 20 0 0 0
<= $1MM 49 0 0 10
<= $10MM 5 0 0 12
<= $100MM 0 0 0 5
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 114.9 * * 100.5
Weighted Avg. Price 87.4 * * 100.2
Avg. Price Bottom 5 Trades 5.2 * * 100.3
2nd Quartile Price 65.3 * * 100.6
3rd Quartile Price 88.0 * * 100.6
4th Quartile Price 97.8 * * 100.7
Avg. Price Top 5 Trades 1,756.3 * * 100.6
Standard Deviation 460.4 * * 0.3
VOLUME OF TRADES (000'S) 214,621.4 * * 11,235.5
Customer Buy 181,543.6 * 0.0 *
Customer Sell 27,262.7 * * 8,382.6
Dealer to Dealer 5,815.1 0.0 * 0.0
<= $1MM 18,419.2 * * 4,011.3
<= $10MM 118,442.7 * 0.0 *
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 318 * * 9
Customer Buy 155 * 0 *
Customer Sell 111 * * 6
Dealer to Dealer 52 0 * 0
<= $1MM 273 * * 7
<= $10MM 41 * 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
Weighted Avg. Price * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 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 0.0 0.0
Standard Deviation * 0.0 0.0 0.0
VOLUME OF TRADES (000'S) * 0.0 0.0 0.0
Customer Buy * 0.0 0.0 0.0
Customer Sell * 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 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
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM * 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 163.4 0.0 0.0 0.0
Weighted Avg. Price 1.5 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.6 0.0 0.0 0.0
2nd Quartile Price 1.0 0.0 0.0 0.0
3rd Quartile Price 7.3 0.0 0.0 0.0
4th Quartile Price 37.8 0.0 0.0 0.0
Avg. Price Top 5 Trades 389.7 0.0 0.0 0.0
Standard Deviation 510.1 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 2,290.4 0.0 0.0 0.0
Customer Buy 1,145.2 0.0 0.0 0.0
Customer Sell 1,145.2 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 2,290.4 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 24 0 0 0
Customer Buy 12 0 0 0
Customer Sell 12 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 24 0 0 0
<= $10MM 0 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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