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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 99.0 0.0 103.1 6.1 106.0 0.0 101.3 100.0
Weighted Avg. Price 101.3 0.0 104.9 6.6 106.4 0.0 102.5 100.0
Avg. Price Bottom 5 Trades 87.1 0.0 87.6 5.2 96.8 0.0 86.6 99.7
2nd Quartile Price 98.0 0.0 100.2 5.6 103.1 0.0 100.1 100.0
3rd Quartile Price 100.0 0.0 102.6 6.6 106.3 0.0 100.8 100.0
4th Quartile Price 101.7 0.0 107.0 6.8 108.5 0.0 101.8 100.1
Avg. Price Top 5 Trades 105.9 0.0 113.3 7.1 115.5 0.0 115.5 100.4
Standard Deviation 5.2 0.0 5.6 2.0 4.7 0.0 3.9 0.2
VOLUME OF TRADES (000'S) 132,430.5 0.0 748,700.5 197,296.3 57,334.9 0.0 629,194.6 154,417.5
Customer Buy 57,329.5 0.0 354,178.2 * 28,386.0 0.0 320,267.7 117,090.1
Customer Sell 74,802.7 0.0 370,800.3 177,788.2 13,856.0 0.0 266,717.2 33,812.3
Dealer to Dealer 298.3 0.0 23,722.1 0.0 15,092.9 0.0 42,209.7 *
<= $1MM 14,416.3 0.0 31,579.2 0.0 20,597.9 0.0 51,375.5 21,439.0
<= $10MM * 0.0 315,844.6 * 36,737.0 0.0 359,517.3 96,157.5
<= $100MM 94,970.1 0.0 401,276.7 190,832.6 0.0 0.0 218,301.8 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 64 0 193 8 82 0 257 73
Customer Buy 23 0 80 * 24 0 117 40
Customer Sell 31 0 90 6 37 0 118 30
Dealer to Dealer 10 0 23 0 21 0 22 *
<= $1MM 55 0 83 0 65 0 134 44
<= $10MM * 0 90 * 17 0 111 27
<= $100MM 5 0 20 6 0 0 12 *
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 55.1 * 84.4 59.5 103.2 14.6 99.0 85.1
Weighted Avg. Price 69.2 * 68.2 63.0 106.2 6.4 97.5 73.5
Avg. Price Bottom 5 Trades 0.6 * 24.6 52.1 97.1 4.9 82.0 23.6
2nd Quartile Price 0.0 * 80.4 1.6 100.2 5.8 99.5 88.3
3rd Quartile Price 72.5 * 95.8 103.1 100.5 17.8 100.3 96.1
4th Quartile Price 91.2 * 100.1 103.9 106.3 21.2 102.8 100.0
Avg. Price Top 5 Trades 118.2 * 103.8 83.1 117.2 28.8 105.2 100.4
Standard Deviation 41.1 * 25.8 54.9 5.6 12.0 10.2 24.0
VOLUME OF TRADES (000'S) 186,743.0 * 375,790.2 37,325.5 226,203.6 1,795,958.8 209,404.7 298,736.2
Customer Buy 78,011.6 * 185,491.9 * 77,605.6 1,560,076.9 141,876.2 133,769.4
Customer Sell 105,240.3 * 172,844.8 * 116,098.5 * 55,695.7 164,966.8
Dealer to Dealer 3,491.1 0.0 * 0.0 32,499.4 * 11,832.8 0.0
<= $1MM 39,719.4 * 8,474.0 * 13,738.5 0.0 4,556.1 7,822.4
<= $10MM 91,708.1 0.0 108,368.5 * 80,295.1 60,297.0 157,510.7 148,072.8
<= $100MM * * 258,947.6 * * 313,712.8 * 142,841.0
> $100MM 0.0 0.0 0.0 0.0 0.0 1,421,949.0 0.0 0.0
NUMBER OF TRADES 351 * 55 7 68 22 57 70
Customer Buy 91 * 30 * 13 18 32 34
Customer Sell 200 * 22 * 41 * 20 36
Dealer to Dealer 60 0 * 0 14 * 5 0
<= $1MM 305 * 19 * 42 0 10 13
<= $10MM 42 0 28 * 22 7 44 49
<= $100MM * * 8 * * 9 * 8
> $100MM 0 0 0 0 0 6 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 96.2 0.0 0.0 102.4
Weighted Avg. Price 99.7 0.0 0.0 101.5
Avg. Price Bottom 5 Trades 87.1 0.0 0.0 100.3
2nd Quartile Price 96.5 0.0 0.0 101.3
3rd Quartile Price 98.2 0.0 0.0 101.7
4th Quartile Price 99.3 0.0 0.0 104.1
Avg. Price Top 5 Trades 100.8 0.0 0.0 105.9
Standard Deviation 5.4 0.0 0.0 2.0
VOLUME OF TRADES (000'S) 14,621.9 0.0 0.0 117,808.5
Customer Buy 6,830.2 0.0 0.0 50,499.3
Customer Sell 7,686.1 0.0 0.0 67,116.6
Dealer to Dealer 105.6 0.0 0.0 *
<= $1MM 2,975.6 0.0 0.0 11,440.7
<= $10MM * 0.0 0.0 *
<= $100MM 0.0 0.0 0.0 94,970.1
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 35 0 0 29
Customer Buy 12 0 0 11
Customer Sell 14 0 0 17
Dealer to Dealer 9 0 0 *
<= $1MM 33 0 0 22
<= $10MM * 0 0 *
<= $100MM 0 0 0 5
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 53.8 0.0 85.8 89.5
Weighted Avg. Price 61.4 0.0 89.1 93.1
Avg. Price Bottom 5 Trades 0.6 0.0 83.5 84.3
2nd Quartile Price 0.0 0.0 92.0 100.0
3rd Quartile Price 72.2 0.0 97.0 100.2
4th Quartile Price 90.7 0.0 97.3 104.1
Avg. Price Top 5 Trades 118.0 0.0 89.4 101.1
Standard Deviation 41.2 0.0 13.9 19.9
VOLUME OF TRADES (000'S) 136,796.6 0.0 32,909.6 17,036.8
Customer Buy 48,472.0 0.0 * *
Customer Sell 84,833.5 0.0 * *
Dealer to Dealer 3,491.1 0.0 0.0 0.0
<= $1MM 38,599.3 0.0 * *
<= $10MM 71,181.5 0.0 * 16,266.9
<= $100MM * 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 338 0 6 7
Customer Buy 85 0 * *
Customer Sell 193 0 * *
Dealer to Dealer 60 0 0 0
<= $1MM 301 0 * *
<= $10MM 35 0 * 5
<= $100MM * 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 * 0.0 * 0.0
Weighted Avg. Price * 0.0 * 0.0
Avg. Price Bottom 5 Trades * 0.0 * 0.0
2nd Quartile Price * 0.0 * 0.0
3rd Quartile Price * 0.0 * 0.0
4th Quartile Price * 0.0 * 0.0
Avg. Price Top 5 Trades * 0.0 * 0.0
Standard Deviation * 0.0 * 0.0
VOLUME OF TRADES (000'S) * 0.0 * 0.0
Customer Buy 0.0 0.0 * 0.0
Customer Sell * 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
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 * 0
Customer Buy 0 0 * 0
Customer Sell * 0 * 0
Dealer to Dealer 0 0 0 0
<= $1MM * 0 0 0
<= $10MM 0 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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