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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 100.5 * 102.0 * 105.7 * 100.6 95.7
Weighted Avg. Price 103.1 * 102.0 * 106.0 * 101.9 93.8
Avg. Price Bottom 5 Trades 93.3 * 86.2 * 96.8 * 94.7 81.3
2nd Quartile Price 100.0 * 100.1 * 101.0 * 99.6 99.4
3rd Quartile Price 101.3 * 102.1 * 104.5 * 100.2 100.1
4th Quartile Price 102.1 * 105.6 * 111.9 * 101.0 100.3
Avg. Price Top 5 Trades 105.1 * 114.2 * 116.4 * 109.9 100.6
Standard Deviation 3.3 * 6.4 * 6.4 * 2.1 7.6
VOLUME OF TRADES (000'S) 92,559.3 * 327,790.0 * 135,673.4 * 523,109.9 348,386.5
Customer Buy 26,703.2 * 153,350.5 0.0 67,231.5 0.0 306,279.4 151,675.9
Customer Sell 64,374.2 * 160,650.6 * 52,087.9 * 210,067.4 181,710.6
Dealer to Dealer 1,481.9 0.0 13,789.0 0.0 16,353.9 0.0 6,763.1 *
<= $1MM 7,370.5 0.0 14,249.0 0.0 5,673.4 0.0 32,269.7 5,168.2
<= $10MM 70,688.8 0.0 272,293.0 * 30,000.0 0.0 208,684.0 80,478.3
<= $100MM * * * 0.0 * * 282,156.2 262,740.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 52 * 137 * 60 * 264 45
Customer Buy 13 * 71 0 15 0 105 19
Customer Sell 29 * 59 * 28 * 122 25
Dealer to Dealer 10 0 7 0 17 0 37 *
<= $1MM 36 0 63 0 52 0 177 9
<= $10MM 15 0 71 * 6 0 66 21
<= $100MM * * * 0 * * 21 15
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 82.0 8.4 87.8 0.0 103.4 8.4 465.3 92.1
Weighted Avg. Price 88.1 6.9 97.0 0.0 102.6 4.4 87.1 91.7
Avg. Price Bottom 5 Trades 22.9 2.8 44.4 0.0 97.4 1.2 22.3 64.1
2nd Quartile Price 70.0 2.9 92.0 0.0 100.7 2.5 100.6 90.9
3rd Quartile Price 91.0 3.9 97.9 0.0 102.0 3.0 103.2 97.5
4th Quartile Price 98.5 24.1 100.2 0.0 105.6 21.9 104.9 100.1
Avg. Price Top 5 Trades 104.7 12.1 102.3 0.0 117.7 18.9 4,347.4 100.9
Standard Deviation 20.4 10.1 25.3 0.0 4.8 11.0 1,894.1 13.1
VOLUME OF TRADES (000'S) 123,419.6 119,818.2 113,869.6 0.0 725,277.6 784,855.3 171,722.0 148,082.5
Customer Buy 61,601.0 * 69,918.6 0.0 85,778.3 251,258.9 79,144.0 73,676.0
Customer Sell 54,927.1 * 43,641.0 0.0 614,427.1 533,596.5 87,045.4 74,406.5
Dealer to Dealer 6,891.5 0.0 * 0.0 25,072.3 0.0 5,532.6 0.0
<= $1MM 10,443.6 0.0 2,832.0 0.0 13,394.7 0.0 12,221.7 2,544.0
<= $10MM 102,527.4 * 111,037.6 0.0 213,421.4 * 105,100.2 123,538.5
<= $100MM * 101,297.1 0.0 0.0 498,461.5 775,621.5 * *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 214 8 38 0 99 13 80 35
Customer Buy 95 * 20 0 19 6 35 17
Customer Sell 75 * 16 0 65 7 34 18
Dealer to Dealer 44 0 * 0 15 0 11 0
<= $1MM 183 0 10 0 41 0 50 5
<= $10MM 30 * 28 0 35 * 26 28
<= $100MM * 6 0 0 23 11 * *
> $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 97.9 0.0 * 101.8
Weighted Avg. Price 99.5 0.0 * 102.5
Avg. Price Bottom 5 Trades 93.3 0.0 * 100.2
2nd Quartile Price 96.0 0.0 * 101.2
3rd Quartile Price 99.5 0.0 * 101.4
4th Quartile Price 100.6 0.0 * 102.5
Avg. Price Top 5 Trades 101.2 0.0 * 104.1
Standard Deviation 3.6 0.0 * 1.4
VOLUME OF TRADES (000'S) 1,343.1 0.0 * 65,940.1
Customer Buy * 0.0 0.0 25,714.5
Customer Sell 320.2 0.0 * 38,778.1
Dealer to Dealer 34.3 0.0 0.0 1,447.5
<= $1MM 1,343.1 0.0 0.0 6,027.3
<= $10MM 0.0 0.0 * 45,412.8
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 20 0 * 28
Customer Buy * 0 0 9
Customer Sell 11 0 * 14
Dealer to Dealer 5 0 0 5
<= $1MM 20 0 0 16
<= $10MM 0 0 * 11
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 81.8 76.5 * *
Weighted Avg. Price 91.2 68.6 * *
Avg. Price Bottom 5 Trades 22.9 71.7 * *
2nd Quartile Price 70.1 67.3 * *
3rd Quartile Price 91.0 100.8 * *
4th Quartile Price 98.3 100.9 * *
Avg. Price Top 5 Trades 104.2 79.6 * *
Standard Deviation 20.6 19.0 * *
VOLUME OF TRADES (000'S) 78,211.7 21,884.8 * *
Customer Buy 41,497.0 * * 0.0
Customer Sell 29,823.2 * * *
Dealer to Dealer 6,891.5 0.0 0.0 0.0
<= $1MM 10,443.6 0.0 0.0 0.0
<= $10MM 57,319.4 21,884.8 * *
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 203 6 * *
Customer Buy 90 * * 0
Customer Sell 69 * * *
Dealer to Dealer 44 0 0 0
<= $1MM 183 0 0 0
<= $10MM 19 6 * *
<= $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 *
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 *
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 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 0 *
Customer Buy * 0 0 *
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 0 0 0
<= $100MM * 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 8.4 0.0 0.0 0.0
Weighted Avg. Price 6.9 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 2.8 0.0 0.0 0.0
2nd Quartile Price 2.9 0.0 0.0 0.0
3rd Quartile Price 3.9 0.0 0.0 0.0
4th Quartile Price 24.1 0.0 0.0 0.0
Avg. Price Top 5 Trades 12.1 0.0 0.0 0.0
Standard Deviation 10.1 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 119,818.2 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 0.0
<= $10MM * 0.0 0.0 0.0
<= $100MM 101,297.1 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 8 0 0 0
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM * 0 0 0
<= $100MM 6 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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