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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 100.1 0.0 103.3 12.5 105.4 * 99.9 99.4
Weighted Avg. Price 100.6 0.0 103.3 12.6 101.7 * 100.5 99.4
Avg. Price Bottom 5 Trades 93.4 0.0 94.2 12.5 96.3 * 93.8 91.5
2nd Quartile Price 99.4 0.0 100.3 * 101.7 * 99.1 100.0
3rd Quartile Price 100.4 0.0 102.7 * 104.7 * 100.0 100.1
4th Quartile Price 101.2 0.0 106.6 * 109.2 * 100.8 100.1
Avg. Price Top 5 Trades 105.4 0.0 112.6 12.5 114.0 * 105.2 100.2
Standard Deviation 2.5 0.0 4.2 1.6 5.3 * 2.1 3.2
VOLUME OF TRADES (000'S) 207,696.3 0.0 151,418.1 104,585.1 59,238.2 * 254,655.5 202,711.9
Customer Buy 119,574.6 0.0 76,267.6 * 7,483.0 * 155,352.9 91,796.7
Customer Sell 83,394.1 0.0 63,993.5 * 50,016.4 * 64,879.7 108,915.2
Dealer to Dealer 4,727.7 0.0 11,156.9 0.0 1,738.8 0.0 34,422.9 *
<= $1MM 13,904.4 0.0 26,533.1 0.0 2,451.6 0.0 20,132.0 22,497.7
<= $10MM 110,912.2 0.0 124,885.0 0.0 30,454.3 0.0 146,448.1 105,989.7
<= $100MM 82,879.6 0.0 0.0 104,585.1 * 0.0 * 74,224.5
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 87 0 95 5 84 * 181 66
Customer Buy 44 0 48 * 7 * 62 24
Customer Sell 36 0 38 * 53 * 81 40
Dealer to Dealer 7 0 9 0 24 0 38 *
<= $1MM 62 0 51 0 75 0 135 34
<= $10MM 20 0 44 0 7 0 42 27
<= $100MM 5 0 0 5 * 0 * 5
> $100MM 0 0 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 90.2 * 87.2 * 103.8 16.2 89.7 83.2
Weighted Avg. Price 91.2 * 69.1 * 104.6 17.4 101.2 81.5
Avg. Price Bottom 5 Trades 49.6 * 37.5 * 96.7 1.7 35.5 14.6
2nd Quartile Price 85.8 * 92.5 * 100.0 0.9 99.9 86.0
3rd Quartile Price 97.5 * 97.0 * 106.2 6.3 100.1 99.5
4th Quartile Price 99.6 * 99.8 * 108.3 74.6 100.3 100.1
Avg. Price Top 5 Trades 113.4 * 101.2 * 108.9 34.6 104.5 100.6
Standard Deviation 16.0 * 25.7 * 4.9 29.1 26.8 29.3
VOLUME OF TRADES (000'S) 180,156.0 * 159,834.3 * 23,361.0 586,605.1 53,165.7 203,066.0
Customer Buy 126,145.2 * 66,171.7 0.0 10,034.8 256,493.5 28,659.3 138,894.1
Customer Sell 51,104.8 0.0 65,093.5 * 5,832.0 330,111.6 19,712.5 64,172.0
Dealer to Dealer 2,906.0 0.0 * 0.0 7,494.2 0.0 4,794.0 0.0
<= $1MM 16,422.3 * 5,518.8 0.0 2,696.7 0.0 4,883.4 5,643.0
<= $10MM 81,630.5 0.0 89,020.7 0.0 20,664.3 * 48,282.3 123,297.0
<= $100MM * 0.0 * 0.0 0.0 330,294.6 0.0 74,126.0
> $100MM 0.0 0.0 0.0 * 0.0 * 0.0 0.0
NUMBER OF TRADES 184 * 32 * 24 11 29 49
Customer Buy 100 * 15 0 6 5 13 27
Customer Sell 61 0 13 * 10 6 11 22
Dealer to Dealer 23 0 * 0 8 0 5 0
<= $1MM 146 * 7 0 16 0 16 7
<= $10MM 34 0 21 0 8 * 13 37
<= $100MM * 0 * 0 0 5 0 5
> $100MM 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 99.6 0.0 0.0 100.6
Weighted Avg. Price 100.2 0.0 0.0 100.6
Avg. Price Bottom 5 Trades 93.4 0.0 0.0 98.7
2nd Quartile Price 98.4 0.0 0.0 99.8
3rd Quartile Price 100.5 0.0 0.0 100.5
4th Quartile Price 101.2 0.0 0.0 101.3
Avg. Price Top 5 Trades 104.4 0.0 0.0 103.5
Standard Deviation 3.3 0.0 0.0 1.4
VOLUME OF TRADES (000'S) 6,717.5 0.0 0.0 200,978.8
Customer Buy 4,703.1 0.0 0.0 114,871.4
Customer Sell 1,931.0 0.0 0.0 81,463.1
Dealer to Dealer 83.4 0.0 0.0 *
<= $1MM 5,331.5 0.0 0.0 8,572.9
<= $10MM * 0.0 0.0 109,526.3
<= $100MM 0.0 0.0 0.0 82,879.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 41 0 0 46
Customer Buy 23 0 0 21
Customer Sell 12 0 0 24
Dealer to Dealer 6 0 0 *
<= $1MM 40 0 0 22
<= $10MM * 0 0 19
<= $100MM 0 0 0 5
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 89.7 * 0.0 99.7
Weighted Avg. Price 90.4 * 0.0 99.8
Avg. Price Bottom 5 Trades 49.6 * 0.0 99.2
2nd Quartile Price 82.5 * 0.0 99.6
3rd Quartile Price 97.3 * 0.0 100.3
4th Quartile Price 99.5 * 0.0 100.7
Avg. Price Top 5 Trades 113.4 * 0.0 100.4
Standard Deviation 16.3 * 0.0 1.2
VOLUME OF TRADES (000'S) 164,711.8 * 0.0 13,433.6
Customer Buy 117,125.7 * 0.0 *
Customer Sell 44,680.1 0.0 0.0 6,424.7
Dealer to Dealer 2,906.0 0.0 0.0 0.0
<= $1MM 14,657.8 0.0 0.0 *
<= $10MM 67,950.9 * 0.0 *
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 175 * 0 8
Customer Buy 97 * 0 *
Customer Sell 55 0 0 6
Dealer to Dealer 23 0 0 0
<= $1MM 142 0 0 *
<= $10MM 29 * 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 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 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 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 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

* 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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