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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 101.5 0.0 101.2 0.0 104.6 * 99.9 99.7
Weighted Avg. Price 100.3 0.0 102.0 0.0 102.6 * 100.2 99.8
Avg. Price Bottom 5 Trades 97.5 0.0 88.3 0.0 95.6 * 97.1 96.6
2nd Quartile Price 99.9 0.0 99.6 0.0 101.1 * 99.0 100.0
3rd Quartile Price 101.1 0.0 101.2 0.0 104.2 * 99.8 100.0
4th Quartile Price 104.6 0.0 103.3 0.0 109.8 * 100.7 100.1
Avg. Price Top 5 Trades 105.7 0.0 109.2 0.0 111.5 * 104.1 100.2
Standard Deviation 2.7 0.0 4.0 0.0 5.1 * 1.5 1.0
VOLUME OF TRADES (000'S) 57,328.5 0.0 352,093.7 0.0 120,861.3 * 234,111.2 331,117.3
Customer Buy 28,320.2 0.0 188,422.0 0.0 86,264.0 * 103,985.8 148,789.8
Customer Sell 20,753.3 0.0 147,412.9 0.0 23,173.3 0.0 113,100.2 176,327.5
Dealer to Dealer 8,255.0 0.0 16,258.8 0.0 11,424.0 0.0 17,025.2 *
<= $1MM 5,332.7 0.0 28,070.8 0.0 4,804.3 0.0 28,100.5 6,936.0
<= $10MM 51,995.8 0.0 251,127.6 0.0 47,007.0 0.0 182,062.2 256,910.4
<= $100MM 0.0 0.0 * 0.0 * * * 67,271.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 50 0 157 0 44 * 218 88
Customer Buy 31 0 62 0 11 * 73 46
Customer Sell 11 0 75 0 25 0 97 40
Dealer to Dealer 8 0 20 0 8 0 48 *
<= $1MM 36 0 87 0 31 0 161 11
<= $10MM 14 0 66 0 12 0 55 72
<= $100MM 0 0 * 0 * * * 5
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 90.6 * 66.5 * 100.9 8.1 1,066.6 85.1
Weighted Avg. Price 86.1 * 55.2 * 102.3 2.6 110.0 60.2
Avg. Price Bottom 5 Trades 18.6 * 12.3 * 83.4 3.3 95.7 34.7
2nd Quartile Price 66.0 * 40.0 * 100.4 5.8 99.3 89.6
3rd Quartile Price 89.0 * 77.4 * 102.8 10.0 100.6 99.4
4th Quartile Price 98.5 * 95.5 * 104.3 10.2 104.4 99.9
Avg. Price Top 5 Trades 319.8 * 101.5 * 108.2 12.1 5,053.1 100.2
Standard Deviation 63.4 * 30.2 * 14.2 4.7 2,973.8 27.1
VOLUME OF TRADES (000'S) 37,888.9 * 139,804.1 * 250,408.3 696,616.1 68,828.9 250,845.2
Customer Buy 15,868.4 * 81,680.3 0.0 107,213.6 * 42,245.3 133,760.7
Customer Sell 12,694.3 * 49,574.9 * 75,635.6 321,015.8 22,960.9 117,084.5
Dealer to Dealer 9,326.3 0.0 * 0.0 67,559.2 8,890.2 3,622.6 0.0
<= $1MM 9,306.5 0.0 2,016.6 0.0 11,636.9 0.0 2,351.9 *
<= $10MM 28,582.5 * 81,736.2 * 95,966.5 14,446.3 66,477.0 91,858.0
<= $100MM 0.0 * * 0.0 * * 0.0 155,206.2
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 114 * 47 * 53 14 41 36
Customer Buy 55 * 24 0 25 * 16 18
Customer Sell 33 * 19 * 16 5 17 18
Dealer to Dealer 26 0 * 0 12 5 8 0
<= $1MM 101 0 15 0 28 0 25 *
<= $10MM 13 * 28 * 21 8 16 27
<= $100MM 0 * * 0 * * 0 5
> $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 101.2 * 103.3 101.0
Weighted Avg. Price 99.6 * 104.8 100.2
Avg. Price Bottom 5 Trades 97.9 * 101.3 98.5
2nd Quartile Price 100.3 * 101.4 99.8
3rd Quartile Price 101.0 * 105.1 100.9
4th Quartile Price 102.9 * 106.0 101.8
Avg. Price Top 5 Trades 103.4 * 105.7 103.7
Standard Deviation 2.8 * 2.8 2.2
VOLUME OF TRADES (000'S) 23,597.2 * 4,885.0 28,773.6
Customer Buy 11,803.4 * 812.6 15,631.5
Customer Sell 11,691.6 0.0 * *
Dealer to Dealer 102.2 0.0 0.0 *
<= $1MM 1,242.4 * 812.6 3,205.0
<= $10MM * 0.0 * 25,568.6
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 21 * 9 19
Customer Buy 9 * 8 13
Customer Sell 7 0 * *
Dealer to Dealer 5 0 0 *
<= $1MM 17 * 8 10
<= $10MM * 0 * 9
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 90.1 0.0 0.0 99.9
Weighted Avg. Price 84.4 0.0 0.0 100.3
Avg. Price Bottom 5 Trades 18.6 0.0 0.0 99.9
2nd Quartile Price 63.2 0.0 0.0 *
3rd Quartile Price 81.6 0.0 0.0 *
4th Quartile Price 97.5 0.0 0.0 *
Avg. Price Top 5 Trades 319.8 0.0 0.0 99.9
Standard Deviation 65.1 0.0 0.0 1.0
VOLUME OF TRADES (000'S) 33,757.1 0.0 0.0 4,131.8
Customer Buy 14,380.1 0.0 0.0 *
Customer Sell 10,206.0 0.0 0.0 *
Dealer to Dealer 9,171.0 0.0 0.0 *
<= $1MM 7,840.7 0.0 0.0 *
<= $10MM 25,916.5 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 108 0 0 6
Customer Buy 53 0 0 *
Customer Sell 30 0 0 *
Dealer to Dealer 25 0 0 *
<= $1MM 97 0 0 *
<= $10MM 11 0 0 *
<= $100MM 0 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
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 * 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 0
<= $10MM * 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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