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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS/CDO Daily CMBS Weekly CMBS
Pricing Table: Non-Agency CMO | ABS | CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 89.1 * 94.3 95.5
Weighted Avg. Price 83.2 * 96.9 96.5
Avg. Price Bottom 5 Trades 70.1 * 78.2 85.5
2nd Quartile Price 87.0 * 91.6 94.6
3rd Quartile Price 92.3 * 95.6 97.0
4th Quartile Price 96.5 * 98.0 98.0
Avg. Price Top 5 Trades 98.9 * 99.9 98.9
Standard Deviation 9.7 * 4.9 3.5
VOLUME OF TRADES (000'S) 55,188.3 * 864,641.3 1,235,583.3
Customer Buy 29,105.8 * 387,047.2 584,812.9
Customer Sell 25,777.6 * 477,054.3 643,092.8
Dealer to Dealer 305.0 * 539.8 7,677.6
<= $1MM 14,142.0 * 36,141.6 27,997.2
<= $10MM 22,268.9 0.0 265,875.1 515,400.9
<= $100MM * 0.0 562,624.6 692,185.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 59 * 257 200
Customer Buy 21 * 96 94
Customer Sell 30 * 137 101
Dealer to Dealer 8 * 24 5
<= $1MM 51 * 157 42
<= $10MM 7 0 82 127
<= $100MM * 0 18 31
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 69.6 * 78.4 73.8
Weighted Avg. Price 74.9 * 87.5 76.0
Avg. Price Bottom 5 Trades 18.8 * 10.3 39.3
2nd Quartile Price 58.5 * 80.6 68.1
3rd Quartile Price 75.8 * 91.5 79.8
4th Quartile Price 87.5 * 97.8 90.4
Avg. Price Top 5 Trades 96.5 * 100.1 96.8
Standard Deviation 21.2 * 30.5 18.8
VOLUME OF TRADES (000'S) 198,756.9 * 277,349.7 169,753.0
Customer Buy 81,946.1 * 123,901.6 82,876.0
Customer Sell 113,523.5 * 149,387.3 86,877.0
Dealer to Dealer 3,287.3 * 4,060.8 0.0
<= $1MM 8,874.6 * 14,286.0 14,662.0
<= $10MM 161,003.2 0.0 99,838.8 79,130.0
<= $100MM * 0.0 163,224.9 75,961.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 119 * 76 44
Customer Buy 53 * 31 19
Customer Sell 52 * 35 25
Dealer to Dealer 14 * 10 0
<= $1MM 70 * 39 21
<= $10MM 47 0 25 18
<= $100MM * 0 12 5
> $100MM 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 88.8 0.0 * 89.3
Weighted Avg. Price 82.3 0.0 * 83.2
Avg. Price Bottom 5 Trades 70.2 0.0 * 77.9
2nd Quartile Price 87.0 0.0 * 87.0
3rd Quartile Price 94.9 0.0 * 92.0
4th Quartile Price 98.1 0.0 * 95.3
Avg. Price Top 5 Trades 98.7 0.0 * 96.9
Standard Deviation 11.9 0.0 * 7.0
VOLUME OF TRADES (000'S) 3,370.7 0.0 * 51,743.2
Customer Buy 1,053.1 0.0 * 27,978.2
Customer Sell 2,012.6 0.0 0.0 23,765.0
Dealer to Dealer 305.0 0.0 0.0 0.0
<= $1MM 1,737.4 0.0 * 12,330.1
<= $10MM * 0.0 0.0 20,635.6
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 30 0 * 28
Customer Buy 9 0 * 11
Customer Sell 13 0 0 17
Dealer to Dealer 8 0 0 0
<= $1MM 29 0 * 21
<= $10MM * 0 0 6
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 69.7 * 0.0 *
Weighted Avg. Price 75.5 * 0.0 *
Avg. Price Bottom 5 Trades 18.8 * 0.0 *
2nd Quartile Price 58.5 * 0.0 *
3rd Quartile Price 75.8 * 0.0 *
4th Quartile Price 87.5 * 0.0 *
Avg. Price Top 5 Trades 96.5 * 0.0 *
Standard Deviation 21.5 * 0.0 *
VOLUME OF TRADES (000'S) 182,389.8 * 0.0 *
Customer Buy 68,634.1 0.0 0.0 *
Customer Sell 110,468.5 * 0.0 *
Dealer to Dealer 3,287.3 0.0 0.0 0.0
<= $1MM 7,977.6 * 0.0 0.0
<= $10MM 156,687.2 0.0 0.0 *
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 115 * 0 *
Customer Buy 51 0 0 *
Customer Sell 50 * 0 *
Dealer to Dealer 14 0 0 0
<= $1MM 69 * 0 0
<= $10MM 45 0 0 *
<= $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
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
<= $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
<= $1MM * 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
<= $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
<= $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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