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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 89.0 0.0 96.6 96.5
Weighted Avg. Price 86.7 0.0 98.0 97.7
Avg. Price Bottom 5 Trades 77.4 0.0 84.1 82.4
2nd Quartile Price 82.7 0.0 95.8 95.8
3rd Quartile Price 93.5 0.0 98.0 98.4
4th Quartile Price 96.6 0.0 98.4 99.2
Avg. Price Top 5 Trades 97.4 0.0 101.6 100.6
Standard Deviation 8.6 0.0 3.5 4.8
VOLUME OF TRADES (000'S) 101,712.8 0.0 922,451.8 596,944.3
Customer Buy 70,686.4 0.0 514,419.7 336,532.6
Customer Sell 31,012.4 0.0 381,282.4 212,561.8
Dealer to Dealer * 0.0 26,749.7 47,850.0
<= $1MM 1,331.8 0.0 19,027.3 23,690.9
<= $10MM 42,742.0 0.0 370,605.0 333,954.0
<= $100MM * 0.0 357,819.5 239,299.4
> $100MM 0.0 0.0 * 0.0
NUMBER OF TRADES 23 0 282 132
Customer Buy 16 0 181 70
Customer Sell 5 0 70 50
Dealer to Dealer * 0 31 12
<= $1MM 10 0 162 34
<= $10MM 9 0 105 84
<= $100MM * 0 14 14
> $100MM 0 0 * 0
Non-Investment Grade †
AVERAGE PRICE 76.5 13.3 91.8 80.4
Weighted Avg. Price 78.9 13.5 86.8 69.6
Avg. Price Bottom 5 Trades 16.2 13.3 55.6 35.5
2nd Quartile Price 64.6 * 90.7 80.5
3rd Quartile Price 82.3 * 96.4 92.0
4th Quartile Price 91.0 * 99.3 98.3
Avg. Price Top 5 Trades 110.0 13.3 102.3 99.4
Standard Deviation 20.8 8.4 13.7 24.3
VOLUME OF TRADES (000'S) 74,867.4 145.0 103,717.0 76,845.3
Customer Buy 30,301.7 * 49,070.4 39,980.5
Customer Sell 40,884.3 * 54,646.6 36,309.3
Dealer to Dealer 3,681.4 0.0 0.0 *
<= $1MM 11,234.6 145.0 16,039.1 9,080.0
<= $10MM 37,632.8 0.0 67,567.9 67,765.3
<= $100MM * 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 154 6 56 34
Customer Buy 68 * 33 16
Customer Sell 54 * 23 17
Dealer to Dealer 32 0 0 *
<= $1MM 142 6 27 15
<= $10MM 11 0 27 19
<= $100MM * 0 * 0
> $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 95.1 0.0 0.0 85.7
Weighted Avg. Price 93.7 0.0 0.0 86.6
Avg. Price Bottom 5 Trades 94.0 0.0 0.0 77.4
2nd Quartile Price 93.6 0.0 0.0 81.4
3rd Quartile Price 96.5 0.0 0.0 86.6
4th Quartile Price 97.2 0.0 0.0 96.6
Avg. Price Top 5 Trades 96.3 0.0 0.0 95.5
Standard Deviation 3.0 0.0 0.0 8.8
VOLUME OF TRADES (000'S) 504.5 0.0 0.0 101,208.3
Customer Buy 489.5 0.0 0.0 70,196.9
Customer Sell * 0.0 0.0 *
Dealer to Dealer * 0.0 0.0 0.0
<= $1MM 504.5 0.0 0.0 *
<= $10MM 0.0 0.0 0.0 42,742.0
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 8 0 0 15
Customer Buy 5 0 0 11
Customer Sell * 0 0 *
Dealer to Dealer * 0 0 0
<= $1MM 8 0 0 *
<= $10MM 0 0 0 9
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 76.0 0.0 0.0 *
Weighted Avg. Price 77.2 0.0 0.0 *
Avg. Price Bottom 5 Trades 16.2 0.0 0.0 *
2nd Quartile Price 64.6 0.0 0.0 *
3rd Quartile Price 82.3 0.0 0.0 *
4th Quartile Price 90.0 0.0 0.0 *
Avg. Price Top 5 Trades 110.0 0.0 0.0 *
Standard Deviation 20.9 0.0 0.0 *
VOLUME OF TRADES (000'S) 67,101.0 0.0 0.0 *
Customer Buy 25,409.0 0.0 0.0 *
Customer Sell 38,010.6 0.0 0.0 *
Dealer to Dealer 3,681.4 0.0 0.0 0.0
<= $1MM 10,465.6 0.0 0.0 *
<= $10MM 30,635.4 0.0 0.0 *
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 150 0 0 *
Customer Buy 65 0 0 *
Customer Sell 53 0 0 *
Dealer to Dealer 32 0 0 0
<= $1MM 141 0 0 *
<= $10MM 8 0 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 13.3 0.0 0.0 0.0
Weighted Avg. Price 13.5 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 13.3 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 13.3 0.0 0.0 0.0
Standard Deviation 8.4 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 145.0 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 145.0 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 6 0 0 0
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 6 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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