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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 88.4 0.0 96.4 96.1
Weighted Avg. Price 83.7 0.0 96.5 96.6
Avg. Price Bottom 5 Trades 70.4 0.0 79.2 85.3
2nd Quartile Price 85.0 0.0 95.0 94.4
3rd Quartile Price 90.0 0.0 97.1 97.5
4th Quartile Price 94.5 0.0 99.3 98.5
Avg. Price Top 5 Trades 97.9 0.0 102.5 99.4
Standard Deviation 7.7 0.0 4.1 3.4
VOLUME OF TRADES (000'S) 350,673.6 0.0 767,582.8 550,165.5
Customer Buy 184,074.2 0.0 409,345.4 311,430.5
Customer Sell 159,443.2 0.0 336,603.4 203,589.9
Dealer to Dealer 7,156.2 0.0 21,634.0 35,145.0
<= $1MM 4,301.7 0.0 42,623.5 36,566.7
<= $10MM 63,379.2 0.0 401,160.2 314,621.0
<= $100MM 282,992.7 0.0 323,799.1 198,977.7
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 68 0 273 154
Customer Buy 47 0 127 87
Customer Sell 16 0 131 56
Dealer to Dealer 5 0 15 11
<= $1MM 32 0 138 54
<= $10MM 23 0 117 86
<= $100MM 13 0 18 14
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 65.8 0.0 93.0 83.0
Weighted Avg. Price 64.7 0.0 93.6 84.3
Avg. Price Bottom 5 Trades 13.5 0.0 85.0 54.1
2nd Quartile Price 51.5 0.0 88.0 80.8
3rd Quartile Price 69.3 0.0 93.8 87.1
4th Quartile Price 82.5 0.0 97.7 90.8
Avg. Price Top 5 Trades 98.7 0.0 100.5 94.0
Standard Deviation 20.1 0.0 5.3 12.7
VOLUME OF TRADES (000'S) 117,177.8 0.0 71,235.2 164,772.5
Customer Buy 74,557.7 0.0 35,329.2 85,385.0
Customer Sell 41,986.9 0.0 31,296.1 78,487.5
Dealer to Dealer 633.2 0.0 * *
<= $1MM 9,548.1 0.0 7,343.6 6,810.0
<= $10MM 95,129.7 0.0 63,891.6 119,062.5
<= $100MM * 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 279 0 36 51
Customer Buy 168 0 19 29
Customer Sell 76 0 13 21
Dealer to Dealer 35 0 * *
<= $1MM 253 0 17 9
<= $10MM 25 0 19 40
<= $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 90.9 0.0 0.0 85.9
Weighted Avg. Price 93.6 0.0 0.0 83.1
Avg. Price Bottom 5 Trades 83.7 0.0 0.0 70.4
2nd Quartile Price 90.0 0.0 0.0 84.6
3rd Quartile Price 91.4 0.0 0.0 85.8
4th Quartile Price 95.0 0.0 0.0 94.5
Avg. Price Top 5 Trades 97.1 0.0 0.0 97.2
Standard Deviation 4.6 0.0 0.0 9.3
VOLUME OF TRADES (000'S) 21,247.7 0.0 0.0 329,425.9
Customer Buy 10,685.7 0.0 0.0 173,388.4
Customer Sell 5,305.7 0.0 0.0 154,137.5
Dealer to Dealer * 0.0 0.0 *
<= $1MM 846.6 0.0 0.0 3,455.1
<= $10MM 20,401.1 0.0 0.0 42,978.0
<= $100MM 0.0 0.0 0.0 282,992.7
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 34 0 0 34
Customer Buy 22 0 0 25
Customer Sell 8 0 0 8
Dealer to Dealer * 0 0 *
<= $1MM 25 0 0 7
<= $10MM 9 0 0 14
<= $100MM 0 0 0 13
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 65.9 0.0 * *
Weighted Avg. Price 67.7 0.0 * *
Avg. Price Bottom 5 Trades 13.5 0.0 * *
2nd Quartile Price 51.5 0.0 * *
3rd Quartile Price 69.3 0.0 * *
4th Quartile Price 82.4 0.0 * *
Avg. Price Top 5 Trades 98.5 0.0 * *
Standard Deviation 19.9 0.0 * *
VOLUME OF TRADES (000'S) 107,577.0 0.0 * *
Customer Buy 69,755.9 0.0 * *
Customer Sell 37,187.9 0.0 0.0 *
Dealer to Dealer 633.2 0.0 0.0 0.0
<= $1MM 9,545.3 0.0 * 0.0
<= $10MM 85,531.7 0.0 0.0 *
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 276 0 * *
Customer Buy 166 0 * *
Customer Sell 75 0 0 *
Dealer to Dealer 35 0 0 0
<= $1MM 252 0 * 0
<= $10MM 23 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 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

* 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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