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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 91.3 0.0 97.2 99.8
Weighted Avg. Price 96.6 0.0 97.6 100.0
Avg. Price Bottom 5 Trades 67.4 0.0 82.6 97.8
2nd Quartile Price 86.4 0.0 95.7 99.9
3rd Quartile Price 95.3 0.0 98.5 100.0
4th Quartile Price 99.5 0.0 99.8 100.1
Avg. Price Top 5 Trades 100.9 0.0 103.2 100.8
Standard Deviation 10.0 0.0 3.7 0.6
VOLUME OF TRADES (000'S) 797,737.2 0.0 1,115,641.0 570,427.2
Customer Buy 252,159.5 0.0 464,285.6 301,660.6
Customer Sell 531,989.7 0.0 571,336.6 242,497.4
Dealer to Dealer 13,588.0 0.0 80,018.7 26,269.2
<= $1MM 2,515.0 0.0 64,942.7 28,786.9
<= $10MM 273,268.7 0.0 462,403.7 319,281.0
<= $100MM 521,953.6 0.0 588,294.6 222,359.4
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 102 0 415 145
Customer Buy 38 0 150 64
Customer Sell 57 0 206 75
Dealer to Dealer 7 0 59 6
<= $1MM 34 0 258 44
<= $10MM 51 0 129 88
<= $100MM 17 0 28 13
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 61.6 3.2 92.7 85.5
Weighted Avg. Price 59.6 2.2 89.7 52.7
Avg. Price Bottom 5 Trades 2.9 1.7 47.5 26.1
2nd Quartile Price 36.0 1.8 90.7 78.8
3rd Quartile Price 70.5 1.8 96.7 98.1
4th Quartile Price 83.0 7.4 99.9 99.9
Avg. Price Top 5 Trades 100.8 3.7 105.2 100.5
Standard Deviation 28.0 2.6 13.7 24.4
VOLUME OF TRADES (000'S) 333,660.8 358,600.6 199,282.2 538,362.9
Customer Buy 159,644.8 * 113,395.3 289,595.2
Customer Sell 157,698.4 * 81,971.0 248,767.7
Dealer to Dealer 16,317.6 0.0 3,915.8 0.0
<= $1MM 16,773.5 0.0 14,825.7 12,550.0
<= $10MM 80,457.9 0.0 105,573.5 183,337.9
<= $100MM 236,429.4 142,322.6 * 342,475.0
> $100MM 0.0 * 0.0 0.0
NUMBER OF TRADES 236 8 80 76
Customer Buy 81 * 35 38
Customer Sell 114 * 39 38
Dealer to Dealer 41 0 6 0
<= $1MM 201 0 40 13
<= $10MM 27 0 36 53
<= $100MM 8 6 * 10
> $100MM 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 87.5 * 0.0 93.0
Weighted Avg. Price 90.8 * 0.0 96.7
Avg. Price Bottom 5 Trades 80.9 * 0.0 66.2
2nd Quartile Price 86.4 * 0.0 86.7
3rd Quartile Price 89.0 * 0.0 99.3
4th Quartile Price 91.5 * 0.0 99.6
Avg. Price Top 5 Trades 96.3 * 0.0 100.9
Standard Deviation 7.4 * 0.0 10.4
VOLUME OF TRADES (000'S) 177.2 * 0.0 795,612.2
Customer Buy 43.7 * 0.0 250,167.9
Customer Sell 111.8 0.0 0.0 531,877.9
Dealer to Dealer 21.7 0.0 0.0 *
<= $1MM 177.2 0.0 0.0 2,337.8
<= $10MM 0.0 * 0.0 271,320.8
<= $100MM 0.0 0.0 0.0 521,953.6
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 29 * 0 72
Customer Buy 8 * 0 29
Customer Sell 16 0 0 41
Dealer to Dealer 5 0 0 *
<= $1MM 29 0 0 5
<= $10MM 0 * 0 50
<= $100MM 0 0 0 17
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 59.2 0.0 74.5 99.7
Weighted Avg. Price 39.6 0.0 62.1 99.8
Avg. Price Bottom 5 Trades 2.9 0.0 74.5 99.2
2nd Quartile Price 33.9 0.0 * 99.6
3rd Quartile Price 70.0 0.0 * 99.9
4th Quartile Price 82.0 0.0 * 100.1
Avg. Price Top 5 Trades 99.5 0.0 74.5 100.1
Standard Deviation 26.9 0.0 38.7 0.6
VOLUME OF TRADES (000'S) 87,398.8 0.0 216,278.0 29,984.0
Customer Buy 40,790.8 0.0 * 10,715.0
Customer Sell 39,930.3 0.0 * *
Dealer to Dealer 6,677.6 0.0 0.0 *
<= $1MM 15,007.5 0.0 0.0 *
<= $10MM 52,239.9 0.0 0.0 28,218.0
<= $100MM * 0.0 216,278.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 218 0 6 12
Customer Buy 73 0 * 5
Customer Sell 108 0 * *
Dealer to Dealer 37 0 0 *
<= $1MM 199 0 0 *
<= $10MM 17 0 0 10
<= $100MM * 0 6 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 3.6 0.0 * 0.0
Weighted Avg. Price 2.7 0.0 * 0.0
Avg. Price Bottom 5 Trades 3.6 0.0 * 0.0
2nd Quartile Price * 0.0 * 0.0
3rd Quartile Price * 0.0 * 0.0
4th Quartile Price * 0.0 * 0.0
Avg. Price Top 5 Trades 3.6 0.0 * 0.0
Standard Deviation 3.0 0.0 * 0.0
VOLUME OF TRADES (000'S) 142,322.6 0.0 * 0.0
Customer Buy * 0.0 * 0.0
Customer Sell * 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 142,322.6 0.0 0.0 0.0
> $100MM 0.0 0.0 * 0.0
NUMBER OF TRADES 6 0 * 0
Customer Buy * 0 * 0
Customer Sell * 0 * 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 0 0 0
<= $100MM 6 0 0 0
> $100MM 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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