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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 100.9 0.0 102.8 4.1 111.4 * 101.4 99.6
Weighted Avg. Price 101.6 0.0 107.3 4.1 116.0 * 102.3 99.9
Avg. Price Bottom 5 Trades 91.3 0.0 60.6 2.5 99.8 * 95.2 95.4
2nd Quartile Price 100.2 0.0 100.0 2.7 107.3 * 100.2 99.8
3rd Quartile Price 101.1 0.0 104.1 4.1 113.3 * 101.0 100.0
4th Quartile Price 102.4 0.0 110.1 7.2 118.1 * 102.1 100.2
Avg. Price Top 5 Trades 107.4 0.0 117.7 5.5 119.9 * 109.8 100.7
Standard Deviation 3.5 0.0 10.6 2.2 6.4 * 2.3 1.2
VOLUME OF TRADES (000'S) 46,079.0 0.0 749,796.4 35,469.4 59,548.4 * 873,654.2 465,164.9
Customer Buy 9,190.4 0.0 364,873.3 27,674.8 16,626.9 * 408,020.1 256,029.6
Customer Sell 24,010.7 0.0 322,852.3 * 38,808.5 * 440,472.4 177,535.3
Dealer to Dealer 12,877.9 0.0 62,070.8 0.0 4,113.0 0.0 25,161.7 31,600.0
<= $1MM 10,906.1 0.0 41,439.5 * 1,201.4 0.0 29,949.9 25,451.6
<= $10MM 35,172.9 0.0 370,625.1 24,205.0 46,557.0 0.0 302,558.9 282,913.3
<= $100MM 0.0 0.0 337,731.7 * * 0.0 541,145.4 156,800.0
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 78 0 209 9 48 * 224 117
Customer Buy 21 0 111 8 16 * 99 69
Customer Sell 31 0 79 * 25 * 101 39
Dealer to Dealer 26 0 19 0 7 0 24 9
<= $1MM 63 0 98 * 36 0 119 37
<= $10MM 15 0 95 6 11 0 87 70
<= $100MM 0 0 16 * * 0 18 10
> $100MM 0 0 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 84.1 * 79.3 0.0 103.5 23.0 109.2 87.5
Weighted Avg. Price 72.4 * 78.5 0.0 104.2 34.6 99.1 87.6
Avg. Price Bottom 5 Trades 19.9 * 14.0 0.0 98.6 6.3 56.3 29.0
2nd Quartile Price 76.9 * 62.0 0.0 100.1 7.0 98.9 91.2
3rd Quartile Price 90.8 * 91.0 0.0 101.9 9.3 101.5 97.5
4th Quartile Price 97.3 * 98.8 0.0 105.4 25.1 106.2 99.4
Avg. Price Top 5 Trades 102.8 * 106.7 0.0 113.3 45.6 351.0 100.9
Standard Deviation 17.6 * 25.5 0.0 4.4 29.3 113.0 21.3
VOLUME OF TRADES (000'S) 205,663.5 * 299,783.0 0.0 333,685.0 695,249.8 310,398.2 426,736.7
Customer Buy 128,773.5 * 160,094.3 0.0 132,906.2 364,965.5 82,019.3 197,555.5
Customer Sell 71,011.7 0.0 124,086.7 0.0 161,589.6 * 208,041.6 202,074.3
Dealer to Dealer 5,878.3 0.0 15,602.0 0.0 39,189.2 * 20,337.4 27,106.9
<= $1MM 10,266.5 0.0 11,830.5 0.0 6,403.3 0.0 12,312.0 10,380.0
<= $10MM 118,269.1 0.0 205,259.3 0.0 140,852.1 * 160,040.5 331,691.7
<= $100MM * * 82,693.3 0.0 186,429.6 453,414.9 138,045.7 84,665.0
> $100MM 0.0 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 225 * 112 0 55 12 117 121
Customer Buy 93 * 45 0 28 7 34 57
Customer Sell 78 0 55 0 19 * 51 57
Dealer to Dealer 54 0 12 0 8 * 32 7
<= $1MM 190 0 45 0 16 0 64 15
<= $10MM 31 0 61 0 33 * 44 101
<= $100MM * * 6 0 6 8 9 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 100.2 * 100.6 102.0
Weighted Avg. Price 97.6 * 100.9 102.4
Avg. Price Bottom 5 Trades 91.3 * 100.5 100.9
2nd Quartile Price 99.0 * 100.5 101.2
3rd Quartile Price 100.7 * 100.5 101.7
4th Quartile Price 103.0 * 101.1 102.4
Avg. Price Top 5 Trades 107.2 * 100.7 104.4
Standard Deviation 4.6 * 0.4 1.6
VOLUME OF TRADES (000'S) 4,972.8 * 8,788.4 32,298.4
Customer Buy 2,516.8 * * *
Customer Sell 1,177.7 0.0 7,588.2 15,244.7
Dealer to Dealer 1,278.3 0.0 * 11,099.8
<= $1MM 3,684.1 * 3,396.6 3,806.1
<= $10MM * 0.0 * 28,492.3
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 41 * 11 25
Customer Buy 16 * * *
Customer Sell 9 0 9 13
Dealer to Dealer 16 0 * 9
<= $1MM 40 * 9 13
<= $10MM * 0 * 12
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.8 * * *
Weighted Avg. Price 70.4 * * *
Avg. Price Bottom 5 Trades 19.9 * * *
2nd Quartile Price 76.9 * * *
3rd Quartile Price 90.8 * * *
4th Quartile Price 97.1 * * *
Avg. Price Top 5 Trades 101.9 * * *
Standard Deviation 17.7 * * *
VOLUME OF TRADES (000'S) 185,386.5 * * *
Customer Buy 116,160.6 * * *
Customer Sell 63,347.5 * 0.0 0.0
Dealer to Dealer 5,878.3 0.0 0.0 0.0
<= $1MM 9,866.5 0.0 0.0 *
<= $10MM 98,392.1 * * *
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 219 * * *
Customer Buy 88 * * *
Customer Sell 77 * 0 0
Dealer to Dealer 54 0 0 0
<= $1MM 189 0 0 *
<= $10MM 26 * * *
<= $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
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 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
> $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 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 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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