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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)		 CMBS (P&I) CMBS (IO/PO) ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 99.7 0.0 107.1 8.1 100.3 97.8
Weighted Avg. Price 98.6 0.0 107.3 9.7 98.8 97.9
Avg. Price Bottom 5 Trades 88.0 0.0 98.4 8.1 85.1 94.1
2nd Quartile Price 99.0 0.0 102.0 * 99.8 97.3
3rd Quartile Price 100.7 0.0 106.1 * 100.1 99.1
4th Quartile Price 101.6 0.0 112.0 * 100.7 99.9
Avg. Price Top 5 Trades 104.2 0.0 119.4 8.1 114.0 100.1
Standard Deviation 3.8 0.0 5.8 5.5 3.8 2.4
VOLUME OF TRADES (000'S) 45,003.9 0.0 506,988.2 61,926.2 486,284.5 220,001.2
Customer Buy 19,256.7 0.0 237,081.2 * 187,504.3 91,964.9
Customer Sell 18,388.7 0.0 258,876.1 * 215,424.1 113,036.2
Dealer to Dealer 7,358.5 0.0 11,030.9 0.0 83,356.2 *
<= $1MM 10,735.2 0.0 29,731.0 0.0 39,403.6 2,664.1
<= $10MM 34,268.7 0.0 262,202.6 * 274,111.0 38,507.2
<= $100MM 0.0 0.0 215,054.6 * 172,770.0 178,829.9
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 206 0 188 5 245 22
Customer Buy 54 0 59 * 63 7
Customer Sell 72 0 102 * 133 14
Dealer to Dealer 80 0 27 0 49 *
<= $1MM 191 0 119 0 164 5
<= $10MM 15 0 59 * 70 9
<= $100MM 0 0 10 * 11 8
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.8 29.2 95.5 * 98.2 92.5
Weighted Avg. Price 78.5 7.3 87.0 * 82.7 92.7
Avg. Price Bottom 5 Trades 18.6 7.6 19.4 * 71.8 81.8
2nd Quartile Price 72.4 5.9 95.5 * 100.0 93.1
3rd Quartile Price 88.5 19.0 101.0 * 100.9 96.8
4th Quartile Price 97.0 84.5 105.4 * 107.9 99.8
Avg. Price Top 5 Trades 109.8 54.7 114.9 * 110.3 99.5
Standard Deviation 16.4 33.8 19.9 * 17.3 13.7
VOLUME OF TRADES (000'S) 1,341,850.7 269,098.6 452,305.4 * 122,713.8 71,234.0
Customer Buy 656,920.9 113,611.9 134,434.4 * 23,332.3 42,067.0
Customer Sell 630,428.2 131,623.6 247,316.0 * 92,225.7 *
Dealer to Dealer 54,501.6 * 70,555.0 * 7,155.8 *
<= $1MM 48,609.7 753.8 12,768.3 0.0 8,088.8 *
<= $10MM 440,289.9 * 285,605.8 0.0 33,115.1 41,234.0
<= $100MM 852,951.1 267,027.8 153,931.3 * 81,510.0 *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 656 14 118 * 41 15
Customer Buy 291 5 35 * 12 8
Customer Sell 257 5 61 * 23 *
Dealer to Dealer 108 * 22 * 6 *
<= $1MM 507 6 46 0 26 *
<= $10MM 112 * 64 0 10 9
<= $100MM 37 7 8 * 5 *
> $100MM 0 0 0 * 0 0

Pricing Table: Non-Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
Investment Grade
AVERAGE PRICE 99.1 100.5 101.7
Weighted Avg. Price 99.7 96.0 100.0
Avg. Price Bottom 5 Trades 88.2 92.7 99.4
2nd Quartile Price 98.5 100.2 101.3
3rd Quartile Price 100.3 101.2 102.0
4th Quartile Price 101.3 102.0 103.5
Avg. Price Top 5 Trades 103.8 104.2 102.6
Standard Deviation 4.0 3.4 2.2
VOLUME OF TRADES (000'S) 25,671.5 13,326.5 6,005.9
Customer Buy 9,288.0 6,234.8 3,733.9
Customer Sell 11,883.3 6,486.4 *
Dealer to Dealer 4,500.2 605.3 2,252.9
<= $1MM 8,925.0 1,176.6 633.6
<= $10MM 16,746.5 * *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 134 57 15
Customer Buy 33 14 7
Customer Sell 50 21 *
Dealer to Dealer 51 22 7
<= $1MM 126 53 12
<= $10MM 8 * *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 89.7 86.6 69.5
Weighted Avg. Price 99.4 79.1 66.3
Avg. Price Bottom 5 Trades 59.4 18.6 58.1
2nd Quartile Price 79.5 82.5 61.0
3rd Quartile Price 97.0 89.8 61.0
4th Quartile Price 100.3 97.0 79.5
Avg. Price Top 5 Trades 105.8 107.6 102.8
Standard Deviation 13.8 15.6 13.0
VOLUME OF TRADES (000'S) 133,646.8 932,772.9 275,431.0
Customer Buy 48,866.2 471,480.6 136,574.1
Customer Sell 79,602.7 414,974.5 135,851.0
Dealer to Dealer 5,177.9 46,317.8 3,005.9
<= $1MM 14,372.2 23,109.9 11,127.6
<= $10MM 86,268.1 294,256.1 59,765.7
<= $100MM * 615,407.0 204,537.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 148 373 135
Customer Buy 67 139 85
Customer Sell 53 165 39
Dealer to Dealer 28 69 11
<= $1MM 126 272 109
<= $10MM 20 77 15
<= $100MM * 24 11
> $100MM 0 0 0

Pricing Table: Non-Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2005 2005-2007 POST-2007
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
<= $100MM 0.0 0.0 0.0
> $100MM 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
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE * 12.5 *
Weighted Avg. Price * 6.8 *
Avg. Price Bottom 5 Trades * 7.6 *
2nd Quartile Price * 5.9 *
3rd Quartile Price * 16.3 *
4th Quartile Price * 19.1 *
Avg. Price Top 5 Trades * 18.0 *
Standard Deviation * 6.4 *
VOLUME OF TRADES (000'S) * 267,775.5 *
Customer Buy * * 0.0
Customer Sell * * *
Dealer to Dealer 0.0 * 0.0
<= $1MM * * 0.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 267,027.8 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 11 *
Customer Buy * * 0
Customer Sell * * *
Dealer to Dealer 0 * 0
<= $1MM * * 0
<= $10MM 0 0 *
<= $100MM 0 7 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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