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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 98.5 * 102.8 * 98.9 98.0
Weighted Avg. Price 99.1 * 102.9 * 99.2 98.4
Avg. Price Bottom 5 Trades 85.6 * 94.7 * 73.0 95.1
2nd Quartile Price 97.1 * 100.6 * 99.1 97.4
3rd Quartile Price 100.3 * 102.3 * 99.9 98.3
4th Quartile Price 101.2 * 104.6 * 100.2 98.9
Avg. Price Top 5 Trades 103.8 * 110.3 * 105.9 100.0
Standard Deviation 4.5 * 3.0 * 4.5 1.4
VOLUME OF TRADES (000'S) 172,182.3 * 1,333,003.1 * 1,416,978.0 941,267.6
Customer Buy 81,063.5 * 571,287.5 * 411,234.7 419,409.8
Customer Sell 82,316.9 * 731,505.0 * 687,392.9 521,857.8
Dealer to Dealer 8,801.8 0.0 30,210.5 0.0 318,350.3 0.0
<= $1MM 16,967.9 0.0 24,646.4 0.0 39,434.6 *
<= $10MM 103,037.6 * 394,199.9 0.0 272,869.3 65,126.0
<= $100MM * 0.0 914,156.8 * 1,104,674.0 667,627.6
> $100MM 0.0 0.0 0.0 * 0.0 *
NUMBER OF TRADES 110 * 220 * 244 46
Customer Buy 36 * 83 * 79 21
Customer Sell 46 * 128 * 129 25
Dealer to Dealer 28 0 9 0 36 0
<= $1MM 84 0 96 0 147 *
<= $10MM 22 * 77 0 62 16
<= $100MM * 0 47 * 35 27
> $100MM 0 0 0 * 0 *
Non-Investment Grade †
AVERAGE PRICE 82.0 11.2 98.6 * 95.1 70.3
Weighted Avg. Price 78.3 14.3 99.5 * 100.2 15.5
Avg. Price Bottom 5 Trades 0.7 1.8 67.0 * 26.7 40.2
2nd Quartile Price 76.8 1.2 98.7 * 99.0 50.1
3rd Quartile Price 89.5 17.8 100.5 * 100.8 85.1
4th Quartile Price 97.0 24.0 103.4 * 108.7 87.3
Avg. Price Top 5 Trades 113.2 22.2 108.5 * 112.1 89.7
Standard Deviation 23.1 10.4 10.5 * 24.4 27.5
VOLUME OF TRADES (000'S) 1,223,471.9 73,890.2 504,849.1 * 109,691.2 379,275.3
Customer Buy 594,689.9 * 337,961.1 * 48,789.1 28,187.6
Customer Sell 532,877.2 * 138,484.0 * 59,620.7 190,187.6
Dealer to Dealer 95,904.8 5,940.8 28,404.1 0.0 * *
<= $1MM 39,741.6 4,526.9 4,522.0 0.0 8,746.4 3,900.0
<= $10MM 336,348.2 6,464.9 190,406.8 0.0 62,593.7 55,375.3
<= $100MM 847,382.1 * 133,510.0 * * 0.0
> $100MM 0.0 0.0 * * 0.0 *
NUMBER OF TRADES 472 13 69 * 53 20
Customer Buy 195 * 34 * 31 8
Customer Sell 200 * 25 * 19 9
Dealer to Dealer 77 5 10 0 * *
<= $1MM 335 5 19 0 28 5
<= $10MM 90 5 39 0 23 13
<= $100MM 47 * 10 * * 0
> $100MM 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 97.4 100.9 99.9
Weighted Avg. Price 98.0 98.9 99.9
Avg. Price Bottom 5 Trades 85.6 98.5 98.8
2nd Quartile Price 94.2 100.2 100.3
3rd Quartile Price 98.9 100.8 100.7
4th Quartile Price 101.2 101.5 101.1
Avg. Price Top 5 Trades 103.1 103.3 100.9
Standard Deviation 5.1 1.9 2.3
VOLUME OF TRADES (000'S) 60,261.3 30,205.8 81,715.2
Customer Buy 23,377.6 13,965.8 43,720.1
Customer Sell 32,414.6 16,092.9 *
Dealer to Dealer 4,469.1 147.2 *
<= $1MM 16,482.7 485.2 0.0
<= $10MM 20,008.0 29,720.6 53,309.0
<= $100MM * 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 72 28 10
Customer Buy 24 7 5
Customer Sell 30 12 *
Dealer to Dealer 18 9 *
<= $1MM 63 21 0
<= $10MM 7 7 8
<= $100MM * 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.3 80.1 73.8
Weighted Avg. Price 87.8 77.2 78.8
Avg. Price Bottom 5 Trades 26.6 0.7 23.2
2nd Quartile Price 89.0 76.5 60.3
3rd Quartile Price 96.5 89.5 80.8
4th Quartile Price 98.0 96.0 89.0
Avg. Price Top 5 Trades 102.4 112.0 98.6
Standard Deviation 15.9 24.8 20.9
VOLUME OF TRADES (000'S) 86,490.8 907,709.7 229,271.4
Customer Buy 27,506.9 423,562.9 143,620.1
Customer Sell 54,119.1 397,748.9 81,009.3
Dealer to Dealer 4,864.8 86,397.9 4,642.1
<= $1MM 11,078.9 18,551.1 10,111.6
<= $10MM 63,276.9 219,468.6 53,602.7
<= $100MM * 669,690.0 165,557.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 114 294 64
Customer Buy 27 140 28
Customer Sell 70 104 26
Dealer to Dealer 17 50 10
<= $1MM 99 197 39
<= $10MM 14 60 16
<= $100MM * 37 9
> $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 *
Weighted Avg. Price 0.0 0.0 *
Avg. Price Bottom 5 Trades 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 0.0 0.0 *
Standard Deviation 0.0 0.0 *
VOLUME OF TRADES (000'S) 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
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 *
Customer Buy 0 0 *
Customer Sell 0 0 *
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 1.1 17.6 0.0
Weighted Avg. Price 1.1 15.1 0.0
Avg. Price Bottom 5 Trades 1.1 13.0 0.0
2nd Quartile Price * 17.8 0.0
3rd Quartile Price * 17.9 0.0
4th Quartile Price * 25.5 0.0
Avg. Price Top 5 Trades 1.1 22.2 0.0
Standard Deviation 0.1 8.1 0.0
VOLUME OF TRADES (000'S) 4,526.9 69,363.3 0.0
Customer Buy * * 0.0
Customer Sell * * 0.0
Dealer to Dealer * * 0.0
<= $1MM 4,526.9 0.0 0.0
<= $10MM 0.0 6,464.9 0.0
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 8 0
Customer Buy * * 0
Customer Sell * * 0
Dealer to Dealer * * 0
<= $1MM 5 0 0
<= $10MM 0 5 0
<= $100MM 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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