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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 96.9 * 101.4 6.2 99.4 99.4
Weighted Avg. Price 98.2 * 100.8 6.4 98.9 99.5
Avg. Price Bottom 5 Trades 86.5 * 83.6 4.4 92.1 97.9
2nd Quartile Price 94.3 * 100.1 4.9 99.0 98.5
3rd Quartile Price 97.3 * 101.7 7.3 99.9 100.0
4th Quartile Price 99.6 * 104.5 7.6 100.1 100.2
Avg. Price Top 5 Trades 102.0 * 108.6 7.6 103.8 100.3
Standard Deviation 3.9 * 4.4 1.5 1.8 1.0
VOLUME OF TRADES (000'S) 20,162.4 * 848,165.3 94,398.1 889,094.6 199,305.0
Customer Buy 11,390.6 * 355,863.2 44,776.3 428,568.9 126,155.0
Customer Sell 7,102.3 * 432,466.8 49,621.8 311,906.6 28,650.0
Dealer to Dealer 1,669.5 0.0 59,835.3 0.0 148,619.0 44,500.0
<= $1MM 11,765.6 0.0 29,948.9 * 48,011.2 *
<= $10MM 8,396.8 0.0 481,492.0 12,809.7 487,200.4 118,280.0
<= $100MM 0.0 * 336,724.5 * 353,882.9 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 84 * 203 14 352 27
Customer Buy 42 * 94 6 149 14
Customer Sell 28 * 96 8 158 8
Dealer to Dealer 14 0 13 0 45 5
<= $1MM 79 0 84 * 215 *
<= $10MM 5 0 103 8 118 22
<= $100MM 0 * 16 * 19 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 81.6 * 95.2 16.7 92.3 82.5
Weighted Avg. Price 71.5 * 83.9 15.5 92.7 71.1
Avg. Price Bottom 5 Trades 8.0 * 63.4 3.3 56.3 38.5
2nd Quartile Price 78.5 * 96.5 6.0 83.8 61.1
3rd Quartile Price 84.5 * 99.0 7.4 100.0 96.1
4th Quartile Price 92.0 * 100.0 9.2 101.1 100.0
Avg. Price Top 5 Trades 101.8 * 105.1 35.7 103.7 101.3
Standard Deviation 17.0 * 11.5 26.6 13.6 23.0
VOLUME OF TRADES (000'S) 257,596.2 * 209,083.6 166,219.8 193,021.7 259,370.5
Customer Buy 156,733.7 * 101,618.4 123,512.7 68,704.5 123,775.9
Customer Sell 91,666.4 * 65,409.9 * 109,200.4 129,594.7
Dealer to Dealer 9,196.1 0.0 42,055.4 * 15,116.8 *
<= $1MM 23,159.4 0.0 9,203.3 0.0 13,116.7 9,350.0
<= $10MM 125,682.1 * 69,323.7 53,120.4 113,812.2 159,668.0
<= $100MM 108,754.6 * 130,556.6 113,099.4 * 90,352.6
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 351 * 83 13 67 69
Customer Buy 137 * 46 8 26 33
Customer Sell 161 * 27 * 32 32
Dealer to Dealer 53 0 10 * 9 *
<= $1MM 299 0 62 0 35 13
<= $10MM 45 * 12 8 29 50
<= $100MM 7 * 9 5 * 6
> $100MM 0 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 96.6 96.7 *
Weighted Avg. Price 96.9 97.8 *
Avg. Price Bottom 5 Trades 86.5 93.8 *
2nd Quartile Price 96.5 94.3 *
3rd Quartile Price 98.0 97.3 *
4th Quartile Price 100.2 99.0 *
Avg. Price Top 5 Trades 101.3 100.5 *
Standard Deviation 5.0 2.7 *
VOLUME OF TRADES (000'S) 4,128.3 13,498.1 *
Customer Buy 3,107.5 6,041.2 *
Customer Sell 652.8 6,155.4 *
Dealer to Dealer 368.0 * 0.0
<= $1MM 2,918.9 8,258.4 *
<= $10MM * * *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 34 47 *
Customer Buy 14 26 *
Customer Sell 10 17 *
Dealer to Dealer 10 * 0
<= $1MM 33 44 *
<= $10MM * * *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 80.9 82.2 80.5
Weighted Avg. Price 82.4 70.2 67.1
Avg. Price Bottom 5 Trades 22.2 14.8 52.6
2nd Quartile Price 81.3 78.5 73.0
3rd Quartile Price 81.8 86.0 85.0
4th Quartile Price 89.0 93.0 93.0
Avg. Price Top 5 Trades 100.6 100.6 98.6
Standard Deviation 17.9 17.1 15.2
VOLUME OF TRADES (000'S) 46,448.7 138,603.2 72,544.3
Customer Buy 19,121.4 75,248.1 62,364.1
Customer Sell 24,170.1 57,461.3 10,035.0
Dealer to Dealer 3,157.1 5,893.8 145.2
<= $1MM 11,603.3 10,140.4 1,415.7
<= $10MM 34,845.3 61,127.5 29,709.3
<= $100MM 0.0 67,335.4 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 93 203 55
Customer Buy 22 94 21
Customer Sell 61 74 26
Dealer to Dealer 10 35 8
<= $1MM 80 175 44
<= $10MM 13 23 9
<= $100MM 0 5 *
> $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 0.0
<= $100MM 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 0
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 0.0 * *
Weighted Avg. Price 0.0 * *
Avg. Price Bottom 5 Trades 0.0 * *
2nd Quartile Price 0.0 * *
3rd Quartile Price 0.0 * *
4th Quartile Price 0.0 * *
Avg. Price Top 5 Trades 0.0 * *
Standard Deviation 0.0 * *
VOLUME OF TRADES (000'S) 0.0 * *
Customer Buy 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 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * *
Customer Buy 0 * *
Customer Sell 0 0 *
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 * 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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