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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 97.3 * 100.6 4.8 100.8 91.7
Weighted Avg. Price 100.5 * 99.4 4.8 100.9 81.0
Avg. Price Bottom 5 Trades 75.6 * 78.0 4.8 96.3 91.7
2nd Quartile Price 97.3 * 99.4 * 99.7 *
3rd Quartile Price 100.0 * 101.0 * 100.0 *
4th Quartile Price 100.5 * 103.0 * 100.2 *
Avg. Price Top 5 Trades 102.2 * 109.6 4.8 130.1 91.7
Standard Deviation 7.7 * 5.2 0.8 5.3 19.5
VOLUME OF TRADES (000'S) 31,437.7 * 508,650.7 447,487.7 1,821,716.8 7,773.3
Customer Buy 17,723.4 * 256,962.5 * 793,946.8 *
Customer Sell 13,050.2 * 210,102.7 * 817,911.3 *
Dealer to Dealer 664.1 0.0 41,585.5 0.0 209,858.7 0.0
<= $1MM 5,385.9 * 50,076.3 0.0 62,944.1 *
<= $10MM 26,051.8 0.0 307,596.1 0.0 517,566.7 *
<= $100MM 0.0 0.0 150,978.3 * 1,046,206.0 0.0
> $100MM 0.0 0.0 0.0 * * 0.0
NUMBER OF TRADES 68 * 224 5 374 5
Customer Buy 28 * 104 * 161 *
Customer Sell 23 * 89 * 196 *
Dealer to Dealer 17 0 31 0 17 0
<= $1MM 61 * 127 0 198 *
<= $10MM 7 0 89 0 144 *
<= $100MM 0 0 8 * 31 0
> $100MM 0 0 0 * * 0
Non-Investment Grade †
AVERAGE PRICE 83.4 * 94.3 15.0 90.2 68.1
Weighted Avg. Price 81.3 * 89.3 13.2 92.8 62.1
Avg. Price Bottom 5 Trades 9.4 * 31.5 4.0 31.9 20.7
2nd Quartile Price 77.3 * 94.1 5.6 97.7 52.4
3rd Quartile Price 87.3 * 99.2 7.2 100.4 67.9
4th Quartile Price 96.0 * 103.0 9.6 102.3 98.0
Avg. Price Top 5 Trades 109.0 * 107.4 58.6 107.5 100.0
Standard Deviation 17.5 * 15.5 25.0 25.6 32.4
VOLUME OF TRADES (000'S) 553,399.8 * 378,695.1 312,636.1 145,805.7 178,202.1
Customer Buy 254,158.1 * 181,533.0 146,013.9 83,276.8 94,519.3
Customer Sell 269,617.3 * 185,995.5 166,622.2 55,467.0 83,682.8
Dealer to Dealer 29,624.4 * 11,166.6 0.0 * 0.0
<= $1MM 30,028.9 * 16,180.5 * 9,023.9 *
<= $10MM 337,630.1 0.0 252,299.7 46,034.1 89,863.7 100,689.5
<= $100MM 185,740.8 0.0 110,214.9 264,986.2 * 74,565.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 515 * 162 31 41 28
Customer Buy 206 * 91 11 22 15
Customer Sell 214 * 47 20 17 13
Dealer to Dealer 95 * 24 0 * 0
<= $1MM 421 * 105 * 18 *
<= $10MM 82 0 51 16 20 20
<= $100MM 12 0 6 12 * 5
> $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 95.8 98.7 100.6
Weighted Avg. Price 98.2 99.1 100.8
Avg. Price Bottom 5 Trades 76.6 94.0 100.0
2nd Quartile Price 95.0 98.5 100.3
3rd Quartile Price 100.0 100.0 101.0
4th Quartile Price 100.0 100.7 101.7
Avg. Price Top 5 Trades 101.4 101.5 101.2
Standard Deviation 9.8 3.5 1.0
VOLUME OF TRADES (000'S) 2,702.7 1,699.6 27,035.4
Customer Buy 697.7 1,010.2 16,015.5
Customer Sell 1,474.9 555.4 *
Dealer to Dealer 530.1 134.0 0.0
<= $1MM 2,702.7 1,699.6 *
<= $10MM 0.0 0.0 26,051.8
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 38 22 8
Customer Buy 16 7 5
Customer Sell 12 8 *
Dealer to Dealer 10 7 0
<= $1MM 38 22 *
<= $10MM 0 0 7
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 85.5 82.7 81.1
Weighted Avg. Price 75.8 86.6 73.9
Avg. Price Bottom 5 Trades 9.4 31.1 44.1
2nd Quartile Price 78.0 77.0 78.0
3rd Quartile Price 94.3 86.5 87.0
4th Quartile Price 98.9 94.0 91.5
Avg. Price Top 5 Trades 102.1 107.4 98.5
Standard Deviation 20.3 15.9 16.5
VOLUME OF TRADES (000'S) 46,397.5 316,172.3 190,830.1
Customer Buy 17,821.2 148,446.2 87,890.8
Customer Sell 22,747.5 164,093.4 82,776.4
Dealer to Dealer 5,828.8 3,632.8 20,162.9
<= $1MM 9,039.5 13,270.0 7,719.5
<= $10MM 37,358.0 228,401.2 71,870.8
<= $100MM 0.0 74,501.1 111,239.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 166 292 57
Customer Buy 61 119 26
Customer Sell 74 116 24
Dealer to Dealer 31 57 7
<= $1MM 148 236 37
<= $10MM 18 50 14
<= $100MM 0 6 6
> $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
<= $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
Customer Buy * 0 0
Customer Sell * 0 0
Dealer to Dealer 0 0 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM 0 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 0.0
Customer Sell * 0.0 0.0
Dealer to Dealer * * 0.0
<= $1MM * * 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
Customer Buy * 0 0
Customer Sell * 0 0
Dealer to Dealer * * 0
<= $1MM * * 0
<= $10MM 0 0 0
<= $100MM 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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