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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 99.4 0.0 99.6 * 100.0 99.6
Weighted Avg. Price 98.1 0.0 100.7 * 100.2 100.2
Avg. Price Bottom 5 Trades 89.4 0.0 76.7 * 93.7 97.0
2nd Quartile Price 98.3 0.0 100.0 * 99.4 100.3
3rd Quartile Price 100.9 0.0 101.9 * 100.0 100.8
4th Quartile Price 102.0 0.0 104.3 * 100.7 100.9
Avg. Price Top 5 Trades 102.6 0.0 109.2 * 105.3 101.1
Standard Deviation 4.1 0.0 8.1 * 2.0 2.7
VOLUME OF TRADES (000'S) 10,996.5 0.0 508,529.6 * 530,300.9 104,279.2
Customer Buy 2,439.8 0.0 331,126.9 * 289,565.9 28,518.7
Customer Sell 1,781.6 0.0 116,044.0 0.0 198,352.7 16,260.5
Dealer to Dealer 6,775.1 0.0 61,358.8 0.0 42,382.3 59,500.0
<= $1MM 2,240.7 0.0 37,224.7 * 40,039.1 *
<= $10MM * 0.0 261,754.9 0.0 259,626.7 51,279.2
<= $100MM 0.0 0.0 59,550.0 0.0 230,635.1 *
> $100MM 0.0 0.0 * * 0.0 0.0
NUMBER OF TRADES 65 0 198 * 285 18
Customer Buy 21 0 102 * 112 7
Customer Sell 16 0 80 0 143 6
Dealer to Dealer 28 0 16 0 30 5
<= $1MM 62 0 114 * 197 *
<= $10MM * 0 78 0 75 12
<= $100MM 0 0 5 0 13 *
> $100MM 0 0 * * 0 0
Non-Investment Grade †
AVERAGE PRICE 86.6 14.3 97.9 85.1 91.0 75.1
Weighted Avg. Price 74.6 2.6 96.1 79.2 99.5 60.2
Avg. Price Bottom 5 Trades 16.1 9.9 75.6 85.1 40.5 3.7
2nd Quartile Price 83.0 15.5 94.8 * 93.0 57.0
3rd Quartile Price 91.6 16.0 99.5 * 100.2 92.5
4th Quartile Price 96.8 18.0 103.3 * 104.2 100.2
Avg. Price Top 5 Trades 113.5 19.2 105.8 85.1 106.8 102.1
Standard Deviation 17.3 9.1 8.8 34.5 21.4 29.9
VOLUME OF TRADES (000'S) 442,966.7 133,640.3 213,502.6 292,197.2 206,449.4 570,268.1
Customer Buy 237,735.5 * 104,558.1 178,847.6 88,970.2 291,835.6
Customer Sell 181,404.5 * 94,961.1 * 91,254.1 269,932.4
Dealer to Dealer 23,826.7 * 13,983.4 0.0 26,225.1 *
<= $1MM 23,611.3 139.4 5,303.8 0.0 1,828.2 6,368.9
<= $10MM 176,757.9 * 78,165.7 * 85,041.2 334,423.9
<= $100MM 242,597.4 * 130,033.1 * 119,580.0 229,475.2
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 332 8 68 7 46 94
Customer Buy 154 * 40 5 19 43
Customer Sell 110 * 18 * 18 48
Dealer to Dealer 68 * 10 0 9 *
<= $1MM 270 5 49 0 17 7
<= $10MM 49 * 12 * 22 74
<= $100MM 13 * 7 * 7 13
> $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 96.1 102.0 98.2
Weighted Avg. Price 93.6 101.7 98.2
Avg. Price Bottom 5 Trades 89.4 99.6 97.7
2nd Quartile Price 93.5 101.1 99.3
3rd Quartile Price 97.0 102.0 100.3
4th Quartile Price 100.1 103.5 100.4
Avg. Price Top 5 Trades 100.5 102.6 99.0
Standard Deviation 4.3 1.5 2.8
VOLUME OF TRADES (000'S) 960.9 984.9 9,050.7
Customer Buy 362.9 573.0 *
Customer Sell 352.5 * *
Dealer to Dealer 245.6 360.6 *
<= $1MM 960.9 984.9 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 25 34 6
Customer Buy 6 13 *
Customer Sell 11 * *
Dealer to Dealer 8 17 *
<= $1MM 25 34 *
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.3 86.9 77.7
Weighted Avg. Price 90.4 86.8 47.3
Avg. Price Bottom 5 Trades 41.6 33.4 33.3
2nd Quartile Price 91.0 83.0 63.3
3rd Quartile Price 95.8 90.0 86.9
4th Quartile Price 100.0 95.9 94.0
Avg. Price Top 5 Trades 101.6 115.4 99.4
Standard Deviation 15.4 16.3 20.8
VOLUME OF TRADES (000'S) 70,750.1 228,692.4 143,524.1
Customer Buy 29,919.2 132,727.7 75,088.6
Customer Sell 19,161.5 94,416.6 67,826.4
Dealer to Dealer 21,669.5 1,548.1 609.1
<= $1MM 6,653.0 13,828.4 3,129.9
<= $10MM 32,272.7 93,484.9 51,000.4
<= $100MM * 121,379.2 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 82 199 51
Customer Buy 30 93 31
Customer Sell 29 67 14
Dealer to Dealer 23 39 6
<= $1MM 72 165 33
<= $10MM 7 28 14
<= $100MM * 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 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 * 9.9 *
Weighted Avg. Price * 1.2 *
Avg. Price Bottom 5 Trades * 9.9 *
2nd Quartile Price * * *
3rd Quartile Price * * *
4th Quartile Price * * *
Avg. Price Top 5 Trades * 9.9 *
Standard Deviation * 7.9 *
VOLUME OF TRADES (000'S) * 126,933.2 *
Customer Buy 0.0 * *
Customer Sell * * 0.0
Dealer to Dealer * * 0.0
<= $1MM * * 0.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 5 *
Customer Buy 0 * *
Customer Sell * * 0
Dealer to Dealer * * 0
<= $1MM * * 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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