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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 97.0 * 104.4 * 98.4 92.3
Weighted Avg. Price 95.2 * 105.7 * 87.6 94.6
Avg. Price Bottom 5 Trades 73.2 * 77.0 * 71.8 74.1
2nd Quartile Price 95.2 * 101.0 * 97.2 86.1
3rd Quartile Price 99.3 * 104.4 * 100.5 95.8
4th Quartile Price 100.3 * 110.0 * 102.4 99.0
Avg. Price Top 5 Trades 104.2 * 115.6 * 123.5 99.8
Standard Deviation 5.9 * 7.7 * 12.7 8.7
VOLUME OF TRADES (000'S) 384,995.9 * 1,170,758.7 * 995,286.0 513,931.7
Customer Buy 60,349.1 * 681,082.8 * 419,929.8 210,367.2
Customer Sell 305,776.5 0.0 402,959.4 * 368,876.2 274,849.0
Dealer to Dealer 18,870.3 0.0 86,716.5 0.0 206,480.0 28,715.5
<= $1MM 12,918.9 0.0 31,833.7 0.0 46,350.6 3,111.4
<= $10MM 122,093.6 * 462,856.5 * 331,048.0 124,667.9
<= $100MM 249,983.4 0.0 676,068.5 0.0 617,887.3 386,152.5
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 218 * 250 * 232 43
Customer Buy 80 * 127 * 95 15
Customer Sell 93 0 81 * 84 23
Dealer to Dealer 45 0 42 0 53 5
<= $1MM 165 0 110 0 126 6
<= $10MM 36 * 103 * 83 26
<= $100MM 17 0 37 0 23 11
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 70.5 18.0 75.6 7.2 85.7 56.8
Weighted Avg. Price 57.8 6.7 76.3 6.5 80.0 39.0
Avg. Price Bottom 5 Trades 0.9 15.0 13.3 7.1 45.9 10.8
2nd Quartile Price 60.4 5.3 50.5 7.6 63.3 53.0
3rd Quartile Price 72.0 34.3 89.0 7.9 100.1 67.8
4th Quartile Price 89.0 36.0 103.9 8.0 105.7 72.5
Avg. Price Top 5 Trades 102.8 23.1 112.6 7.7 111.5 80.6
Standard Deviation 22.3 15.9 32.2 1.2 27.2 25.7
VOLUME OF TRADES (000'S) 7,919,557.5 236,815.9 644,431.9 28,291.2 145,883.2 246,999.9
Customer Buy 960,801.2 * 329,799.4 0.0 63,695.8 124,038.3
Customer Sell 6,932,384.7 * 303,128.5 * 65,060.2 118,961.6
Dealer to Dealer 26,371.6 * 11,504.0 * 17,127.3 *
<= $1MM 44,913.0 * 9,369.7 0.0 3,955.0 *
<= $10MM 417,455.2 * 299,258.6 16,548.2 70,409.8 58,803.7
<= $100MM 5,023,598.0 * 335,803.6 * * 185,973.9
> $100MM 2,433,591.4 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 721 7 119 6 31 27
Customer Buy 301 * 50 0 12 10
Customer Sell 309 * 56 * 12 16
Dealer to Dealer 111 * 13 * 7 *
<= $1MM 452 * 41 0 7 *
<= $10MM 100 * 59 5 20 15
<= $100MM 151 * 19 * * 9
> $100MM 18 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 97.5 95.3 99.5
Weighted Avg. Price 95.1 94.7 99.5
Avg. Price Bottom 5 Trades 75.1 79.8 99.5
2nd Quartile Price 96.5 94.3 *
3rd Quartile Price 99.5 96.9 *
4th Quartile Price 100.5 100.0 *
Avg. Price Top 5 Trades 104.2 100.7 99.5
Standard Deviation 5.9 6.2 0.6
VOLUME OF TRADES (000'S) 194,634.0 168,329.3 22,032.6
Customer Buy 44,995.1 4,814.2 *
Customer Sell 139,323.8 160,292.4 *
Dealer to Dealer 10,315.1 3,222.7 *
<= $1MM 9,982.7 2,625.9 *
<= $10MM 67,777.6 32,593.6 *
<= $100MM 116,873.6 133,109.8 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 164 49 5
Customer Buy 63 15 *
Customer Sell 65 26 *
Dealer to Dealer 36 8 *
<= $1MM 138 26 *
<= $10MM 18 14 *
<= $100MM 8 9 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 79.8 70.0 65.4
Weighted Avg. Price 71.1 58.8 54.2
Avg. Price Bottom 5 Trades 12.7 0.9 11.7
2nd Quartile Price 70.1 60.7 45.3
3rd Quartile Price 89.1 71.3 68.5
4th Quartile Price 96.8 86.0 88.5
Avg. Price Top 5 Trades 102.4 101.5 99.1
Standard Deviation 23.3 21.2 23.9
VOLUME OF TRADES (000'S) 127,666.4 5,689,016.1 2,102,875.0
Customer Buy 60,517.4 611,744.3 288,539.6
Customer Sell 65,453.9 5,062,031.3 1,804,899.6
Dealer to Dealer 1,695.1 15,240.6 9,435.8
<= $1MM 11,645.1 27,686.5 5,581.4
<= $10MM 64,890.5 245,917.8 106,646.9
<= $100MM * 3,887,661.6 1,084,805.6
> $100MM 0.0 1,527,750.3 905,841.1
NUMBER OF TRADES 94 503 124
Customer Buy 44 217 40
Customer Sell 33 211 65
Dealer to Dealer 17 75 19
<= $1MM 75 319 58
<= $10MM 16 58 26
<= $100MM * 115 33
> $100MM 0 11 7

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 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 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 0.0 18.0 0.0
Weighted Avg. Price 0.0 6.7 0.0
Avg. Price Bottom 5 Trades 0.0 15.0 0.0
2nd Quartile Price 0.0 5.3 0.0
3rd Quartile Price 0.0 34.3 0.0
4th Quartile Price 0.0 36.0 0.0
Avg. Price Top 5 Trades 0.0 23.1 0.0
Standard Deviation 0.0 15.9 0.0
VOLUME OF TRADES (000'S) 0.0 236,815.9 0.0
Customer Buy 0.0 * 0.0
Customer Sell 0.0 * 0.0
Dealer to Dealer 0.0 * 0.0
<= $1MM 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 7 0
Customer Buy 0 * 0
Customer Sell 0 * 0
Dealer to Dealer 0 * 0
<= $1MM 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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