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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 98.9 0.0 104.6 9.8 100.0 96.3
Weighted Avg. Price 98.4 0.0 104.0 8.8 99.7 94.9
Avg. Price Bottom 5 Trades 88.7 0.0 92.4 6.5 89.3 93.3
2nd Quartile Price 98.0 0.0 101.9 7.9 99.8 94.8
3rd Quartile Price 99.5 0.0 104.1 9.5 100.1 96.5
4th Quartile Price 100.3 0.0 107.8 12.5 100.4 99.3
Avg. Price Top 5 Trades 103.1 0.0 115.0 12.6 108.2 99.4
Standard Deviation 2.9 0.0 4.5 2.5 2.7 2.6
VOLUME OF TRADES (000'S) 76,935.6 0.0 745,474.0 4,190,107.6 1,753,868.0 110,766.0
Customer Buy 30,514.2 0.0 301,130.8 1,809,361.9 758,776.2 42,320.0
Customer Sell 45,683.0 0.0 367,851.0 2,252,610.3 625,575.4 59,446.0
Dealer to Dealer 738.4 0.0 76,492.2 128,135.4 369,516.5 *
<= $1MM 3,454.7 0.0 29,379.0 0.0 30,442.7 *
<= $10MM 61,723.5 0.0 399,947.9 32,738.2 538,716.6 75,331.0
<= $100MM * 0.0 316,147.1 539,321.9 1,184,708.7 *
> $100MM 0.0 0.0 0.0 3,618,047.6 0.0 0.0
NUMBER OF TRADES 110 0 201 32 269 20
Customer Buy 16 0 89 16 105 7
Customer Sell 47 0 88 10 107 12
Dealer to Dealer 47 0 24 6 57 *
<= $1MM 97 0 88 0 102 *
<= $10MM 12 0 99 7 112 14
<= $100MM * 0 14 7 55 *
> $100MM 0 0 0 18 0 0
Non-Investment Grade †
AVERAGE PRICE 80.1 42.2 85.6 * 97.2 69.4
Weighted Avg. Price 70.2 5.0 88.0 * 98.8 71.1
Avg. Price Bottom 5 Trades 6.2 4.1 3.1 * 91.2 41.8
2nd Quartile Price 73.0 5.9 80.1 * 99.0 54.5
3rd Quartile Price 86.0 54.9 100.1 * 100.2 67.5
4th Quartile Price 95.3 67.5 104.6 * 100.5 99.0
Avg. Price Top 5 Trades 146.1 69.3 113.7 * 101.7 99.1
Standard Deviation 23.2 31.4 30.0 * 6.2 27.2
VOLUME OF TRADES (000'S) 1,121,626.7 447,328.3 769,520.6 * 50,371.7 103,923.6
Customer Buy 562,574.4 292,016.3 328,974.1 0.0 21,187.3 85,920.5
Customer Sell 500,623.8 * 373,341.9 * 29,172.4 18,003.0
Dealer to Dealer 58,428.5 1,266.3 67,204.5 0.0 * 0.0
<= $1MM 42,004.5 2,532.6 14,417.2 0.0 2,223.6 *
<= $10MM 469,058.8 0.0 397,412.2 * 48,148.1 48,680.3
<= $100MM 610,563.5 * 357,691.2 0.0 0.0 *
> $100MM 0.0 * 0.0 0.0 0.0 0.0
NUMBER OF TRADES 580 16 162 * 24 18
Customer Buy 207 8 63 0 10 12
Customer Sell 251 * 78 * 13 6
Dealer to Dealer 122 5 21 0 * 0
<= $1MM 446 10 46 0 11 *
<= $10MM 101 0 93 * 13 14
<= $100MM 33 * 23 0 0 *
> $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 98.5 99.5 *
Weighted Avg. Price 97.1 95.9 *
Avg. Price Bottom 5 Trades 88.7 96.2 *
2nd Quartile Price 98.0 99.0 *
3rd Quartile Price 99.4 100.0 *
4th Quartile Price 100.1 100.5 *
Avg. Price Top 5 Trades 102.8 101.6 *
Standard Deviation 3.3 1.8 *
VOLUME OF TRADES (000'S) 38,383.0 17,115.7 *
Customer Buy 12,605.1 * *
Customer Sell 25,436.5 8,489.1 *
Dealer to Dealer 341.4 397.0 0.0
<= $1MM 2,359.0 757.9 *
<= $10MM 36,024.0 * *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 70 37 *
Customer Buy 11 * *
Customer Sell 33 13 *
Dealer to Dealer 26 21 0
<= $1MM 61 35 *
<= $10MM 9 * *
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.7 78.2 81.7
Weighted Avg. Price 75.9 62.9 82.9
Avg. Price Bottom 5 Trades 21.6 6.7 28.4
2nd Quartile Price 82.8 71.6 71.0
3rd Quartile Price 93.0 85.0 85.0
4th Quartile Price 97.0 93.2 96.3
Avg. Price Top 5 Trades 103.1 123.2 130.0
Standard Deviation 23.6 22.2 26.2
VOLUME OF TRADES (000'S) 156,027.5 656,222.9 309,376.3
Customer Buy 75,784.8 319,386.3 167,403.3
Customer Sell 69,363.6 300,648.4 130,611.8
Dealer to Dealer 10,879.1 36,188.3 11,361.2
<= $1MM 12,563.2 21,702.8 7,738.5
<= $10MM 48,824.7 312,682.4 107,551.7
<= $100MM 94,639.7 321,837.7 194,086.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 144 349 87
Customer Buy 50 118 39
Customer Sell 60 156 35
Dealer to Dealer 34 75 13
<= $1MM 121 273 52
<= $10MM 18 62 21
<= $100MM 5 14 14
> $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 0.0 36.5 *
Weighted Avg. Price 0.0 4.9 *
Avg. Price Bottom 5 Trades 0.0 4.1 *
2nd Quartile Price 0.0 5.9 *
3rd Quartile Price 0.0 54.9 *
4th Quartile Price 0.0 64.5 *
Avg. Price Top 5 Trades 0.0 61.4 *
Standard Deviation 0.0 29.2 *
VOLUME OF TRADES (000'S) 0.0 446,755.5 *
Customer Buy 0.0 291,729.8 *
Customer Sell 0.0 * 0.0
Dealer to Dealer 0.0 * *
<= $1MM 0.0 1,959.8 *
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 * 0.0
> $100MM 0.0 * 0.0
NUMBER OF TRADES 0 14 *
Customer Buy 0 7 *
Customer Sell 0 * 0
Dealer to Dealer 0 * *
<= $1MM 0 8 *
<= $10MM 0 0 0
<= $100MM 0 * 0
> $100MM 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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