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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 98.4 * 104.2 * 100.3 99.3
Weighted Avg. Price 99.2 * 104.2 * 100.0 99.5
Avg. Price Bottom 5 Trades 76.8 * 93.5 * 92.6 97.7
2nd Quartile Price 98.3 * 102.1 * 100.0 98.6
3rd Quartile Price 100.0 * 103.8 * 100.1 99.5
4th Quartile Price 101.0 * 106.2 * 100.3 100.1
Avg. Price Top 5 Trades 108.5 * 112.5 * 109.9 100.6
Standard Deviation 6.2 * 3.3 * 2.1 1.0
VOLUME OF TRADES (000'S) 135,896.7 * 1,539,850.1 * 1,151,701.9 355,075.6
Customer Buy 96,138.6 * 717,349.6 * 525,561.3 147,250.0
Customer Sell 35,855.7 0.0 756,195.7 0.0 459,395.7 138,021.3
Dealer to Dealer 3,902.4 0.0 66,304.8 0.0 166,744.9 69,804.4
<= $1MM 8,336.1 * 45,182.2 0.0 57,245.3 4,704.4
<= $10MM 66,804.6 0.0 506,974.4 0.0 460,995.7 141,261.3
<= $100MM * 0.0 987,693.4 * 633,460.9 209,110.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 140 * 288 * 289 36
Customer Buy 70 * 126 * 158 14
Customer Sell 38 0 139 0 107 11
Dealer to Dealer 32 0 23 0 24 11
<= $1MM 116 * 145 0 143 8
<= $10MM 20 0 109 0 119 23
<= $100MM * 0 34 * 27 5
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 86.3 6.9 100.9 13.7 91.4 77.2
Weighted Avg. Price 71.4 12.0 99.1 5.7 95.7 62.6
Avg. Price Bottom 5 Trades 0.4 0.2 72.4 0.3 38.4 16.8
2nd Quartile Price 82.5 0.9 99.6 1.0 90.3 85.8
3rd Quartile Price 90.8 7.7 101.8 4.7 99.8 91.6
4th Quartile Price 97.2 12.3 105.2 6.2 102.0 97.4
Avg. Price Top 5 Trades 108.8 17.3 111.5 53.0 109.8 99.1
Standard Deviation 18.6 6.8 9.2 28.3 20.4 29.5
VOLUME OF TRADES (000'S) 778,182.6 302,974.0 496,632.0 2,157,668.4 375,637.1 294,740.3
Customer Buy 412,194.0 116,330.4 273,385.5 1,055,879.2 177,003.0 130,324.6
Customer Sell 270,300.3 163,615.0 212,531.5 1,098,873.1 106,476.9 153,793.4
Dealer to Dealer 95,688.2 23,028.6 10,715.0 * 92,157.2 *
<= $1MM 64,227.3 1,718.8 18,398.9 * 12,580.4 3,276.4
<= $10MM 337,685.4 21,467.0 169,885.7 62,408.1 130,953.8 128,633.0
<= $100MM 376,269.9 279,788.2 308,347.4 356,204.0 232,102.9 *
> $100MM 0.0 0.0 0.0 1,738,168.5 0.0 0.0
NUMBER OF TRADES 952 26 121 33 74 38
Customer Buy 529 12 53 17 30 17
Customer Sell 259 8 54 14 26 17
Dealer to Dealer 164 6 14 * 18 *
<= $1MM 843 12 58 * 34 6
<= $10MM 90 6 50 14 26 28
<= $100MM 19 8 13 10 14 *
> $100MM 0 0 0 6 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 98.3 98.2 100.2
Weighted Avg. Price 99.6 95.5 100.4
Avg. Price Bottom 5 Trades 76.8 88.8 99.2
2nd Quartile Price 98.5 97.6 99.4
3rd Quartile Price 100.2 99.8 100.7
4th Quartile Price 100.8 101.3 103.1
Avg. Price Top 5 Trades 108.5 103.2 101.2
Standard Deviation 6.8 5.0 2.2
VOLUME OF TRADES (000'S) 44,711.9 25,535.4 65,649.5
Customer Buy 35,137.7 15,809.6 45,191.3
Customer Sell 6,323.3 9,074.2 *
Dealer to Dealer 3,250.8 651.6 0.0
<= $1MM 5,709.3 2,626.8 0.0
<= $10MM 19,786.1 22,908.5 *
<= $100MM * 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 95 38 7
Customer Buy 46 19 5
Customer Sell 25 11 *
Dealer to Dealer 24 8 0
<= $1MM 85 31 0
<= $10MM 9 7 *
<= $100MM * 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 89.0 86.1 80.3
Weighted Avg. Price 89.4 66.7 69.4
Avg. Price Bottom 5 Trades 5.7 0.4 8.2
2nd Quartile Price 84.8 83.2 77.4
3rd Quartile Price 96.6 89.0 88.0
4th Quartile Price 100.5 95.0 95.8
Avg. Price Top 5 Trades 108.8 101.6 100.4
Standard Deviation 20.9 15.2 22.9
VOLUME OF TRADES (000'S) 137,906.5 443,214.4 197,061.6
Customer Buy 47,609.8 281,695.6 82,888.6
Customer Sell 80,580.4 109,757.8 79,962.1
Dealer to Dealer 9,716.3 51,761.0 34,210.9
<= $1MM 30,759.7 23,783.9 9,683.7
<= $10MM 107,146.8 160,264.3 70,274.3
<= $100MM 0.0 259,166.2 117,103.7
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 326 501 125
Customer Buy 158 287 84
Customer Sell 109 119 31
Dealer to Dealer 59 95 10
<= $1MM 290 449 104
<= $10MM 36 40 14
<= $100MM 0 12 7
> $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 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 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 4.1 11.6 7.0
Weighted Avg. Price 10.4 12.4 10.9
Avg. Price Bottom 5 Trades 0.2 8.6 5.1
2nd Quartile Price 0.1 9.1 3.4
3rd Quartile Price 0.9 12.4 3.6
4th Quartile Price 11.6 19.0 18.4
Avg. Price Top 5 Trades 6.2 14.3 9.4
Standard Deviation 5.5 6.2 7.7
VOLUME OF TRADES (000'S) 8,313.7 222,867.0 71,793.3
Customer Buy 3,950.3 * *
Customer Sell * * *
Dealer to Dealer * 0.0 *
<= $1MM 1,280.3 * *
<= $10MM * 0.0 *
<= $100MM 0.0 222,595.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 12 7 7
Customer Buy 5 * *
Customer Sell * * *
Dealer to Dealer * 0 *
<= $1MM 9 * *
<= $10MM * 0 *
<= $100MM 0 5 *
> $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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