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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 95.5 0.0 103.2 2.7 99.5 93.5
Weighted Avg. Price 98.6 0.0 103.8 2.3 99.1 84.9
Avg. Price Bottom 5 Trades 76.3 0.0 83.4 0.3 81.0 72.6
2nd Quartile Price 95.3 0.0 101.0 0.4 99.9 92.4
3rd Quartile Price 99.0 0.0 103.4 4.0 100.0 98.3
4th Quartile Price 100.0 0.0 106.7 6.4 100.3 99.1
Avg. Price Top 5 Trades 102.1 0.0 111.9 5.9 106.3 99.9
Standard Deviation 7.8 0.0 5.1 2.7 4.3 8.7
VOLUME OF TRADES (000'S) 219,262.4 0.0 740,899.1 1,252,771.8 493,108.9 493,058.3
Customer Buy 115,883.7 0.0 260,232.2 965,014.4 310,726.3 208,093.8
Customer Sell 102,764.6 0.0 430,328.8 * 148,868.8 275,464.4
Dealer to Dealer 614.1 0.0 50,338.1 * 33,513.9 *
<= $1MM 6,716.2 0.0 29,481.7 0.0 38,345.8 18,001.3
<= $10MM 29,116.1 0.0 422,397.4 0.0 306,943.3 113,750.0
<= $100MM 183,430.1 0.0 289,020.0 604,726.0 147,819.8 361,307.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 77 0 197 14 233 65
Customer Buy 33 0 101 10 134 28
Customer Sell 25 0 75 * 78 35
Dealer to Dealer 19 0 21 * 21 *
<= $1MM 59 0 80 0 142 28
<= $10MM 10 0 100 0 81 27
<= $100MM 8 0 17 10 10 10
> $100MM 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 79.4 11.2 97.1 2.1 101.5 51.7
Weighted Avg. Price 71.2 7.8 91.1 0.5 100.2 31.4
Avg. Price Bottom 5 Trades 8.1 9.4 55.4 0.0 95.3 20.5
2nd Quartile Price 72.5 5.1 98.0 0.1 97.9 32.5
3rd Quartile Price 81.5 5.1 100.2 0.2 101.4 43.5
4th Quartile Price 90.5 23.6 102.3 0.3 107.8 77.5
Avg. Price Top 5 Trades 102.0 12.1 110.7 7.1 110.5 94.2
Standard Deviation 16.1 8.7 18.6 12.0 5.5 28.8
VOLUME OF TRADES (000'S) 869,441.6 609,928.4 175,253.9 2,942,427.9 73,019.1 169,975.0
Customer Buy 410,543.8 348,897.2 83,954.5 1,325,990.2 35,077.1 34,575.0
Customer Sell 430,104.6 * 51,458.2 1,313,629.6 36,806.9 95,400.0
Dealer to Dealer 28,793.2 * 39,841.2 302,808.0 * *
<= $1MM 60,049.0 0.0 4,731.8 2,702.5 4,680.5 4,500.0
<= $10MM 249,572.3 0.0 93,200.0 51,396.5 26,969.0 62,725.0
<= $100MM 559,820.2 201,074.6 77,322.1 908,947.6 * 102,750.0
> $100MM 0.0 * 0.0 1,979,381.3 0.0 0.0
NUMBER OF TRADES 556 8 53 54 26 25
Customer Buy 274 5 27 24 11 11
Customer Sell 210 * 16 19 14 13
Dealer to Dealer 72 * 10 11 * *
<= $1MM 469 0 22 7 11 5
<= $10MM 58 0 26 18 12 15
<= $100MM 29 5 5 16 * 5
> $100MM 0 * 0 13 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 91.3 99.0 99.7
Weighted Avg. Price 91.6 97.8 98.7
Avg. Price Bottom 5 Trades 76.3 94.7 97.6
2nd Quartile Price 85.0 98.3 99.1
3rd Quartile Price 95.5 99.5 100.2
4th Quartile Price 99.0 100.5 101.6
Avg. Price Top 5 Trades 99.9 101.6 101.7
Standard Deviation 9.6 2.6 2.0
VOLUME OF TRADES (000'S) 2,448.5 9,646.9 207,167.0
Customer Buy 1,934.0 4,583.2 109,366.4
Customer Sell 148.0 4,816.1 97,800.6
Dealer to Dealer 366.5 247.6 0.0
<= $1MM 939.6 4,810.8 *
<= $10MM * * 22,771.1
<= $100MM 0.0 0.0 183,430.1
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 36 27 14
Customer Buy 14 10 9
Customer Sell 9 11 5
Dealer to Dealer 13 6 0
<= $1MM 35 23 *
<= $10MM * * 5
<= $100MM 0 0 8
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 84.3 78.2 76.5
Weighted Avg. Price 76.2 70.9 71.4
Avg. Price Bottom 5 Trades 56.7 8.1 37.8
2nd Quartile Price 79.2 72.5 64.2
3rd Quartile Price 85.8 80.8 81.0
4th Quartile Price 93.5 90.5 91.5
Avg. Price Top 5 Trades 99.7 101.6 98.3
Standard Deviation 11.4 17.1 16.7
VOLUME OF TRADES (000'S) 16,599.0 597,573.4 255,269.2
Customer Buy 6,672.1 267,368.8 136,502.8
Customer Sell 8,354.5 303,637.2 118,112.9
Dealer to Dealer 1,572.3 26,567.4 653.5
<= $1MM 7,871.6 39,450.2 12,727.2
<= $10MM 8,727.4 129,282.1 111,562.8
<= $100MM 0.0 428,841.1 130,979.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 135 331 90
Customer Buy 81 159 34
Customer Sell 37 126 47
Dealer to Dealer 17 46 9
<= $1MM 130 271 68
<= $10MM 5 38 15
<= $100MM 0 22 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 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 5.1 *
Weighted Avg. Price 0.0 5.1 *
Avg. Price Bottom 5 Trades 0.0 5.1 *
2nd Quartile Price 0.0 * *
3rd Quartile Price 0.0 * *
4th Quartile Price 0.0 * *
Avg. Price Top 5 Trades 0.0 5.1 *
Standard Deviation 0.0 0.0 *
VOLUME OF TRADES (000'S) 0.0 485,269.6 *
Customer Buy 0.0 * *
Customer Sell 0.0 * *
Dealer to Dealer 0.0 * 0.0
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 * *
> $100MM 0.0 * 0.0
NUMBER OF TRADES 0 5 *
Customer Buy 0 * *
Customer Sell 0 * *
Dealer to Dealer 0 * 0
<= $1MM 0 0 0
<= $10MM 0 0 0
<= $100MM 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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