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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 93.0 0.0 102.9 * 99.9 97.4
Weighted Avg. Price 97.9 0.0 101.6 * 100.1 97.8
Avg. Price Bottom 5 Trades 78.9 0.0 85.2 * 92.7 91.0
2nd Quartile Price 91.0 0.0 100.1 * 99.6 96.0
3rd Quartile Price 98.1 0.0 103.5 * 100.1 98.7
4th Quartile Price 99.7 0.0 108.4 * 100.5 99.7
Avg. Price Top 5 Trades 101.4 0.0 111.7 * 108.1 99.9
Standard Deviation 12.6 0.0 6.9 * 2.4 3.1
VOLUME OF TRADES (000'S) 6,719.4 0.0 137,093.4 * 241,388.2 182,495.1
Customer Buy 3,537.0 0.0 93,448.6 * 117,966.3 115,875.0
Customer Sell 3,142.4 0.0 42,510.3 0.0 106,430.3 61,620.0
Dealer to Dealer 40.0 0.0 1,134.4 0.0 16,991.6 *
<= $1MM 1,020.0 0.0 16,851.8 * 34,577.0 4,591.8
<= $10MM * 0.0 120,241.6 0.0 148,902.4 84,493.2
<= $100MM 0.0 0.0 0.0 * 57,908.9 93,410.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 30 0 77 * 204 39
Customer Buy 8 0 51 * 84 24
Customer Sell 11 0 20 0 91 14
Dealer to Dealer 11 0 6 0 29 *
<= $1MM 28 0 46 * 155 7
<= $10MM * 0 31 0 44 26
<= $100MM 0 0 0 * 5 6
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 78.2 * 100.5 0.0 91.9 61.6
Weighted Avg. Price 70.9 * 98.0 0.0 95.0 54.9
Avg. Price Bottom 5 Trades 2.4 * 88.3 0.0 82.9 28.6
2nd Quartile Price 75.5 * 99.3 0.0 83.9 54.3
3rd Quartile Price 86.3 * 99.9 0.0 100.5 74.0
4th Quartile Price 97.5 * 102.7 0.0 102.4 78.8
Avg. Price Top 5 Trades 100.0 * 110.0 0.0 104.3 85.7
Standard Deviation 26.7 * 6.1 0.0 12.5 25.3
VOLUME OF TRADES (000'S) 216,802.6 * 125,392.5 0.0 43,130.3 71,878.3
Customer Buy 111,297.5 * 62,252.7 0.0 21,455.2 36,393.6
Customer Sell 103,703.6 * 58,240.8 0.0 18,132.7 34,984.7
Dealer to Dealer 1,801.6 0.0 4,899.0 0.0 * *
<= $1MM 12,836.9 0.0 5,935.3 0.0 3,363.3 *
<= $10MM 77,786.6 0.0 119,457.2 0.0 39,767.0 70,378.3
<= $100MM 126,179.2 * 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 217 * 63 0 20 17
Customer Buy 78 * 37 0 12 9
Customer Sell 106 * 19 0 6 7
Dealer to Dealer 33 0 7 0 * *
<= $1MM 192 0 41 0 11 *
<= $10MM 20 0 22 0 9 14
<= $100MM 5 * 0 0 0 0
> $100MM 0 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 93.8 * *
Weighted Avg. Price 96.2 * *
Avg. Price Bottom 5 Trades 85.8 * *
2nd Quartile Price 90.0 * *
3rd Quartile Price 98.3 * *
4th Quartile Price 99.7 * *
Avg. Price Top 5 Trades 99.9 * *
Standard Deviation 6.8 * *
VOLUME OF TRADES (000'S) 502.6 * *
Customer Buy 429.4 * *
Customer Sell 33.2 * *
Dealer to Dealer 40.0 0.0 0.0
<= $1MM 502.6 * *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 23 * *
Customer Buy 5 * *
Customer Sell 7 * *
Dealer to Dealer 11 0 0
<= $1MM 23 * *
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 74.9 78.9 82.0
Weighted Avg. Price 90.0 59.7 74.0
Avg. Price Bottom 5 Trades 9.8 19.1 43.1
2nd Quartile Price 77.8 76.5 69.8
3rd Quartile Price 92.9 82.5 96.3
4th Quartile Price 98.6 94.3 100.0
Avg. Price Top 5 Trades 99.9 99.7 97.7
Standard Deviation 36.0 21.4 21.8
VOLUME OF TRADES (000'S) 24,441.8 73,907.8 118,453.1
Customer Buy 11,737.9 35,745.2 63,814.4
Customer Sell 12,330.3 36,771.2 54,602.1
Dealer to Dealer 373.7 1,391.3 *
<= $1MM 3,808.1 5,534.8 3,494.1
<= $10MM 0.0 47,819.1 29,967.5
<= $100MM * * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 66 114 37
Customer Buy 37 25 16
Customer Sell 17 70 19
Dealer to Dealer 12 19 *
<= $1MM 64 100 28
<= $10MM 0 13 7
<= $100MM * * *
> $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 * 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
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
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0
Customer Buy 0 * 0
Customer Sell 0 * 0
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 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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