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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 97.2 0.0 105.7 * 99.7 97.2
Weighted Avg. Price 94.9 0.0 106.3 * 99.5 99.6
Avg. Price Bottom 5 Trades 86.6 0.0 100.1 * 80.9 93.6
2nd Quartile Price 96.5 0.0 102.3 * 100.0 97.0
3rd Quartile Price 99.0 0.0 104.8 * 100.1 99.8
4th Quartile Price 100.2 0.0 109.4 * 100.5 99.9
Avg. Price Top 5 Trades 101.8 0.0 113.8 * 106.9 99.9
Standard Deviation 4.8 0.0 4.3 * 3.9 5.6
VOLUME OF TRADES (000'S) 11,705.0 0.0 361,391.9 * 528,219.7 463,582.2
Customer Buy 8,395.7 0.0 230,683.0 * 336,870.7 260,215.6
Customer Sell 3,032.3 0.0 117,366.9 * 161,050.3 *
Dealer to Dealer 276.9 0.0 13,342.0 0.0 30,298.7 *
<= $1MM 2,069.5 0.0 18,140.1 0.0 19,147.7 *
<= $10MM 9,635.4 0.0 227,851.7 * 288,759.9 23,232.2
<= $100MM 0.0 0.0 115,400.0 * 220,312.0 *
> $100MM 0.0 0.0 0.0 0.0 0.0 *
NUMBER OF TRADES 60 0 121 * 184 12
Customer Buy 24 0 61 * 101 8
Customer Sell 13 0 52 * 69 *
Dealer to Dealer 23 0 8 0 14 *
<= $1MM 55 0 55 0 91 *
<= $10MM 5 0 59 * 83 7
<= $100MM 0 0 7 * 10 *
> $100MM 0 0 0 0 0 *
Non-Investment Grade †
AVERAGE PRICE 65.9 * 95.4 17.0 92.1 61.8
Weighted Avg. Price 11.3 * 95.5 6.2 93.1 61.8
Avg. Price Bottom 5 Trades 0.0 * 39.2 3.4 51.5 40.3
2nd Quartile Price 40.6 * 100.0 3.5 100.1 48.5
3rd Quartile Price 80.3 * 100.0 5.4 100.7 55.5
4th Quartile Price 89.6 * 104.7 7.6 107.9 80.9
Avg. Price Top 5 Trades 159.4 * 109.9 42.8 110.1 90.7
Standard Deviation 41.3 * 19.0 32.3 28.8 20.5
VOLUME OF TRADES (000'S) 4,806,700.5 * 287,055.0 358,830.8 65,442.0 138,980.0
Customer Buy 591,472.3 * 136,462.2 84,852.4 32,930.4 66,595.0
Customer Sell 2,212,084.8 * 98,672.6 265,044.4 22,573.2 55,385.0
Dealer to Dealer 2,003,143.3 * 51,920.3 * 9,938.4 17,000.0
<= $1MM 20,113.2 * 16,734.0 * 8,282.1 3,718.0
<= $10MM 307,510.0 0.0 106,485.4 * 57,159.9 118,122.0
<= $100MM 1,894,000.8 0.0 163,835.6 335,339.5 0.0 *
> $100MM 2,585,076.4 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 377 * 105 15 40 42
Customer Buy 180 * 67 7 17 17
Customer Sell 114 * 19 7 12 17
Dealer to Dealer 83 * 19 * 11 8
<= $1MM 237 * 74 * 22 8
<= $10MM 69 0 22 * 18 33
<= $100MM 61 0 9 9 0 *
> $100MM 10 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 95.8 100.6 *
Weighted Avg. Price 97.1 97.3 *
Avg. Price Bottom 5 Trades 86.6 98.9 *
2nd Quartile Price 95.8 100.2 *
3rd Quartile Price 98.0 101.0 *
4th Quartile Price 99.3 102.5 *
Avg. Price Top 5 Trades 100.4 101.7 *
Standard Deviation 4.9 1.8 *
VOLUME OF TRADES (000'S) 2,821.9 3,736.2 *
Customer Buy 1,586.9 1,661.9 *
Customer Sell 1,033.1 1,999.2 0.0
Dealer to Dealer 201.9 75.0 0.0
<= $1MM 817.7 348.6 *
<= $10MM * * *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 41 17 *
Customer Buy 16 6 *
Customer Sell 8 5 0
Dealer to Dealer 17 6 0
<= $1MM 39 15 *
<= $10MM * * *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 82.7 66.3 50.2
Weighted Avg. Price 77.9 13.5 8.8
Avg. Price Bottom 5 Trades 16.4 0.0 0.0
2nd Quartile Price 88.3 52.0 0.0
3rd Quartile Price 92.5 79.0 56.6
4th Quartile Price 98.0 86.4 86.3
Avg. Price Top 5 Trades 100.3 122.3 143.0
Standard Deviation 26.7 38.4 54.2
VOLUME OF TRADES (000'S) 24,427.2 2,226,234.2 2,556,039.0
Customer Buy 16,882.9 314,667.6 259,921.8
Customer Sell 7,384.8 1,018,971.0 1,185,729.1
Dealer to Dealer 159.6 892,595.6 1,110,388.1
<= $1MM 4,714.0 13,915.6 1,483.6
<= $10MM * 230,742.7 57,054.1
<= $100MM 0.0 886,187.0 1,007,813.8
> $100MM 0.0 * 1,489,687.5
NUMBER OF TRADES 57 252 68
Customer Buy 29 133 18
Customer Sell 16 69 29
Dealer to Dealer 12 50 21
<= $1MM 53 163 21
<= $10MM * 51 14
<= $100MM 0 36 25
> $100MM 0 * 8

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 *
<= $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 *
Dealer to Dealer 0 0 *
<= $1MM 0 0 *
<= $10MM 0 0 0
<= $100MM 0 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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