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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 97.8 * 104.0 55.5 100.2 95.5
Weighted Avg. Price 101.4 * 104.3 83.1 100.3 94.8
Avg. Price Bottom 5 Trades 89.3 * 99.1 3.9 92.0 71.5
2nd Quartile Price 94.8 * 100.8 6.0 100.0 97.3
3rd Quartile Price 99.2 * 103.2 100.0 100.2 99.6
4th Quartile Price 101.3 * 107.3 100.1 100.4 100.2
Avg. Price Top 5 Trades 103.2 * 111.3 74.5 105.1 100.4
Standard Deviation 4.2 * 3.5 49.3 1.7 11.0
VOLUME OF TRADES (000'S) 86,305.5 * 561,732.2 182,545.0 1,351,843.7 204,778.5
Customer Buy 32,579.9 0.0 320,608.7 78,260.6 608,933.8 102,443.8
Customer Sell 37,430.4 * 172,923.9 101,028.9 632,839.7 91,731.8
Dealer to Dealer 16,295.3 * 68,199.6 * 110,070.3 10,603.0
<= $1MM 10,064.7 * 37,682.0 0.0 43,741.6 *
<= $10MM 51,789.1 0.0 423,897.7 52,545.0 521,687.8 142,041.5
<= $100MM * 0.0 100,152.5 130,000.0 786,414.3 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 98 * 182 15 308 43
Customer Buy 37 0 90 5 125 22
Customer Sell 38 * 70 8 141 16
Dealer to Dealer 23 * 22 * 42 5
<= $1MM 84 * 90 0 129 *
<= $10MM 12 0 86 9 144 37
<= $100MM * 0 6 6 35 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 73.4 22.7 97.5 18.7 99.0 67.4
Weighted Avg. Price 65.1 4.5 94.4 7.5 97.4 70.6
Avg. Price Bottom 5 Trades 0.5 6.4 65.6 3.4 68.2 11.8
2nd Quartile Price 61.7 8.7 97.3 3.4 100.0 61.3
3rd Quartile Price 83.2 17.4 100.0 7.9 100.8 82.1
4th Quartile Price 95.0 75.0 103.0 74.8 104.3 90.3
Avg. Price Top 5 Trades 163.3 34.2 110.1 34.0 108.9 98.1
Standard Deviation 31.1 28.0 11.3 29.9 14.6 33.2
VOLUME OF TRADES (000'S) 934,380.4 367,289.8 401,526.6 512,789.5 368,525.2 182,201.4
Customer Buy 407,549.3 302,648.9 143,544.4 * 154,737.5 72,423.8
Customer Sell 412,846.0 * 187,227.8 336,721.8 212,067.7 109,777.6
Dealer to Dealer 113,985.1 0.0 70,754.4 * 1,720.0 0.0
<= $1MM 49,077.3 * 11,076.3 0.0 9,336.1 5,448.3
<= $10MM 419,326.1 * 248,896.9 0.0 47,169.2 151,003.1
<= $100MM 465,977.0 * 141,553.5 303,120.9 312,019.8 *
> $100MM 0.0 * 0.0 * 0.0 0.0
NUMBER OF TRADES 566 10 129 10 48 58
Customer Buy 221 6 64 * 18 31
Customer Sell 226 * 44 6 24 27
Dealer to Dealer 119 0 21 * 6 0
<= $1MM 426 * 67 0 26 10
<= $10MM 115 * 54 0 15 47
<= $100MM 25 * 8 8 7 *
> $100MM 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 96.8 96.5 101.5
Weighted Avg. Price 99.6 96.9 102.7
Avg. Price Bottom 5 Trades 89.8 92.0 98.6
2nd Quartile Price 94.0 93.5 99.7
3rd Quartile Price 99.5 98.0 102.8
4th Quartile Price 100.2 99.5 103.0
Avg. Price Top 5 Trades 100.6 101.6 103.2
Standard Deviation 4.3 3.8 2.0
VOLUME OF TRADES (000'S) 28,108.9 5,122.5 53,074.1
Customer Buy 13,891.2 2,309.3 16,379.4
Customer Sell 14,172.6 1,993.2 21,264.5
Dealer to Dealer 45.1 820.1 *
<= $1MM 805.9 2,053.6 7,205.2
<= $10MM * * 45,868.9
<= $100MM * 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 29 45 24
Customer Buy 10 21 6
Customer Sell 11 13 14
Dealer to Dealer 8 11 *
<= $1MM 25 43 16
<= $10MM * * 8
<= $100MM * 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 76.7 71.5 73.8
Weighted Avg. Price 71.8 66.4 61.3
Avg. Price Bottom 5 Trades 3.7 1.3 15.2
2nd Quartile Price 65.5 60.5 71.1
3rd Quartile Price 85.0 83.3 80.0
4th Quartile Price 99.0 93.1 87.4
Avg. Price Top 5 Trades 101.9 162.3 99.7
Standard Deviation 29.3 34.0 22.1
VOLUME OF TRADES (000'S) 91,322.9 500,340.1 342,717.4
Customer Buy 32,644.9 185,054.8 189,849.5
Customer Sell 34,359.0 244,629.1 133,857.9
Dealer to Dealer 24,319.0 70,656.1 19,010.0
<= $1MM 19,522.4 20,501.2 9,053.7
<= $10MM 71,800.5 249,790.2 97,735.4
<= $100MM 0.0 230,048.7 235,928.3
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 173 308 85
Customer Buy 70 115 36
Customer Sell 68 127 31
Dealer to Dealer 35 66 18
<= $1MM 140 229 57
<= $10MM 33 65 17
<= $100MM 0 14 11
> $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 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 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
Non-Investment Grade †
AVERAGE PRICE 0.0 25.2 *
Weighted Avg. Price 0.0 8.8 *
Avg. Price Bottom 5 Trades 0.0 8.4 *
2nd Quartile Price 0.0 10.1 *
3rd Quartile Price 0.0 17.4 *
4th Quartile Price 0.0 75.0 *
Avg. Price Top 5 Trades 0.0 34.2 *
Standard Deviation 0.0 28.5 *
VOLUME OF TRADES (000'S) 0.0 175,388.2 *
Customer Buy 0.0 110,747.4 *
Customer Sell 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 * 0.0
<= $10MM 0.0 * 0.0
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 *
NUMBER OF TRADES 0 9 *
Customer Buy 0 5 *
Customer Sell 0 * 0
Dealer to Dealer 0 0 0
<= $1MM 0 * 0
<= $10MM 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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