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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 98.5 0.0 98.7 3.0 99.9 100.7
Weighted Avg. Price 101.8 0.0 98.7 2.9 99.9 100.7
Avg. Price Bottom 5 Trades 91.3 0.0 76.8 2.0 93.6 100.5
2nd Quartile Price 96.0 0.0 98.8 2.1 99.5 100.5
3rd Quartile Price 99.5 0.0 101.2 3.7 100.0 100.8
4th Quartile Price 101.4 0.0 104.0 4.7 100.4 101.1
Avg. Price Top 5 Trades 104.5 0.0 108.7 4.1 105.0 101.0
Standard Deviation 3.8 0.0 8.4 1.3 1.8 0.3
VOLUME OF TRADES (000'S) 92,375.4 0.0 362,242.0 29,420.5 726,680.8 51,820.0
Customer Buy 43,390.3 0.0 186,559.5 14,710.2 357,263.1 *
Customer Sell 47,299.6 0.0 121,358.9 14,710.2 313,781.6 *
Dealer to Dealer 1,685.5 0.0 54,323.6 0.0 55,636.1 *
<= $1MM 3,617.5 0.0 22,681.2 0.0 38,451.7 *
<= $10MM 19,683.8 0.0 259,510.8 29,420.5 383,744.1 14,520.0
<= $100MM * 0.0 * 0.0 304,485.0 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 63 0 142 10 264 11
Customer Buy 23 0 62 5 120 *
Customer Sell 19 0 60 5 105 *
Dealer to Dealer 21 0 20 0 39 *
<= $1MM 55 0 72 0 145 *
<= $10MM 6 0 66 10 99 7
<= $100MM * 0 * 0 20 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 84.6 18.2 96.9 7.9 94.0 75.8
Weighted Avg. Price 83.6 18.9 94.5 5.4 90.4 81.1
Avg. Price Bottom 5 Trades 3.8 7.8 59.3 0.8 65.8 15.3
2nd Quartile Price 82.0 1.7 97.1 1.1 94.0 52.1
3rd Quartile Price 87.0 22.0 97.5 3.4 99.5 92.6
4th Quartile Price 94.5 31.5 100.4 7.8 101.7 98.4
Avg. Price Top 5 Trades 107.4 31.9 106.3 30.8 106.1 100.2
Standard Deviation 16.0 20.7 8.8 14.5 14.7 32.7
VOLUME OF TRADES (000'S) 1,470,406.0 35,300.7 313,966.0 761,422.1 276,234.1 123,775.4
Customer Buy 812,231.1 11,604.2 143,881.8 344,710.5 74,214.5 62,614.5
Customer Sell 631,446.5 * 122,698.9 211,132.0 184,844.6 56,310.9
Dealer to Dealer 26,728.4 0.0 47,385.3 * 17,175.0 *
<= $1MM 24,398.0 * 20,583.4 * 8,809.4 9,994.3
<= $10MM 129,396.3 21,489.4 202,611.6 58,951.8 116,751.7 113,781.0
<= $100MM 943,217.2 * 90,771.0 345,953.0 150,673.1 0.0
> $100MM * 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 524 9 178 30 71 36
Customer Buy 231 5 94 10 30 19
Customer Sell 175 * 49 16 29 16
Dealer to Dealer 118 0 35 * 12 *
<= $1MM 460 * 122 * 34 11
<= $10MM 36 6 51 11 30 25
<= $100MM 26 * 5 16 7 0
> $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 98.3 98.4 100.1
Weighted Avg. Price 100.3 101.7 102.1
Avg. Price Bottom 5 Trades 93.0 93.9 98.9
2nd Quartile Price 96.0 96.0 100.7
3rd Quartile Price 99.4 99.5 102.9
4th Quartile Price 100.8 101.7 103.0
Avg. Price Top 5 Trades 103.8 102.4 102.1
Standard Deviation 3.8 3.9 4.0
VOLUME OF TRADES (000'S) 3,376.6 69,292.2 19,706.6
Customer Buy 1,567.1 34,651.7 *
Customer Sell 201.1 * *
Dealer to Dealer 1,608.4 77.1 0.0
<= $1MM 3,376.6 218.2 *
<= $10MM 0.0 0.0 19,683.8
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 39 17 7
Customer Buy 11 8 *
Customer Sell 13 * *
Dealer to Dealer 15 6 0
<= $1MM 39 15 *
<= $10MM 0 0 6
<= $100MM 0 * 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.8 83.4 81.9
Weighted Avg. Price 98.3 82.6 77.7
Avg. Price Bottom 5 Trades 47.7 11.2 42.0
2nd Quartile Price 89.5 81.2 82.8
3rd Quartile Price 98.4 87.0 84.6
4th Quartile Price 99.5 92.0 89.8
Avg. Price Top 5 Trades 101.9 105.2 98.0
Standard Deviation 13.7 16.2 15.5
VOLUME OF TRADES (000'S) 239,953.9 760,480.4 469,971.7
Customer Buy 110,729.2 430,004.0 271,497.9
Customer Sell 126,977.5 308,646.5 195,822.5
Dealer to Dealer 2,247.2 21,829.9 2,651.3
<= $1MM 9,271.9 12,698.1 2,427.9
<= $10MM 8,908.8 81,206.2 39,281.3
<= $100MM 221,773.1 293,181.5 428,262.6
> $100MM 0.0 * 0.0
NUMBER OF TRADES 94 310 120
Customer Buy 35 123 73
Customer Sell 38 109 28
Dealer to Dealer 21 78 19
<= $1MM 82 279 99
<= $10MM 5 21 10
<= $100MM 7 8 11
> $100MM 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 * 16.7
Weighted Avg. Price 0.0 * 18.2
Avg. Price Bottom 5 Trades 0.0 * 16.7
2nd Quartile Price 0.0 * *
3rd Quartile Price 0.0 * *
4th Quartile Price 0.0 * *
Avg. Price Top 5 Trades 0.0 * 16.7
Standard Deviation 0.0 * 25.9
VOLUME OF TRADES (000'S) 0.0 * 27,749.0
Customer Buy 0.0 * *
Customer Sell 0.0 * *
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 *
<= $10MM 0.0 * *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 6
Customer Buy 0 * *
Customer Sell 0 * *
Dealer to Dealer 0 0 0
<= $1MM 0 0 *
<= $10MM 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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