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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 100.4 0.0 101.2 5.8 99.9 100.5
Weighted Avg. Price 102.3 0.0 103.1 5.7 100.2 100.5
Avg. Price Bottom 5 Trades 93.6 0.0 81.5 5.2 94.1 100.2
2nd Quartile Price 100.0 0.0 100.3 5.2 99.6 100.3
3rd Quartile Price 101.1 0.0 102.3 5.8 100.0 100.4
4th Quartile Price 102.5 0.0 105.0 6.7 100.4 100.8
Avg. Price Top 5 Trades 104.1 0.0 109.4 6.3 103.2 100.9
Standard Deviation 3.1 0.0 6.8 0.9 1.3 0.3
VOLUME OF TRADES (000'S) 114,633.2 0.0 312,945.1 511,468.0 622,320.5 47,150.0
Customer Buy 40,943.3 0.0 192,188.7 * 408,898.2 *
Customer Sell 70,620.1 0.0 102,420.3 453,810.6 192,277.7 30,150.0
Dealer to Dealer 3,069.8 0.0 18,336.1 0.0 21,144.6 *
<= $1MM 5,770.0 0.0 31,308.5 0.0 60,047.0 *
<= $10MM 55,311.0 0.0 247,851.5 * 389,177.5 44,650.0
<= $100MM * 0.0 * 320,022.4 173,096.0 0.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 61 0 162 8 356 15
Customer Buy 21 0 90 * 186 *
Customer Sell 27 0 59 7 141 9
Dealer to Dealer 13 0 13 0 29 *
<= $1MM 37 0 97 0 234 *
<= $10MM 21 0 63 * 114 12
<= $100MM * 0 * 5 8 0
> $100MM 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 83.1 * 95.5 * 92.1 97.8
Weighted Avg. Price 78.6 * 95.6 * 93.3 96.0
Avg. Price Bottom 5 Trades 5.3 * 51.4 * 40.8 95.9
2nd Quartile Price 83.3 * 98.8 * 90.6 98.5
3rd Quartile Price 89.0 * 100.0 * 100.0 99.8
4th Quartile Price 95.5 * 101.3 * 102.4 100.2
Avg. Price Top 5 Trades 100.6 * 107.0 * 109.8 99.8
Standard Deviation 22.7 * 13.0 * 19.3 3.3
VOLUME OF TRADES (000'S) 525,960.6 * 284,663.8 * 128,631.2 48,900.0
Customer Buy 260,607.1 0.0 110,289.5 * 56,121.0 *
Customer Sell 232,787.2 * 145,197.0 0.0 60,449.0 *
Dealer to Dealer 32,566.4 * 29,177.4 0.0 12,061.2 *
<= $1MM 25,220.7 * 26,669.9 0.0 8,399.6 0.0
<= $10MM 124,930.8 0.0 160,420.5 0.0 120,231.5 26,900.0
<= $100MM 375,809.2 0.0 97,573.5 * 0.0 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 321 * 186 * 69 10
Customer Buy 143 0 87 * 28 *
Customer Sell 98 * 61 0 31 *
Dealer to Dealer 80 * 38 0 10 *
<= $1MM 267 * 143 0 39 0
<= $10MM 36 0 38 0 30 8
<= $100MM 18 0 5 * 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 98.3 101.5 102.1
Weighted Avg. Price 102.0 101.1 102.5
Avg. Price Bottom 5 Trades 93.6 100.3 101.0
2nd Quartile Price 94.5 100.4 101.3
3rd Quartile Price 99.2 101.0 102.0
4th Quartile Price 101.5 104.0 102.7
Avg. Price Top 5 Trades 102.8 102.9 103.6
Standard Deviation 3.6 1.6 1.0
VOLUME OF TRADES (000'S) 2,294.3 15,454.5 96,884.4
Customer Buy 1,090.7 * 34,358.9
Customer Sell 1,090.8 7,003.8 62,525.5
Dealer to Dealer 112.8 * 0.0
<= $1MM 228.6 267.9 5,273.5
<= $10MM * 15,186.7 38,058.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 26 11 24
Customer Buy 7 * 10
Customer Sell 8 5 14
Dealer to Dealer 11 * 0
<= $1MM 24 5 8
<= $10MM * 6 13
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 87.6 82.5 79.0
Weighted Avg. Price 79.7 77.8 79.0
Avg. Price Bottom 5 Trades 18.4 12.5 24.5
2nd Quartile Price 88.3 82.6 82.0
3rd Quartile Price 95.0 89.0 88.0
4th Quartile Price 96.8 94.0 93.6
Avg. Price Top 5 Trades 99.8 100.4 100.1
Standard Deviation 20.3 22.6 25.1
VOLUME OF TRADES (000'S) 15,476.0 148,038.7 362,446.0
Customer Buy 5,103.8 79,323.0 176,180.3
Customer Sell 8,416.9 56,802.9 167,567.4
Dealer to Dealer 1,955.3 11,912.8 18,698.2
<= $1MM 7,974.1 11,971.2 5,275.4
<= $10MM 7,501.9 68,104.7 49,324.2
<= $100MM 0.0 67,962.8 307,846.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 74 194 53
Customer Buy 29 88 26
Customer Sell 28 49 21
Dealer to Dealer 17 57 6
<= $1MM 69 170 28
<= $10MM 5 19 12
<= $100MM 0 5 13
> $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 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

* 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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