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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 97.6 0.0 100.9 4.9 99.9 99.7
Weighted Avg. Price 100.3 0.0 102.2 3.9 100.1 100.6
Avg. Price Bottom 5 Trades 82.7 0.0 80.2 4.1 98.0 96.4
2nd Quartile Price 97.2 0.0 100.1 5.1 99.5 100.2
3rd Quartile Price 100.0 0.0 100.9 5.4 99.9 100.6
4th Quartile Price 100.6 0.0 103.3 5.7 100.1 101.1
Avg. Price Top 5 Trades 102.0 0.0 107.8 5.6 106.0 102.0
Standard Deviation 5.9 0.0 4.9 1.1 1.2 3.5
VOLUME OF TRADES (000'S) 181,658.6 0.0 585,579.9 168,742.9 1,063,651.6 97,656.7
Customer Buy 85,235.7 0.0 347,402.1 160,960.1 487,291.9 71,978.4
Customer Sell 80,506.1 0.0 212,570.9 0.0 514,370.1 22,678.4
Dealer to Dealer 15,916.8 0.0 25,607.0 * 61,989.5 *
<= $1MM 1,909.9 0.0 28,161.7 * 50,355.2 3,081.0
<= $10MM 39,724.0 0.0 226,222.2 9,728.5 416,608.7 45,575.7
<= $100MM 140,024.7 0.0 331,196.0 * 596,687.7 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 70 0 171 10 339 22
Customer Buy 22 0 92 6 149 11
Customer Sell 24 0 67 0 158 10
Dealer to Dealer 24 0 12 * 32 *
<= $1MM 52 0 111 * 191 6
<= $10MM 10 0 48 5 117 14
<= $100MM 8 0 12 * 31 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.2 13.2 94.6 9.3 94.9 92.7
Weighted Avg. Price 82.0 5.3 93.0 11.8 81.8 95.9
Avg. Price Bottom 5 Trades 4.4 2.5 53.9 5.5 43.7 43.2
2nd Quartile Price 83.5 4.2 94.6 6.0 97.6 99.5
3rd Quartile Price 89.9 9.5 100.0 6.0 100.1 100.2
4th Quartile Price 97.0 19.1 101.8 8.7 103.0 103.8
Avg. Price Top 5 Trades 105.6 36.6 106.3 10.5 106.2 104.1
Standard Deviation 24.3 17.0 12.7 10.0 20.5 23.1
VOLUME OF TRADES (000'S) 335,752.5 42,735.8 560,325.9 251,294.9 138,951.5 105,814.9
Customer Buy 178,422.8 22,815.1 291,727.1 * 51,666.2 68,144.9
Customer Sell 149,239.9 19,683.8 185,407.1 119,650.0 74,457.3 35,169.9
Dealer to Dealer 8,089.8 237.0 83,191.7 * * *
<= $1MM 24,236.4 517.8 24,597.2 1,348.4 12,897.9 5,250.0
<= $10MM 118,892.5 16,598.6 191,788.7 * 31,843.4 100,564.9
<= $100MM 192,623.6 * 343,940.0 248,388.1 94,210.2 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 409 21 162 14 59 39
Customer Buy 170 11 67 * 39 24
Customer Sell 154 5 68 10 16 14
Dealer to Dealer 85 5 27 * * *
<= $1MM 360 12 102 8 44 10
<= $10MM 37 7 48 * 9 29
<= $100MM 12 * 12 5 6 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 95.7 98.4 100.8
Weighted Avg. Price 99.3 100.1 101.3
Avg. Price Bottom 5 Trades 84.8 92.1 99.7
2nd Quartile Price 96.0 98.8 100.2
3rd Quartile Price 99.4 100.0 100.6
4th Quartile Price 100.8 100.2 102.9
Avg. Price Top 5 Trades 101.1 100.6 101.9
Standard Deviation 8.0 3.3 1.6
VOLUME OF TRADES (000'S) 1,322.3 141,699.0 38,637.2
Customer Buy 570.3 56,232.5 28,432.9
Customer Sell 272.2 70,029.5 *
Dealer to Dealer 479.9 15,437.0 0.0
<= $1MM 1,322.3 65.0 *
<= $10MM 0.0 * 38,114.7
<= $100MM 0.0 140,024.7 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 30 29 11
Customer Buy 6 9 7
Customer Sell 11 9 *
Dealer to Dealer 13 11 0
<= $1MM 30 20 *
<= $10MM 0 * 9
<= $100MM 0 8 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 95.2 80.1 81.1
Weighted Avg. Price 99.6 71.4 76.9
Avg. Price Bottom 5 Trades 68.8 6.3 10.8
2nd Quartile Price 95.5 82.0 87.9
3rd Quartile Price 98.5 88.2 89.5
4th Quartile Price 100.0 95.0 90.8
Avg. Price Top 5 Trades 102.8 101.7 100.4
Standard Deviation 10.4 25.5 26.1
VOLUME OF TRADES (000'S) 118,527.0 179,975.0 37,250.4
Customer Buy 58,250.5 99,733.7 20,438.6
Customer Sell 57,562.2 76,138.4 15,539.3
Dealer to Dealer 2,714.3 4,103.0 1,272.5
<= $1MM 3,127.7 13,243.1 7,865.5
<= $10MM 18,773.3 70,734.3 29,384.9
<= $100MM 96,626.0 95,997.6 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 76 231 102
Customer Buy 28 96 46
Customer Sell 32 72 50
Dealer to Dealer 16 63 6
<= $1MM 63 204 93
<= $10MM 7 21 9
<= $100MM 6 6 0
> $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 6.3 30.5
Weighted Avg. Price 0.0 3.9 24.7
Avg. Price Bottom 5 Trades 0.0 2.5 24.4
2nd Quartile Price 0.0 4.0 21.8
3rd Quartile Price 0.0 4.3 58.8
4th Quartile Price 0.0 10.3 61.3
Avg. Price Top 5 Trades 0.0 12.7 34.8
Standard Deviation 0.0 6.0 23.5
VOLUME OF TRADES (000'S) 0.0 39,753.1 2,982.8
Customer Buy 0.0 21,437.7 *
Customer Sell 0.0 * *
Dealer to Dealer 0.0 * *
<= $1MM 0.0 245.9 *
<= $10MM 0.0 13,887.7 *
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 15 6
Customer Buy 0 9 *
Customer Sell 0 * *
Dealer to Dealer 0 * *
<= $1MM 0 8 *
<= $10MM 0 5 *
<= $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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