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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 98.0 * 97.6 6.4 99.2 99.6
Weighted Avg. Price 97.6 * 98.9 8.5 99.8 99.0
Avg. Price Bottom 5 Trades 90.6 * 74.0 5.2 96.4 94.9
2nd Quartile Price 96.9 * 97.8 4.6 98.5 100.0
3rd Quartile Price 99.0 * 99.2 6.9 99.4 100.3
4th Quartile Price 99.3 * 100.3 8.6 99.9 100.6
Avg. Price Top 5 Trades 101.6 * 104.1 8.5 102.2 100.8
Standard Deviation 3.0 * 5.6 2.0 1.0 2.2
VOLUME OF TRADES (000'S) 42,472.1 * 342,532.4 201,890.6 1,406,670.3 138,078.3
Customer Buy 28,412.5 0.0 162,086.6 * 876,728.8 68,649.3
Customer Sell 12,682.6 * 112,153.9 24,087.1 419,372.4 69,428.9
Dealer to Dealer 1,376.9 0.0 68,291.9 * 110,569.0 0.0
<= $1MM 2,083.0 * 47,016.5 * 52,523.0 9,001.1
<= $10MM 40,389.1 0.0 170,515.9 31,990.8 318,560.1 67,460.0
<= $100MM 0.0 0.0 125,000.0 * 1,035,587.2 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 67 * 208 12 305 35
Customer Buy 38 0 89 * 173 20
Customer Sell 15 * 84 6 117 15
Dealer to Dealer 14 0 35 * 15 0
<= $1MM 53 * 163 * 164 15
<= $10MM 14 0 37 8 103 16
<= $100MM 0 0 8 * 38 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 76.9 8.6 91.6 21.5 67.0 77.5
Weighted Avg. Price 65.4 11.0 86.5 5.7 84.5 68.0
Avg. Price Bottom 5 Trades 0.1 3.8 24.7 3.1 3.8 42.2
2nd Quartile Price 75.0 2.0 92.2 6.1 0.1 65.8
3rd Quartile Price 87.8 2.0 100.1 6.6 99.2 94.6
4th Quartile Price 92.5 21.0 101.2 7.1 100.6 99.0
Avg. Price Top 5 Trades 101.7 10.9 104.4 61.7 106.9 100.0
Standard Deviation 26.7 9.7 20.3 36.6 47.3 23.7
VOLUME OF TRADES (000'S) 241,957.9 104,870.0 336,686.3 260,042.9 119,524.6 61,052.7
Customer Buy 145,856.5 * 150,325.6 157,793.9 50,208.5 26,156.1
Customer Sell 86,209.7 * 114,254.7 102,249.0 56,649.3 34,896.6
Dealer to Dealer 9,891.8 * 72,106.0 0.0 12,666.7 0.0
<= $1MM 30,443.4 0.0 10,450.5 * 17,182.2 4,656.2
<= $10MM 154,359.6 * 112,842.8 * 75,060.9 56,396.5
<= $100MM * 84,565.0 213,393.0 231,852.9 * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 321 8 80 17 63 26
Customer Buy 167 * 38 9 32 13
Customer Sell 97 * 29 8 24 13
Dealer to Dealer 57 * 13 0 7 0
<= $1MM 283 0 41 * 38 8
<= $10MM 34 * 27 * 23 18
<= $100MM * 5 12 11 * 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 98.2 96.4 98.2
Weighted Avg. Price 98.4 95.2 97.6
Avg. Price Bottom 5 Trades 94.0 95.8 94.5
2nd Quartile Price 98.5 93.3 97.3
3rd Quartile Price 99.3 96.8 99.3
4th Quartile Price 100.8 99.3 99.3
Avg. Price Top 5 Trades 100.8 96.9 99.5
Standard Deviation 3.8 2.9 2.1
VOLUME OF TRADES (000'S) 419.7 128.8 41,923.6
Customer Buy 138.8 * 28,249.5
Customer Sell 154.3 * *
Dealer to Dealer 126.7 * *
<= $1MM 419.7 128.8 1,534.5
<= $10MM 0.0 0.0 40,389.1
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 26 8 33
Customer Buy 9 * 28
Customer Sell 7 * *
Dealer to Dealer 10 * *
<= $1MM 26 8 19
<= $10MM 0 0 14
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 85.0 78.9 66.2
Weighted Avg. Price 86.8 69.8 53.6
Avg. Price Bottom 5 Trades 48.1 8.7 4.9
2nd Quartile Price 85.8 79.4 50.2
3rd Quartile Price 95.8 88.4 77.5
4th Quartile Price 99.5 92.3 91.8
Avg. Price Top 5 Trades 101.4 100.5 98.8
Standard Deviation 27.1 23.6 31.1
VOLUME OF TRADES (000'S) 37,412.3 99,051.4 105,494.2
Customer Buy 18,356.2 60,556.7 66,943.6
Customer Sell 18,297.9 36,459.4 31,452.4
Dealer to Dealer 758.2 2,035.3 7,098.3
<= $1MM 5,948.3 18,176.4 6,318.8
<= $10MM * 80,875.0 71,484.6
<= $100MM * 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 49 198 74
Customer Buy 17 112 38
Customer Sell 18 55 24
Dealer to Dealer 14 31 12
<= $1MM 46 178 59
<= $10MM * 20 13
<= $100MM * 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
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 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 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 2.0 * *
Weighted Avg. Price 2.0 * *
Avg. Price Bottom 5 Trades 2.0 * *
2nd Quartile Price * * *
3rd Quartile Price * * *
4th Quartile Price * * *
Avg. Price Top 5 Trades 2.0 * *
Standard Deviation 0.1 * *
VOLUME OF TRADES (000'S) 55,255.5 * *
Customer Buy * * *
Customer Sell * * 0.0
Dealer to Dealer * 0.0 0.0
<= $1MM 0.0 0.0 0.0
<= $10MM * * 0.0
<= $100MM * * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 * *
Customer Buy * * *
Customer Sell * * 0
Dealer to Dealer * 0 0
<= $1MM 0 0 0
<= $10MM * * 0
<= $100MM * * *
> $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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