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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 98.3 0.0 97.5 2.2 99.0 97.9
Weighted Avg. Price 98.1 0.0 97.4 0.7 98.8 96.1
Avg. Price Bottom 5 Trades 90.1 0.0 79.1 1.2 92.3 90.9
2nd Quartile Price 97.0 0.0 97.4 0.5 98.4 99.6
3rd Quartile Price 99.6 0.0 99.4 3.8 99.2 100.0
4th Quartile Price 101.0 0.0 100.5 4.8 100.0 100.0
Avg. Price Top 5 Trades 103.0 0.0 105.0 3.9 103.2 100.1
Standard Deviation 4.0 0.0 5.7 1.9 1.6 4.2
VOLUME OF TRADES (000'S) 48,738.3 0.0 445,199.4 2,268,310.4 1,151,237.1 112,851.4
Customer Buy 30,087.2 0.0 247,111.8 2,201,542.1 631,650.8 82,329.2
Customer Sell 17,720.2 0.0 168,680.9 * 481,748.2 30,522.2
Dealer to Dealer 930.9 0.0 29,406.7 0.0 37,838.1 0.0
<= $1MM 5,872.9 0.0 25,846.3 * 55,418.4 4,250.0
<= $10MM 28,626.6 0.0 345,872.6 * 581,811.9 81,071.4
<= $100MM * 0.0 73,480.6 * 364,006.9 *
> $100MM 0.0 0.0 0.0 * * 0.0
NUMBER OF TRADES 93 0 187 10 344 22
Customer Buy 24 0 85 9 174 15
Customer Sell 31 0 76 * 154 7
Dealer to Dealer 38 0 26 0 16 0
<= $1MM 81 0 99 * 152 5
<= $10MM 11 0 83 * 168 15
<= $100MM * 0 5 * 23 *
> $100MM 0 0 0 * * 0
Non-Investment Grade †
AVERAGE PRICE 85.1 8.8 93.9 26.3 98.5 90.1
Weighted Avg. Price 64.7 9.4 93.7 8.5 96.9 86.2
Avg. Price Bottom 5 Trades 15.6 4.0 62.9 1.8 77.5 48.3
2nd Quartile Price 84.2 6.0 92.5 0.5 99.3 97.8
3rd Quartile Price 90.5 10.3 96.4 8.5 99.9 100.1
4th Quartile Price 97.4 12.0 100.1 64.3 101.2 100.6
Avg. Price Top 5 Trades 105.8 13.4 102.2 50.8 108.5 101.0
Standard Deviation 18.7 4.6 10.3 32.7 9.8 21.3
VOLUME OF TRADES (000'S) 472,011.1 3,883.2 199,705.9 1,748,338.9 181,298.0 82,101.8
Customer Buy 298,892.8 1,941.6 96,323.7 1,169,883.4 79,016.1 36,133.8
Customer Sell 156,534.3 1,941.6 93,064.0 * 98,204.0 45,968.0
Dealer to Dealer 16,584.0 0.0 10,318.2 0.0 4,077.9 0.0
<= $1MM 14,059.9 3,883.2 9,266.1 0.0 6,779.0 4,698.1
<= $10MM 141,148.1 0.0 84,632.5 * 88,957.3 77,403.7
<= $100MM 316,803.1 0.0 105,807.2 301,006.2 85,561.7 0.0
> $100MM 0.0 0.0 0.0 1,444,332.7 0.0 0.0
NUMBER OF TRADES 338 16 85 14 57 29
Customer Buy 141 8 32 11 20 14
Customer Sell 113 8 40 * 23 15
Dealer to Dealer 84 0 13 0 14 0
<= $1MM 267 16 58 0 30 8
<= $10MM 51 0 22 * 22 21
<= $100MM 20 0 5 7 5 0
> $100MM 0 0 0 6 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 97.8 101.1 95.0
Weighted Avg. Price 99.8 100.3 97.6
Avg. Price Bottom 5 Trades 91.7 99.3 91.2
2nd Quartile Price 97.0 100.3 91.6
3rd Quartile Price 99.5 101.3 96.6
4th Quartile Price 100.0 101.8 99.2
Avg. Price Top 5 Trades 100.8 102.4 99.7
Standard Deviation 3.8 1.3 3.9
VOLUME OF TRADES (000'S) 5,139.0 3,942.1 39,657.2
Customer Buy 2,970.9 1,372.9 25,743.4
Customer Sell 1,995.0 1,938.7 13,786.5
Dealer to Dealer 173.1 630.4 127.3
<= $1MM 2,290.0 871.5 2,711.5
<= $10MM * * 22,707.0
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 30 36 27
Customer Buy 11 7 6
Customer Sell 9 9 13
Dealer to Dealer 10 20 8
<= $1MM 28 34 19
<= $10MM * * 7
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 92.1 82.9 85.3
Weighted Avg. Price 97.4 58.0 68.5
Avg. Price Bottom 5 Trades 30.5 29.2 43.1
2nd Quartile Price 96.0 80.0 83.6
3rd Quartile Price 99.3 88.0 89.6
4th Quartile Price 100.7 95.3 93.0
Avg. Price Top 5 Trades 102.8 102.8 101.1
Standard Deviation 21.5 18.4 15.1
VOLUME OF TRADES (000'S) 38,009.8 273,669.7 160,331.6
Customer Buy 26,894.5 161,485.2 110,513.1
Customer Sell 10,302.1 98,736.1 47,496.1
Dealer to Dealer 813.1 13,448.4 2,322.4
<= $1MM 5,730.3 6,594.2 1,735.4
<= $10MM 14,665.3 77,222.4 49,260.4
<= $100MM * 189,853.1 109,335.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 64 205 69
Customer Buy 18 89 34
Customer Sell 24 64 25
Dealer to Dealer 22 52 10
<= $1MM 55 164 48
<= $10MM 8 28 15
<= $100MM * 13 6
> $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 * 10.3 *
Weighted Avg. Price * 9.7 *
Avg. Price Bottom 5 Trades * 7.8 *
2nd Quartile Price * 9.2 *
3rd Quartile Price * 10.6 *
4th Quartile Price * 16.0 *
Avg. Price Top 5 Trades * 12.8 *
Standard Deviation * 3.7 *
VOLUME OF TRADES (000'S) * 3,671.6 *
Customer Buy * 1,835.8 *
Customer Sell * 1,835.8 *
Dealer to Dealer 0.0 0.0 0.0
<= $1MM * 3,671.6 *
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 10 *
Customer Buy * 5 *
Customer Sell * 5 *
Dealer to Dealer 0 0 0
<= $1MM * 10 *
<= $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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