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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 93.6 0.0 106.2 3.6 100.2 90.6
Weighted Avg. Price 91.9 0.0 107.0 1.9 99.8 94.0
Avg. Price Bottom 5 Trades 60.5 0.0 91.0 3.6 68.2 77.6
2nd Quartile Price 90.6 0.0 102.1 * 100.0 82.3
3rd Quartile Price 98.5 0.0 106.6 * 100.5 95.0
4th Quartile Price 100.0 0.0 110.6 * 101.9 97.1
Avg. Price Top 5 Trades 104.3 0.0 115.4 3.6 114.0 99.5
Standard Deviation 10.4 0.0 5.4 3.9 7.1 8.4
VOLUME OF TRADES (000'S) 360,470.8 0.0 1,080,459.0 694,360.4 1,703,836.5 544,897.2
Customer Buy 166,568.5 0.0 446,286.2 * 714,489.7 252,969.9
Customer Sell 108,830.0 0.0 513,282.6 * 696,414.2 271,927.2
Dealer to Dealer 85,072.3 0.0 120,890.2 * 292,932.7 *
<= $1MM 27,037.0 0.0 30,043.1 0.0 48,624.2 *
<= $10MM 185,803.6 0.0 471,655.3 * 430,386.1 81,040.4
<= $100MM 147,630.2 0.0 578,760.5 * 985,626.2 461,671.8
> $100MM 0.0 0.0 0.0 * * 0.0
NUMBER OF TRADES 268 0 204 6 269 36
Customer Buy 128 0 92 * 102 12
Customer Sell 91 0 91 * 102 20
Dealer to Dealer 49 0 21 * 65 *
<= $1MM 207 0 85 0 127 *
<= $10MM 53 0 83 * 107 19
<= $100MM 8 0 36 * 33 14
> $100MM 0 0 0 * * 0
Non-Investment Grade †
AVERAGE PRICE 67.1 10.0 68.5 12.0 91.3 85.3
Weighted Avg. Price 56.8 12.0 60.6 10.1 65.9 87.8
Avg. Price Bottom 5 Trades 0.1 10.0 7.5 8.8 33.8 46.9
2nd Quartile Price 53.0 * 39.0 9.9 100.0 65.5
3rd Quartile Price 71.0 * 84.8 16.0 100.0 74.3
4th Quartile Price 88.1 * 101.5 16.1 110.3 97.0
Avg. Price Top 5 Trades 100.3 10.0 111.2 14.0 113.1 139.1
Standard Deviation 25.1 11.4 36.0 3.9 28.2 30.4
VOLUME OF TRADES (000'S) 3,589,505.6 59,757.2 932,552.9 503,469.1 88,825.0 202,643.5
Customer Buy 2,136,797.7 50,622.3 381,317.8 * 47,034.5 101,439.1
Customer Sell 1,284,420.2 0.0 527,680.1 256,275.1 25,496.9 82,269.5
Dealer to Dealer 168,287.7 * 23,555.0 0.0 16,293.6 18,934.9
<= $1MM 73,853.3 * 10,240.0 0.0 17,924.2 2,428.2
<= $10MM 816,655.0 * 199,743.5 * 53,246.5 148,953.1
<= $100MM 2,359,449.2 * 410,861.4 494,388.0 * *
> $100MM * 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 930 9 85 9 50 40
Customer Buy 479 6 44 * 19 16
Customer Sell 303 0 29 5 23 16
Dealer to Dealer 148 * 12 0 8 8
<= $1MM 597 * 21 0 37 6
<= $10MM 227 * 47 * 12 30
<= $100MM 104 * 16 8 * *
> $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 94.8 89.4 95.8
Weighted Avg. Price 91.4 84.8 100.9
Avg. Price Bottom 5 Trades 61.7 67.8 83.7
2nd Quartile Price 92.6 81.0 100.6
3rd Quartile Price 98.6 94.0 102.0
4th Quartile Price 100.3 98.0 103.7
Avg. Price Top 5 Trades 103.8 100.4 103.3
Standard Deviation 9.9 10.1 14.6
VOLUME OF TRADES (000'S) 102,680.5 140,692.8 117,097.5
Customer Buy 46,917.6 98,250.0 21,401.0
Customer Sell 44,593.6 39,319.5 24,916.9
Dealer to Dealer 11,169.4 3,123.3 *
<= $1MM 17,450.9 9,528.8 *
<= $10MM 85,229.7 66,676.7 33,897.2
<= $100MM 0.0 64,487.2 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 188 66 14
Customer Buy 93 29 6
Customer Sell 62 23 6
Dealer to Dealer 33 14 *
<= $1MM 159 47 *
<= $10MM 29 14 10
<= $100MM 0 5 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 69.2 64.9 70.4
Weighted Avg. Price 66.2 57.0 55.5
Avg. Price Bottom 5 Trades 3.5 0.3 2.0
2nd Quartile Price 59.9 52.5 48.0
3rd Quartile Price 72.2 67.5 77.1
4th Quartile Price 88.5 84.5 94.9
Avg. Price Top 5 Trades 99.8 98.5 99.3
Standard Deviation 25.3 23.9 26.9
VOLUME OF TRADES (000'S) 99,362.7 2,538,212.0 951,930.9
Customer Buy 40,031.2 1,658,917.8 437,848.7
Customer Sell 43,270.5 786,433.0 454,716.7
Dealer to Dealer 16,061.0 92,861.2 59,365.5
<= $1MM 16,846.8 37,452.1 19,554.5
<= $10MM 82,515.9 487,411.8 246,727.2
<= $100MM 0.0 1,673,800.1 685,649.1
> $100MM 0.0 * 0.0
NUMBER OF TRADES 162 519 249
Customer Buy 84 256 139
Customer Sell 46 177 80
Dealer to Dealer 32 86 30
<= $1MM 125 322 150
<= $10MM 37 126 64
<= $100MM 0 69 35
> $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 * 6.3 0.0
Weighted Avg. Price * 12.0 0.0
Avg. Price Bottom 5 Trades * 6.3 0.0
2nd Quartile Price * * 0.0
3rd Quartile Price * * 0.0
4th Quartile Price * * 0.0
Avg. Price Top 5 Trades * 6.3 0.0
Standard Deviation * 3.6 0.0
VOLUME OF TRADES (000'S) * 59,662.5 0.0
Customer Buy * 50,527.5 0.0
Customer Sell 0.0 0.0 0.0
Dealer to Dealer 0.0 * 0.0
<= $1MM * * 0.0
<= $10MM 0.0 * 0.0
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 8 0
Customer Buy * 5 0
Customer Sell 0 0 0
Dealer to Dealer 0 * 0
<= $1MM * * 0
<= $10MM 0 * 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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