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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 99.2 0.0 102.4 0.0 100.0 98.2
Weighted Avg. Price 101.4 0.0 103.1 0.0 100.2 98.2
Avg. Price Bottom 5 Trades 86.1 0.0 91.9 0.0 94.9 94.7
2nd Quartile Price 98.3 0.0 100.6 0.0 99.8 95.9
3rd Quartile Price 99.9 0.0 102.6 0.0 100.0 99.6
4th Quartile Price 100.7 0.0 104.0 0.0 100.1 99.9
Avg. Price Top 5 Trades 104.3 0.0 110.1 0.0 107.6 100.2
Standard Deviation 4.1 0.0 3.2 0.0 1.8 2.3
VOLUME OF TRADES (000'S) 49,212.4 0.0 570,009.9 0.0 630,498.8 184,150.0
Customer Buy 25,932.5 0.0 339,202.0 0.0 360,856.2 147,550.0
Customer Sell 22,386.0 0.0 222,030.2 0.0 217,553.8 *
Dealer to Dealer 893.9 0.0 8,777.7 0.0 52,088.7 23,800.0
<= $1MM 4,794.0 0.0 28,499.9 0.0 50,459.5 *
<= $10MM 11,299.5 0.0 298,008.7 0.0 334,913.9 84,050.0
<= $100MM * 0.0 243,501.3 0.0 245,125.4 97,500.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 83 0 170 0 287 24
Customer Buy 26 0 88 0 123 15
Customer Sell 32 0 58 0 130 *
Dealer to Dealer 25 0 24 0 34 5
<= $1MM 76 0 88 0 158 *
<= $10MM 5 0 72 0 115 14
<= $100MM * 0 10 0 14 6
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.6 32.2 96.1 0.0 94.5 71.2
Weighted Avg. Price 62.2 46.6 98.7 0.0 88.8 84.0
Avg. Price Bottom 5 Trades 0.5 32.2 47.7 0.0 54.0 50.6
2nd Quartile Price 81.8 * 97.9 0.0 98.2 51.5
3rd Quartile Price 89.0 * 100.4 0.0 100.0 81.3
4th Quartile Price 96.0 * 102.8 0.0 100.5 90.1
Avg. Price Top 5 Trades 179.9 32.2 107.9 0.0 106.2 95.3
Standard Deviation 22.6 27.7 18.1 0.0 18.6 20.2
VOLUME OF TRADES (000'S) 307,868.8 9,788.5 180,060.4 0.0 156,398.4 47,757.5
Customer Buy 182,413.1 9,788.5 123,126.3 0.0 82,996.3 25,928.7
Customer Sell 88,504.0 0.0 27,673.8 0.0 64,949.8 19,528.7
Dealer to Dealer 36,951.6 0.0 29,260.3 0.0 8,452.4 *
<= $1MM 28,598.9 * 6,014.0 0.0 4,273.5 5,375.0
<= $10MM 125,670.2 * 134,229.4 0.0 59,966.6 42,382.5
<= $100MM 153,599.7 0.0 * 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 549 6 65 0 42 24
Customer Buy 329 6 37 0 19 8
Customer Sell 126 0 12 0 16 12
Dealer to Dealer 94 0 16 0 7 *
<= $1MM 511 * 29 0 21 12
<= $10MM 28 * 33 0 17 12
<= $100MM 10 0 * 0 * 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 98.5 100.1 100.5
Weighted Avg. Price 98.3 98.2 101.8
Avg. Price Bottom 5 Trades 88.6 96.9 100.1
2nd Quartile Price 97.5 99.9 99.8
3rd Quartile Price 99.5 100.7 102.3
4th Quartile Price 100.6 101.8 102.6
Avg. Price Top 5 Trades 104.0 103.1 101.0
Standard Deviation 4.2 4.1 1.8
VOLUME OF TRADES (000'S) 3,914.9 2,697.2 42,600.3
Customer Buy 1,540.6 1,320.0 *
Customer Sell 1,577.6 1,280.1 *
Dealer to Dealer 796.7 97.2 0.0
<= $1MM 1,617.1 2,697.2 *
<= $10MM * 0.0 *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 48 29 6
Customer Buy 14 9 *
Customer Sell 19 10 *
Dealer to Dealer 15 10 0
<= $1MM 46 29 *
<= $10MM * 0 *
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 83.7 84.6 78.1
Weighted Avg. Price 86.9 67.6 55.1
Avg. Price Bottom 5 Trades 3.9 9.0 22.9
2nd Quartile Price 77.4 82.0 69.9
3rd Quartile Price 96.0 88.5 82.6
4th Quartile Price 99.3 94.0 82.6
Avg. Price Top 5 Trades 115.6 132.5 148.5
Standard Deviation 27.2 18.1 32.7
VOLUME OF TRADES (000'S) 17,819.0 129,443.3 160,606.5
Customer Buy 11,373.9 61,167.9 109,871.3
Customer Sell 2,381.4 45,674.1 40,448.5
Dealer to Dealer 4,063.7 22,601.2 10,286.8
<= $1MM 9,007.6 14,728.4 4,862.9
<= $10MM * 56,203.0 60,655.8
<= $100MM 0.0 58,511.8 95,087.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 119 360 70
Customer Buy 52 227 50
Customer Sell 40 73 13
Dealer to Dealer 27 60 7
<= $1MM 116 339 56
<= $10MM * 16 9
<= $100MM 0 5 5
> $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 * *
Weighted Avg. Price 0.0 * *
Avg. Price Bottom 5 Trades 0.0 * *
2nd Quartile Price 0.0 * *
3rd Quartile Price 0.0 * *
4th Quartile Price 0.0 * *
Avg. Price Top 5 Trades 0.0 * *
Standard Deviation 0.0 * *
VOLUME OF TRADES (000'S) 0.0 * *
Customer Buy 0.0 * *
Customer Sell 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 * *
<= $10MM 0.0 * *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * *
Customer Buy 0 * *
Customer Sell 0 0 0
Dealer to Dealer 0 0 0
<= $1MM 0 * *
<= $10MM 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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