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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 0.0 100.4 * 99.8 99.7
Weighted Avg. Price 99.0 0.0 100.2 * 100.1 99.6
Avg. Price Bottom 5 Trades 88.1 0.0 83.1 * 94.7 95.9
2nd Quartile Price 97.0 0.0 99.8 * 99.5 100.0
3rd Quartile Price 99.6 0.0 100.6 * 100.0 100.1
4th Quartile Price 100.6 0.0 101.9 * 100.2 100.3
Avg. Price Top 5 Trades 103.4 0.0 107.8 * 103.8 100.5
Standard Deviation 4.4 0.0 4.0 * 1.3 2.1
VOLUME OF TRADES (000'S) 24,747.6 0.0 781,549.0 * 571,818.3 128,262.0
Customer Buy 12,762.5 0.0 346,821.2 * 244,941.4 65,488.4
Customer Sell 7,975.8 0.0 390,327.9 * 324,285.3 62,773.6
Dealer to Dealer 4,009.4 0.0 44,399.8 0.0 2,591.7 0.0
<= $1MM 2,465.2 0.0 25,283.8 0.0 59,272.3 8,022.6
<= $10MM 22,282.4 0.0 293,677.1 * 291,782.8 120,239.4
<= $100MM 0.0 0.0 462,588.0 * 220,763.2 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 59 0 191 * 306 41
Customer Buy 12 0 68 * 105 21
Customer Sell 24 0 99 * 168 20
Dealer to Dealer 23 0 24 0 33 0
<= $1MM 52 0 97 0 214 13
<= $10MM 7 0 76 * 80 28
<= $100MM 0 0 18 * 12 0
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 85.1 7.4 96.6 8.2 101.6 77.8
Weighted Avg. Price 73.8 4.7 94.8 8.1 99.7 77.4
Avg. Price Bottom 5 Trades 15.8 3.3 34.9 8.2 89.7 27.7
2nd Quartile Price 79.0 7.7 94.8 * 100.0 63.5
3rd Quartile Price 86.0 9.0 99.3 * 101.7 89.8
4th Quartile Price 95.0 10.1 101.1 * 106.4 97.5
Avg. Price Top 5 Trades 204.7 10.6 107.0 8.2 109.4 99.4
Standard Deviation 21.6 3.9 14.1 0.3 5.8 27.3
VOLUME OF TRADES (000'S) 617,388.7 282,246.0 327,058.4 387,939.3 95,808.0 146,726.0
Customer Buy 374,890.8 * 148,709.0 * 29,795.1 48,675.0
Customer Sell 203,581.0 * 121,408.7 * 63,503.8 92,851.0
Dealer to Dealer 38,917.0 100,486.4 56,940.7 0.0 * *
<= $1MM 34,983.8 4,388.9 13,707.4 0.0 8,300.9 3,780.0
<= $10MM 218,975.7 0.0 143,495.1 0.0 72,192.7 83,525.0
<= $100MM 363,429.3 277,857.0 169,856.0 * * *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 474 16 132 5 42 32
Customer Buy 201 * 60 * 14 14
Customer Sell 186 * 44 * 26 16
Dealer to Dealer 87 9 28 0 * *
<= $1MM 405 10 89 0 19 5
<= $10MM 49 0 33 0 22 23
<= $100MM 20 6 10 * * *
> $100MM 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 97.5 97.9 100.8
Weighted Avg. Price 93.6 100.5 102.1
Avg. Price Bottom 5 Trades 93.4 92.1 100.8
2nd Quartile Price 96.5 98.0 *
3rd Quartile Price 98.0 100.1 *
4th Quartile Price 100.0 101.3 *
Avg. Price Top 5 Trades 100.2 102.9 100.8
Standard Deviation 2.4 6.2 1.9
VOLUME OF TRADES (000'S) 7,574.4 8,615.6 8,557.6
Customer Buy * 7,828.5 0.0
Customer Sell 1,880.2 639.2 *
Dealer to Dealer 760.2 147.9 *
<= $1MM 1,239.9 945.7 *
<= $10MM * * *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 28 25 6
Customer Buy * 8 0
Customer Sell 13 8 *
Dealer to Dealer 11 9 *
<= $1MM 25 23 *
<= $10MM * * *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.7 84.4 78.8
Weighted Avg. Price 92.2 71.1 75.7
Avg. Price Bottom 5 Trades 41.1 23.2 49.0
2nd Quartile Price 91.3 79.0 74.0
3rd Quartile Price 97.0 84.0 79.3
4th Quartile Price 100.0 92.3 84.2
Avg. Price Top 5 Trades 100.6 204.7 97.0
Standard Deviation 15.0 24.7 11.7
VOLUME OF TRADES (000'S) 35,698.6 380,330.4 201,359.7
Customer Buy 25,568.6 232,859.0 116,463.1
Customer Sell 7,283.4 135,778.5 60,519.1
Dealer to Dealer 2,846.6 11,692.9 24,377.5
<= $1MM 11,204.3 16,853.5 6,926.0
<= $10MM * 177,516.0 31,475.4
<= $100MM * 185,960.9 162,958.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 106 292 76
Customer Buy 39 117 45
Customer Sell 39 124 23
Dealer to Dealer 28 51 8
<= $1MM 101 247 57
<= $10MM * 34 11
<= $100MM * 11 8
> $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 9.8 3.3
Weighted Avg. Price 0.0 9.9 4.6
Avg. Price Bottom 5 Trades 0.0 9.1 3.3
2nd Quartile Price 0.0 9.3 *
3rd Quartile Price 0.0 10.1 *
4th Quartile Price 0.0 11.1 *
Avg. Price Top 5 Trades 0.0 10.6 3.3
Standard Deviation 0.0 0.9 3.4
VOLUME OF TRADES (000'S) 0.0 4,388.9 277,857.0
Customer Buy 0.0 * *
Customer Sell 0.0 * *
Dealer to Dealer 0.0 2,633.4 *
<= $1MM 0.0 4,388.9 0.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 277,857.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 10 6
Customer Buy 0 * *
Customer Sell 0 * *
Dealer to Dealer 0 6 *
<= $1MM 0 10 0
<= $10MM 0 0 0
<= $100MM 0 0 6
> $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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