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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 98.5 0.0 101.4 2.0 99.7 100.4
Weighted Avg. Price 101.8 0.0 102.4 2.1 100.0 100.5
Avg. Price Bottom 5 Trades 88.2 0.0 67.6 2.0 81.0 100.2
2nd Quartile Price 96.1 0.0 100.6 * 99.6 100.2
3rd Quartile Price 99.9 0.0 102.2 * 100.0 100.4
4th Quartile Price 101.0 0.0 104.6 * 100.3 100.8
Avg. Price Top 5 Trades 104.1 0.0 109.5 2.0 105.6 100.5
Standard Deviation 3.7 0.0 9.0 1.6 3.3 0.3
VOLUME OF TRADES (000'S) 202,388.0 0.0 819,479.9 121,546.9 838,246.9 43,308.8
Customer Buy 75,989.9 0.0 326,421.5 * 341,646.2 *
Customer Sell 87,963.8 0.0 283,945.8 * 443,595.2 38,308.8
Dealer to Dealer 38,434.3 0.0 209,112.6 0.0 53,005.5 0.0
<= $1MM 8,051.6 0.0 17,046.1 * 56,147.6 *
<= $10MM 68,501.1 0.0 427,712.9 * 447,762.9 42,908.8
<= $100MM 125,835.2 0.0 374,720.9 * 334,336.4 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 125 0 181 7 338 9
Customer Buy 46 0 83 * 142 *
Customer Sell 55 0 66 * 161 8
Dealer to Dealer 24 0 32 0 35 0
<= $1MM 91 0 69 * 197 *
<= $10MM 27 0 93 * 121 8
<= $100MM 7 0 19 * 20 0
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 75.8 * 94.6 5.1 93.1 71.9
Weighted Avg. Price 69.9 * 90.6 6.6 91.8 49.8
Avg. Price Bottom 5 Trades 0.5 * 23.0 1.4 34.0 1.4
2nd Quartile Price 77.7 * 93.5 1.1 97.7 54.1
3rd Quartile Price 90.0 * 100.2 6.7 100.3 94.6
4th Quartile Price 94.0 * 104.9 6.9 103.0 98.1
Avg. Price Top 5 Trades 306.4 * 107.6 10.5 108.2 100.7
Standard Deviation 44.9 * 20.3 3.8 20.6 40.4
VOLUME OF TRADES (000'S) 536,749.4 * 235,317.0 326,370.2 228,882.8 284,896.0
Customer Buy 265,251.5 * 114,281.9 229,873.0 80,472.1 142,687.7
Customer Sell 208,240.3 0.0 89,923.2 30,475.3 112,959.2 136,808.3
Dealer to Dealer 63,257.6 0.0 31,111.9 * 35,451.5 *
<= $1MM 68,343.3 0.0 16,457.6 4,983.9 8,531.8 8,016.2
<= $10MM 265,371.0 0.0 134,202.8 44,105.4 137,351.0 138,543.4
<= $100MM 203,035.1 * 84,656.6 160,486.6 83,000.0 138,336.4
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 672 * 121 28 75 55
Customer Buy 208 * 65 15 30 28
Customer Sell 377 0 38 9 24 24
Dealer to Dealer 87 0 18 * 21 *
<= $1MM 586 0 80 11 30 10
<= $10MM 72 0 36 11 40 37
<= $100MM 14 * 5 5 5 8
> $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 96.8 99.5 99.5
Weighted Avg. Price 99.3 100.0 102.3
Avg. Price Bottom 5 Trades 89.1 92.5 96.2
2nd Quartile Price 96.0 99.9 95.0
3rd Quartile Price 97.6 100.1 101.9
4th Quartile Price 99.9 101.0 102.5
Avg. Price Top 5 Trades 100.4 102.3 103.9
Standard Deviation 3.7 3.1 3.9
VOLUME OF TRADES (000'S) 7,974.2 39,018.9 155,394.9
Customer Buy 3,049.4 9,168.7 63,771.8
Customer Sell 4,884.8 29,642.9 53,436.1
Dealer to Dealer 40.0 207.3 38,187.0
<= $1MM 5,046.8 2,570.1 434.8
<= $10MM * 36,448.8 29,124.9
<= $100MM 0.0 0.0 125,835.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 45 45 35
Customer Buy 13 11 22
Customer Sell 23 24 8
Dealer to Dealer 9 10 5
<= $1MM 43 34 14
<= $10MM * 11 14
<= $100MM 0 0 7
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 65.4 78.9 86.8
Weighted Avg. Price 74.1 73.0 62.5
Avg. Price Bottom 5 Trades 8.5 1.9 15.0
2nd Quartile Price 0.0 80.5 46.3
3rd Quartile Price 90.0 90.7 87.8
4th Quartile Price 97.1 93.0 94.0
Avg. Price Top 5 Trades 101.3 102.6 304.7
Standard Deviation 43.3 28.6 93.0
VOLUME OF TRADES (000'S) 52,510.9 322,186.4 162,052.1
Customer Buy 19,647.9 162,478.3 83,125.3
Customer Sell 29,405.4 132,755.4 46,079.5
Dealer to Dealer 3,457.6 26,952.7 32,847.4
<= $1MM 27,147.5 27,110.1 14,085.7
<= $10MM 25,363.4 168,453.4 71,554.2
<= $100MM 0.0 126,622.9 76,412.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 199 400 73
Customer Buy 65 115 28
Customer Sell 110 235 32
Dealer to Dealer 24 50 13
<= $1MM 186 346 54
<= $10MM 13 45 14
<= $100MM 0 9 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 * 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
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
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0
Customer Buy 0 * 0
Customer Sell 0 0 0
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 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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