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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 95.4 0.0 98.1 * 99.6 100.6
Weighted Avg. Price 100.0 0.0 99.1 * 100.1 100.7
Avg. Price Bottom 5 Trades 82.8 0.0 77.4 * 93.6 100.3
2nd Quartile Price 92.0 0.0 98.8 * 99.4 100.4
3rd Quartile Price 97.0 0.0 100.5 * 99.9 100.7
4th Quartile Price 100.2 0.0 102.5 * 100.1 100.9
Avg. Price Top 5 Trades 102.0 0.0 106.4 * 102.8 100.8
Standard Deviation 5.5 0.0 7.5 * 1.7 0.4
VOLUME OF TRADES (000'S) 113,459.1 0.0 451,617.4 * 486,599.1 34,400.0
Customer Buy 65,821.3 0.0 206,631.4 * 213,630.8 22,000.0
Customer Sell 44,567.3 0.0 207,834.3 0.0 260,052.5 *
Dealer to Dealer 3,070.5 0.0 37,151.7 0.0 12,915.7 *
<= $1MM 9,263.4 0.0 34,410.3 0.0 45,331.2 *
<= $10MM * 0.0 302,798.8 0.0 252,007.5 33,500.0
<= $100MM 96,056.2 0.0 114,408.2 * 189,260.4 0.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 84 0 209 * 246 10
Customer Buy 20 0 95 * 85 5
Customer Sell 24 0 93 0 132 *
Dealer to Dealer 40 0 21 0 29 *
<= $1MM 78 0 121 0 155 *
<= $10MM * 0 81 0 81 9
<= $100MM 5 0 7 * 10 0
> $100MM 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 82.1 * 97.4 * 77.5 70.8
Weighted Avg. Price 73.3 * 97.3 * 63.6 52.2
Avg. Price Bottom 5 Trades 3.4 * 77.1 * 1.8 10.1
2nd Quartile Price 82.4 * 97.1 * 45.0 39.5
3rd Quartile Price 90.8 * 100.1 * 100.4 97.2
4th Quartile Price 96.3 * 102.1 * 104.5 100.2
Avg. Price Top 5 Trades 103.4 * 105.7 * 108.1 101.1
Standard Deviation 25.4 * 7.6 * 41.5 36.7
VOLUME OF TRADES (000'S) 195,846.8 * 254,638.7 * 103,446.1 205,334.0
Customer Buy 108,582.3 * 94,653.6 * 42,997.7 62,211.5
Customer Sell 76,266.2 * 115,563.0 * 46,002.1 92,422.5
Dealer to Dealer 10,998.3 0.0 44,422.0 * 14,446.3 50,700.0
<= $1MM 21,226.0 0.0 15,329.1 0.0 10,407.2 6,287.0
<= $10MM 59,056.3 * 190,229.6 0.0 80,911.0 77,202.0
<= $100MM 115,564.6 0.0 * * * 121,845.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 384 * 124 * 74 39
Customer Buy 106 * 41 * 20 18
Customer Sell 146 * 57 * 49 13
Dealer to Dealer 132 0 26 * 5 8
<= $1MM 357 0 77 0 45 10
<= $10MM 21 * 44 0 28 24
<= $100MM 6 0 * * * 5
> $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 94.0 96.5 99.6
Weighted Avg. Price 99.9 98.4 100.0
Avg. Price Bottom 5 Trades 85.5 87.3 98.4
2nd Quartile Price 90.5 95.2 98.8
3rd Quartile Price 94.1 98.8 100.8
4th Quartile Price 99.0 100.7 101.7
Avg. Price Top 5 Trades 100.8 101.4 100.7
Standard Deviation 5.3 5.7 2.5
VOLUME OF TRADES (000'S) 3,262.0 4,983.2 105,213.9
Customer Buy 993.8 2,020.8 62,806.7
Customer Sell 1,079.4 1,080.6 *
Dealer to Dealer 1,188.8 1,881.7 0.0
<= $1MM 3,262.0 4,983.2 *
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 96,056.2
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 47 29 8
Customer Buy 7 8 5
Customer Sell 13 8 *
Dealer to Dealer 27 13 0
<= $1MM 47 29 *
<= $10MM 0 0 *
<= $100MM 0 0 5
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 82.3 83.5 77.7
Weighted Avg. Price 94.6 81.7 69.8
Avg. Price Bottom 5 Trades 21.2 9.4 24.2
2nd Quartile Price 87.0 81.0 70.3
3rd Quartile Price 95.1 90.0 90.8
4th Quartile Price 100.0 94.5 92.0
Avg. Price Top 5 Trades 101.6 103.6 99.4
Standard Deviation 33.3 20.6 24.6
VOLUME OF TRADES (000'S) 11,675.1 33,142.7 151,029.1
Customer Buy 2,393.4 13,709.0 92,480.0
Customer Sell 8,468.8 15,147.7 52,649.7
Dealer to Dealer 812.8 4,286.1 5,899.4
<= $1MM 5,613.5 10,176.0 5,436.4
<= $10MM * 22,966.7 30,028.1
<= $100MM 0.0 0.0 115,564.6
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 103 207 74
Customer Buy 19 48 39
Customer Sell 35 91 20
Dealer to Dealer 49 68 15
<= $1MM 102 197 58
<= $10MM * 10 10
<= $100MM 0 0 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 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
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 * 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0
Customer Buy 0 * 0
Customer Sell 0 * 0
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 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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