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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 * 99.4 15.3 99.1 97.7
Weighted Avg. Price 100.2 * 100.1 7.8 98.3 97.4
Avg. Price Bottom 5 Trades 93.5 * 76.9 6.0 92.4 91.7
2nd Quartile Price 97.4 * 99.3 7.1 98.6 96.8
3rd Quartile Price 99.0 * 100.6 7.7 99.5 100.0
4th Quartile Price 100.5 * 102.3 10.9 99.9 100.7
Avg. Price Top 5 Trades 102.2 * 106.3 24.6 103.3 100.7
Standard Deviation 2.6 * 5.6 26.8 1.6 3.9
VOLUME OF TRADES (000'S) 85,638.5 * 964,514.2 247,831.1 861,795.4 153,639.4
Customer Buy 41,796.0 * 543,539.7 * 349,032.8 67,545.2
Customer Sell 43,689.0 * 370,464.5 151,658.1 460,936.7 46,094.3
Dealer to Dealer 153.5 0.0 50,509.9 0.0 51,825.9 *
<= $1MM 4,656.8 * 49,504.8 0.0 48,262.6 *
<= $10MM 80,981.7 0.0 408,958.8 * 394,198.1 105,866.7
<= $100MM 0.0 0.0 506,050.6 245,934.4 419,334.8 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 67 * 258 12 326 21
Customer Buy 20 * 111 * 159 10
Customer Sell 33 * 108 8 124 7
Dealer to Dealer 14 0 39 0 43 *
<= $1MM 51 * 136 0 203 *
<= $10MM 16 0 100 * 104 17
<= $100MM 0 0 22 11 19 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 85.1 28.0 90.4 * 98.6 86.7
Weighted Avg. Price 92.5 6.9 97.7 * 100.8 86.3
Avg. Price Bottom 5 Trades 46.4 5.1 50.2 * 82.1 45.8
2nd Quartile Price 79.5 6.5 85.3 * 99.6 84.4
3rd Quartile Price 90.5 18.8 96.1 * 100.2 92.5
4th Quartile Price 96.0 74.3 99.5 * 101.5 100.0
Avg. Price Top 5 Trades 102.7 64.7 103.7 * 106.0 104.3
Standard Deviation 14.3 30.2 13.3 * 6.7 19.0
VOLUME OF TRADES (000'S) 929,282.5 144,190.2 1,136,147.4 * 173,439.6 202,846.0
Customer Buy 478,318.1 72,003.6 665,392.0 * 81,086.7 101,525.7
Customer Sell 443,388.7 72,064.6 126,459.4 0.0 76,617.5 101,320.3
Dealer to Dealer 7,575.8 * 344,296.0 0.0 15,735.4 0.0
<= $1MM 14,749.6 1,208.6 19,370.0 0.0 7,201.8 6,185.6
<= $10MM 169,855.4 * 232,340.1 * 120,728.5 95,059.2
<= $100MM 332,614.9 * 148,318.6 0.0 * 101,601.1
> $100MM * 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 326 15 168 * 53 42
Customer Buy 112 6 101 * 26 24
Customer Sell 127 7 36 0 22 18
Dealer to Dealer 87 * 31 0 5 0
<= $1MM 275 9 102 0 23 9
<= $10MM 37 * 57 * 28 27
<= $100MM 11 * 6 0 * 6
> $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 97.8 98.8 99.3
Weighted Avg. Price 98.4 100.7 100.3
Avg. Price Bottom 5 Trades 94.1 96.5 95.6
2nd Quartile Price 96.0 98.3 99.6
3rd Quartile Price 99.0 99.5 100.3
4th Quartile Price 99.3 100.5 100.9
Avg. Price Top 5 Trades 100.8 101.1 101.7
Standard Deviation 2.5 2.5 2.6
VOLUME OF TRADES (000'S) 5,023.1 921.2 79,694.1
Customer Buy 2,545.0 * 38,857.0
Customer Sell 2,388.7 463.3 40,837.1
Dealer to Dealer 89.5 * 0.0
<= $1MM 2,378.5 921.2 *
<= $10MM * 0.0 78,337.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 30 19 18
Customer Buy 8 * 8
Customer Sell 12 11 10
Dealer to Dealer 10 * 0
<= $1MM 28 19 *
<= $10MM * 0 14
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 93.7 83.4 84.1
Weighted Avg. Price 80.2 90.3 94.9
Avg. Price Bottom 5 Trades 62.6 48.5 62.5
2nd Quartile Price 95.3 77.6 73.3
3rd Quartile Price 97.5 87.2 85.5
4th Quartile Price 99.3 94.5 96.3
Avg. Price Top 5 Trades 100.4 100.6 100.5
Standard Deviation 11.6 14.3 13.8
VOLUME OF TRADES (000'S) 22,190.2 413,477.1 493,615.3
Customer Buy 6,214.2 231,616.6 240,487.3
Customer Sell 14,968.9 175,380.5 253,039.3
Dealer to Dealer 1,007.1 6,479.9 88.8
<= $1MM 2,341.4 11,676.7 731.5
<= $10MM 19,848.7 95,444.8 54,561.9
<= $100MM 0.0 306,355.5 *
> $100MM 0.0 0.0 *
NUMBER OF TRADES 52 234 40
Customer Buy 18 79 15
Customer Sell 19 93 15
Dealer to Dealer 15 62 10
<= $1MM 47 203 25
<= $10MM 5 22 10
<= $100MM 0 9 *
> $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
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
<= $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
Customer Buy * 0 0
Customer Sell * 0 0
Dealer to Dealer 0 0 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 0.0 31.3 *
Weighted Avg. Price 0.0 6.9 *
Avg. Price Bottom 5 Trades 0.0 8.5 *
2nd Quartile Price 0.0 6.5 *
3rd Quartile Price 0.0 23.3 *
4th Quartile Price 0.0 74.3 *
Avg. Price Top 5 Trades 0.0 64.7 *
Standard Deviation 0.0 31.2 *
VOLUME OF TRADES (000'S) 0.0 110,418.5 *
Customer Buy 0.0 55,117.7 *
Customer Sell 0.0 55,178.7 *
Dealer to Dealer 0.0 * 0.0
<= $1MM 0.0 1,208.6 0.0
<= $10MM 0.0 * 0.0
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 13 *
Customer Buy 0 5 *
Customer Sell 0 6 *
Dealer to Dealer 0 * 0
<= $1MM 0 9 0
<= $10MM 0 * 0
<= $100MM 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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