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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 98.4 0.0 99.5 * 99.3 97.4
Weighted Avg. Price 99.1 0.0 99.5 * 99.4 96.9
Avg. Price Bottom 5 Trades 92.2 0.0 84.3 * 96.5 92.7
2nd Quartile Price 97.6 0.0 99.0 * 98.7 100.1
3rd Quartile Price 99.4 0.0 100.2 * 99.6 100.6
4th Quartile Price 100.5 0.0 101.3 * 99.9 101.4
Avg. Price Top 5 Trades 101.2 0.0 104.5 * 102.0 101.3
Standard Deviation 3.8 0.0 3.9 * 1.0 7.8
VOLUME OF TRADES (000'S) 81,685.3 0.0 401,763.0 * 819,453.5 18,089.3
Customer Buy 63,082.3 0.0 229,563.0 * 396,356.3 11,032.2
Customer Sell 18,476.3 0.0 164,404.0 * 383,656.0 7,057.2
Dealer to Dealer 126.8 0.0 7,796.0 0.0 39,441.3 0.0
<= $1MM 2,599.0 0.0 14,084.7 0.0 84,230.4 3,539.3
<= $10MM 36,407.1 0.0 288,238.3 * 356,475.5 14,550.0
<= $100MM * 0.0 99,440.0 * 378,747.6 0.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 55 0 133 * 385 11
Customer Buy 23 0 74 * 171 6
Customer Sell 20 0 54 * 181 5
Dealer to Dealer 12 0 5 0 33 0
<= $1MM 44 0 57 0 245 5
<= $10MM 8 0 68 * 119 6
<= $100MM * 0 8 * 21 0
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 86.4 0.0 91.3 6.2 99.6 101.2
Weighted Avg. Price 68.1 0.0 97.0 7.3 99.2 101.4
Avg. Price Bottom 5 Trades 10.0 0.0 73.9 5.0 95.7 99.6
2nd Quartile Price 83.1 0.0 82.3 7.2 99.5 100.1
3rd Quartile Price 91.0 0.0 95.7 7.6 99.8 102.0
4th Quartile Price 96.0 0.0 100.0 7.8 100.2 102.7
Avg. Price Top 5 Trades 102.6 0.0 103.5 7.7 102.7 102.6
Standard Deviation 16.3 0.0 9.8 2.3 2.8 1.5
VOLUME OF TRADES (000'S) 234,613.2 0.0 333,861.3 1,014,781.9 229,268.5 47,573.1
Customer Buy 125,858.6 0.0 158,938.4 425,657.2 116,441.1 23,700.0
Customer Sell 100,502.0 0.0 106,759.3 * 107,983.8 23,873.1
Dealer to Dealer 8,252.6 0.0 68,163.6 * * 0.0
<= $1MM 16,695.4 0.0 6,504.4 * 3,489.5 *
<= $10MM 64,624.4 0.0 148,353.8 0.0 39,318.2 46,873.1
<= $100MM 153,293.4 0.0 179,003.2 329,191.1 186,460.8 0.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 393 0 103 11 32 12
Customer Buy 116 0 68 6 21 6
Customer Sell 166 0 22 * 8 6
Dealer to Dealer 111 0 13 * * 0
<= $1MM 367 0 70 * 10 *
<= $10MM 17 0 27 0 11 11
<= $100MM 9 0 6 6 11 0
> $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 97.1 100.5 99.1
Weighted Avg. Price 98.9 100.0 99.1
Avg. Price Bottom 5 Trades 92.2 99.7 98.1
2nd Quartile Price 96.5 100.4 98.7
3rd Quartile Price 98.1 101.0 99.2
4th Quartile Price 100.0 101.1 100.3
Avg. Price Top 5 Trades 100.2 101.1 100.2
Standard Deviation 4.8 0.8 1.2
VOLUME OF TRADES (000'S) 3,213.8 1,125.3 77,346.3
Customer Buy 988.9 * 61,106.1
Customer Sell 2,177.2 59.0 *
Dealer to Dealer 47.8 79.0 0.0
<= $1MM 1,112.3 1,125.3 *
<= $10MM * 0.0 34,305.7
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 29 14 12
Customer Buy 13 * 8
Customer Sell 10 6 *
Dealer to Dealer 6 6 0
<= $1MM 28 14 *
<= $10MM * 0 7
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 92.4 83.9 85.5
Weighted Avg. Price 86.4 77.3 52.5
Avg. Price Bottom 5 Trades 52.9 17.9 48.6
2nd Quartile Price 92.3 81.7 85.0
3rd Quartile Price 96.5 88.7 90.1
4th Quartile Price 99.8 93.6 94.0
Avg. Price Top 5 Trades 102.6 99.4 98.5
Standard Deviation 14.1 17.3 13.8
VOLUME OF TRADES (000'S) 7,369.7 137,188.8 90,054.6
Customer Buy 952.4 67,946.0 56,960.2
Customer Sell 5,865.1 61,797.2 32,839.7
Dealer to Dealer 552.2 7,445.7 254.8
<= $1MM 2,705.5 12,003.4 1,986.4
<= $10MM * 57,674.5 *
<= $100MM 0.0 67,511.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 99 225 69
Customer Buy 24 62 30
Customer Sell 41 101 24
Dealer to Dealer 34 62 15
<= $1MM 98 205 64
<= $10MM * 15 *
<= $100MM 0 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 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

* 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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