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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Non-Agency CMO | ABS
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)
NON-AGENCY CMO
(IO/PO)
ABS
Investment Grade
AVERAGE PRICE 89.1 * 99.3
Weighted Avg. Price 92.4 * 99.9
Avg. Price Bottom 5 Trades 62.8 * 86.3
2nd Quartile Price 82.0 * 98.8
3rd Quartile Price 90.4 * 99.4
4th Quartile Price 97.3 * 100.5
Avg. Price Top 5 Trades 101.0 * 110.3
Standard Deviation 9.8 * 2.5
VOLUME OF TRADES (000'S) 374,410.6 * 1,273,280.0
Customer Buy 219,088.3 * 583,997.3
Customer Sell 151,961.5 - 669,800.9
Dealer to Dealer 3,360.7 * 19,481.8
<= $1MM 7,050.2 - 60,364.2
<= $10MM 159,799.7 * 535,141.2
<= $100MM 207,560.6 - 677,774.6
> $100MM - - -
NUMBER OF TRADES 111 * 571
Customer Buy 45 * 292
Customer Sell 46 - 212
Dealer to Dealer 20 * 67
<= $1MM 62 - 391
<= $10MM 37 * 150
<= $100MM 12 - 30
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 71.8 17.6 463.6
Weighted Avg. Price 90.0 6.9 100.7
Avg. Price Bottom 5 Trades 9.6 10.7 57.6
2nd Quartile Price 57.0 0.5 97.2
3rd Quartile Price 79.3 19.3 102.0
4th Quartile Price 89.0 58.6 105.0
Avg. Price Top 5 Trades 109.9 24.6 3,406.0
Standard Deviation 22.6 24.4 1,887.9
VOLUME OF TRADES (000'S) 189,265.5 1,113.2 142,875.2
Customer Buy 65,711.2 721.5 59,625.0
Customer Sell 100,677.1 * 67,616.0
Dealer to Dealer 22,877.2 - 15,634.2
<= $1MM 12,294.4 1,113.2 6,421.3
<= $10MM 74,652.3 - 136,453.9
<= $100MM 102,318.7 - -
> $100MM - - -
NUMBER OF TRADES 354 7 54
Customer Buy 163 5 25
Customer Sell 161 * 24
Dealer to Dealer 30 - 5
<= $1MM 327 7 13
<= $10MM 21 - 41
<= $100MM 6 - -
> $100MM - - -

Pricing Table: Non-Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE 86.3 - * 91.5
Weighted Avg. Price 93.9 - * 92.3
Avg. Price Bottom 5 Trades 64.6 - * 79.9
2nd Quartile Price 87.6 - * 81.9
3rd Quartile Price 90.0 - * 94.2
4th Quartile Price 91.0 - * 99.9
Avg. Price Top 5 Trades 96.4 - * 101.0
Standard Deviation 10.5 - * 8.5
VOLUME OF TRADES (000'S) 1,692.3 - * 369,736.8
Customer Buy 620.8 - - 218,467.4
Customer Sell 746.1 - * 148,234.0
Dealer to Dealer 325.4 - - *
<= $1MM 1,692.3 - - 5,357.9
<= $10MM - - * 156,818.2
<= $100MM - - - 207,560.6
> $100MM - - - -
NUMBER OF TRADES 53 - * 57
Customer Buy 11 - - 34
Customer Sell 26 - * 19
Dealer to Dealer 16 - - *
<= $1MM 53 - - 9
<= $10MM - - * 36
<= $100MM - - - 12
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 70.1 * - 97.6
Weighted Avg. Price 77.7 * - 96.0
Avg. Price Bottom 5 Trades 9.6 * - 89.4
2nd Quartile Price 53.1 * - 99.3
3rd Quartile Price 77.0 * - 99.6
4th Quartile Price 87.6 * - 100.7
Avg. Price Top 5 Trades 109.0 * - 101.4
Standard Deviation 22.4 * - 5.0
VOLUME OF TRADES (000'S) 56,485.2 * - 129,637.8
Customer Buy 28,585.7 * - 35,554.2
Customer Sell 18,496.0 * - 80,609.8
Dealer to Dealer 9,403.5 - - *
<= $1MM 9,252.3 - - *
<= $10MM 15,942.2 * - 55,567.6
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 330 * - 22
Customer Buy 155 * - 7
Customer Sell 146 * - 14
Dealer to Dealer 29 - - *
<= $1MM 323 - - *
<= $10MM 5 * - 14
<= $100MM * - - *
> $100MM - - - -

Pricing Table: Non-Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE - - - *
Weighted Avg. Price - - - *
Avg. Price Bottom 5 Trades - - - *
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - *
Standard Deviation - - - *
VOLUME OF TRADES (000'S) - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 17.6 - - -
Weighted Avg. Price 6.9 - - -
Avg. Price Bottom 5 Trades 10.7 - - -
2nd Quartile Price 0.5 - - -
3rd Quartile Price 19.3 - - -
4th Quartile Price 58.6 - - -
Avg. Price Top 5 Trades 24.6 - - -
Standard Deviation 24.4 - - -
VOLUME OF TRADES (000'S) 1,113.2 - - -
Customer Buy 721.5 - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 1,113.2 - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 7 - - -
Customer Buy 5 - - -
Customer Sell * - - -
Dealer to Dealer - - - -
<= $1MM 7 - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -

* 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.

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