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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Non-Agency CMO | ABS | CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)
NON-AGENCY CMO
(IO/PO)
ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 93.8 0.0 96.5 95.9
Weighted Avg. Price 91.0 0.0 97.0 96.2
Avg. Price Bottom 5 Trades 73.0 0.0 83.8 89.0
2nd Quartile Price 90.0 0.0 95.1 94.5
3rd Quartile Price 95.3 0.0 97.8 96.3
4th Quartile Price 98.1 0.0 99.2 97.8
Avg. Price Top 5 Trades 111.0 0.0 100.6 100.0
Standard Deviation 8.8 0.0 3.9 2.4
VOLUME OF TRADES (000'S) 81,935.5 0.0 745,422.5 621,383.8
Customer Buy 35,578.4 0.0 316,112.3 268,523.0
Customer Sell 45,105.9 0.0 373,785.9 352,860.8
Dealer to Dealer 1,251.2 0.0 55,524.3 0.0
<= $1MM 16,378.5 0.0 55,809.0 19,689.8
<= $10MM 34,641.6 0.0 480,310.5 384,158.8
<= $100MM * 0.0 209,303.0 217,535.2
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 79 0 312 129
Customer Buy 32 0 113 62
Customer Sell 36 0 172 67
Dealer to Dealer 11 0 27 0
<= $1MM 62 0 173 34
<= $10MM 15 0 128 83
<= $100MM * 0 11 12
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 74.1 * 784.9 71.5
Weighted Avg. Price 47.4 * 105.0 31.6
Avg. Price Bottom 5 Trades 4.2 * 73.4 9.3
2nd Quartile Price 60.3 * 89.8 50.0
3rd Quartile Price 79.0 * 94.8 88.2
4th Quartile Price 91.0 * 100.0 93.0
Avg. Price Top 5 Trades 101.1 * 3,683.5 98.2
Standard Deviation 20.1 * 2,469.4 30.5
VOLUME OF TRADES (000'S) 291,417.3 * 59,452.2 297,420.2
Customer Buy 81,587.5 * 26,779.1 258,814.8
Customer Sell 99,015.5 * 32,673.1 38,605.4
Dealer to Dealer 110,814.3 0.0 0.0 0.0
<= $1MM 17,331.4 * 1,293.8 4,978.2
<= $10MM 73,894.6 * 58,158.3 100,184.2
<= $100MM 200,191.3 0.0 0.0 192,257.8
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 289 * 31 45
Customer Buy 162 * 16 28
Customer Sell 80 * 15 17
Dealer to Dealer 47 0 0 0
<= $1MM 258 * 19 8
<= $10MM 22 * 12 32
<= $100MM 9 0 0 5
> $100MM 0 0 0 0

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 95.7 0.0 * 91.4
Weighted Avg. Price 91.8 0.0 * 90.8
Avg. Price Bottom 5 Trades 77.1 0.0 * 82.0
2nd Quartile Price 92.8 0.0 * 86.5
3rd Quartile Price 97.5 0.0 * 91.0
4th Quartile Price 99.5 0.0 * 97.1
Avg. Price Top 5 Trades 111.0 0.0 * 98.3
Standard Deviation 10.5 0.0 * 5.9
VOLUME OF TRADES (000'S) 8,801.8 0.0 * 71,689.6
Customer Buy 5,406.7 0.0 0.0 30,171.7
Customer Sell 2,143.9 0.0 * 41,517.9
Dealer to Dealer 1,251.2 0.0 0.0 0.0
<= $1MM 5,759.2 0.0 * 10,408.9
<= $10MM * 0.0 * 30,365.3
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 41 0 * 36
Customer Buy 16 0 0 16
Customer Sell 14 0 * 20
Dealer to Dealer 11 0 0 0
<= $1MM 40 0 * 21
<= $10MM * 0 * 13
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 73.0 * * 93.3
Weighted Avg. Price 39.0 * * 92.1
Avg. Price Bottom 5 Trades 4.2 * * 89.6
2nd Quartile Price 60.2 * * 92.0
3rd Quartile Price 77.4 * * 93.7
4th Quartile Price 90.1 * * 97.5
Avg. Price Top 5 Trades 101.1 * * 97.5
Standard Deviation 20.0 * * 4.4
VOLUME OF TRADES (000'S) 245,644.3 * * 22,003.6
Customer Buy 67,965.9 0.0 0.0 13,621.5
Customer Sell 66,864.0 * * 8,382.0
Dealer to Dealer 110,814.3 0.0 0.0 0.0
<= $1MM 13,767.9 0.0 0.0 3,563.5
<= $10MM 48,468.9 * 0.0 18,440.1
<= $100MM 183,407.5 0.0 * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 274 * * 13
Customer Buy 157 0 0 5
Customer Sell 70 * * 8
Dealer to Dealer 47 0 0 0
<= $1MM 250 0 0 8
<= $10MM 16 * 0 5
<= $100MM 8 0 * 0
> $100MM 0 0 0 0

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 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0 0
Customer Buy 0 0 0 0
Customer Sell 0 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 0 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 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 0.0
Customer Sell 0.0 0.0 0.0 *
Dealer to Dealer 0.0 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 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES * 0 0 *
Customer Buy * 0 0 0
Customer Sell 0 0 0 *
Dealer to Dealer 0 0 0 0
<= $1MM * 0 0 0
<= $10MM 0 0 0 *
<= $100MM 0 0 0 0
> $100MM 0 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.

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