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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 91.0 - 99.4
Weighted Avg. Price 92.9 - 99.4
Avg. Price Bottom 5 Trades 78.2 - 84.8
2nd Quartile Price 84.7 - 99.2
3rd Quartile Price 92.2 - 100.3
4th Quartile Price 99.0 - 100.9
Avg. Price Top 5 Trades 101.6 - 105.4
Standard Deviation 7.8 - 3.0
VOLUME OF TRADES (000'S) 173,496.9 - 986,226.6
Customer Buy 88,564.9 - 331,985.1
Customer Sell 76,973.3 - 587,568.7
Dealer to Dealer 7,958.6 - 66,672.8
<= $1MM 12,552.3 - 42,232.1
<= $10MM 128,874.1 - 344,149.9
<= $100MM * - 599,844.5
> $100MM - - -
NUMBER OF TRADES 108 - 380
Customer Buy 36 - 164
Customer Sell 46 - 151
Dealer to Dealer 26 - 65
<= $1MM 66 - 274
<= $10MM 40 - 83
<= $100MM * - 23
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.4 * 1,111.5
Weighted Avg. Price 64.5 * 383.7
Avg. Price Bottom 5 Trades 16.5 * 89.4
2nd Quartile Price 44.0 * 92.5
3rd Quartile Price 79.1 * 99.7
4th Quartile Price 92.2 * 103.6
Avg. Price Top 5 Trades 101.2 * 8,816.3
Standard Deviation 25.9 * 2,825.0
VOLUME OF TRADES (000'S) 189,462.3 * 58,460.1
Customer Buy 90,028.5 * 27,072.7
Customer Sell 97,562.9 * 24,089.9
Dealer to Dealer 1,870.9 * 7,297.5
<= $1MM 10,810.0 - 14,214.7
<= $10MM 99,570.5 - 44,245.4
<= $100MM * * -
> $100MM - - -
NUMBER OF TRADES 134 * 72
Customer Buy 60 * 30
Customer Sell 62 * 34
Dealer to Dealer 12 * 8
<= $1MM 111 - 54
<= $10MM 19 - 18
<= $100MM * * -
> $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 90.6 - * 91.1
Weighted Avg. Price 92.8 - * 92.9
Avg. Price Bottom 5 Trades 83.5 - * 78.2
2nd Quartile Price 88.4 - * 82.1
3rd Quartile Price 90.4 - * 92.4
4th Quartile Price 94.8 - * 99.7
Avg. Price Top 5 Trades 97.7 - * 101.6
Standard Deviation 5.2 - * 8.8
VOLUME OF TRADES (000'S) 2,178.1 - * 170,692.0
Customer Buy 983.3 - * 87,182.9
Customer Sell 983.5 - * 75,875.8
Dealer to Dealer 211.4 - * 7,633.3
<= $1MM 2,178.1 - * 9,747.5
<= $10MM - - - 128,874.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 29 - * 76
Customer Buy 9 - * 26
Customer Sell 11 - * 34
Dealer to Dealer 9 - * 16
<= $1MM 29 - * 34
<= $10MM - - - 40
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 61.6 - - 99.3
Weighted Avg. Price 23.7 - - 99.1
Avg. Price Bottom 5 Trades 16.5 - - 96.9
2nd Quartile Price 42.0 - - 99.1
3rd Quartile Price 60.0 - - 99.6
4th Quartile Price 84.3 - - 100.2
Avg. Price Top 5 Trades 96.1 - - 101.2
Standard Deviation 23.8 - - 1.6
VOLUME OF TRADES (000'S) 86,906.8 - - 102,555.5
Customer Buy 47,475.3 - - 42,553.1
Customer Sell 37,911.8 - - 59,651.1
Dealer to Dealer 1,519.6 - - *
<= $1MM 7,373.1 - - 3,437.0
<= $10MM * - - 88,688.5
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 110 - - 24
Customer Buy 50 - - 10
Customer Sell 49 - - 13
Dealer to Dealer 11 - - *
<= $1MM 103 - - 8
<= $10MM * - - 15
<= $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 * - - -
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 - - - -

* 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 List or 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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