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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 94.3 * 99.7
Weighted Avg. Price 97.7 * 100.2
Avg. Price Bottom 5 Trades 69.7 * 86.9
2nd Quartile Price 90.1 * 99.4
3rd Quartile Price 98.5 * 100.1
4th Quartile Price 100.3 * 100.9
Avg. Price Top 5 Trades 102.3 * 103.7
Standard Deviation 8.4 * 2.2
VOLUME OF TRADES (000'S) 252,343.8 * 687,123.0
Customer Buy 124,305.4 * 222,274.5
Customer Sell 118,136.8 - 461,828.7
Dealer to Dealer 9,901.6 * 3,019.8
<= $1MM 27,419.7 - 60,186.2
<= $10MM 113,823.2 - 349,861.8
<= $100MM 111,100.9 * 277,075.0
> $100MM - - -
NUMBER OF TRADES 135 * 416
Customer Buy 41 * 123
Customer Sell 81 - 247
Dealer to Dealer 13 * 46
<= $1MM 93 - 304
<= $10MM 34 - 95
<= $100MM 8 * 17
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 63.3 * 282.4
Weighted Avg. Price 96.6 * 52.1
Avg. Price Bottom 5 Trades 15.2 * 47.3
2nd Quartile Price 44.1 * 90.0
3rd Quartile Price 67.3 * 98.2
4th Quartile Price 82.5 * 101.9
Avg. Price Top 5 Trades 103.1 * 2,083.5
Standard Deviation 23.3 * 1,374.2
VOLUME OF TRADES (000'S) 70,488.4 * 140,500.4
Customer Buy 36,966.1 * 73,837.8
Customer Sell 22,294.1 - 61,172.2
Dealer to Dealer 11,228.1 * 5,490.4
<= $1MM 12,545.9 * 11,230.6
<= $10MM 57,942.5 - 63,372.3
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 398 * 52
Customer Buy 118 * 20
Customer Sell 191 - 26
Dealer to Dealer 89 * 6
<= $1MM 383 * 34
<= $10MM 15 - 16
<= $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 85.8 * 89.3 95.7
Weighted Avg. Price 94.0 * 89.9 97.9
Avg. Price Bottom 5 Trades 83.4 * 89.3 69.7
2nd Quartile Price 82.5 * * 94.0
3rd Quartile Price 84.4 * * 99.3
4th Quartile Price 91.4 * * 100.7
Avg. Price Top 5 Trades 88.9 * 89.3 102.3
Standard Deviation 6.1 * 10.9 7.8
VOLUME OF TRADES (000'S) 295.3 * 2,447.3 248,251.7
Customer Buy * * * 123,203.0
Customer Sell 19.2 * * 115,204.0
Dealer to Dealer 57.0 - - 9,844.6
<= $1MM 295.3 * * 25,422.6
<= $10MM - - * 111,728.2
<= $100MM - - - 111,100.9
> $100MM - - - -
NUMBER OF TRADES 14 * 5 114
Customer Buy * * * 34
Customer Sell 6 * * 72
Dealer to Dealer 5 - - 8
<= $1MM 14 * * 73
<= $10MM - - * 33
<= $100MM - - - 8
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 61.4 - - 94.3
Weighted Avg. Price 76.4 - - 99.6
Avg. Price Bottom 5 Trades 15.2 - - 73.9
2nd Quartile Price 43.3 - - 98.2
3rd Quartile Price 60.0 - - 100.9
4th Quartile Price 81.4 - - 101.5
Avg. Price Top 5 Trades 101.7 - - 102.6
Standard Deviation 22.5 - - 11.9
VOLUME OF TRADES (000'S) 9,153.5 - - 61,334.9
Customer Buy 4,651.4 - - 32,314.7
Customer Sell 2,285.4 - - 20,008.7
Dealer to Dealer 2,216.7 - - *
<= $1MM 9,153.5 - - 3,392.4
<= $10MM - - - 57,942.5
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 375 - - 23
Customer Buy 107 - - 11
Customer Sell 183 - - 8
Dealer to Dealer 85 - - *
<= $1MM 375 - - 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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