As of
Download

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 97.6 14.5 103.7 7.7 100.3 98.7
Weighted Avg. Price 97.9 19.3 103.2 5.7 100.4 99.3
Avg. Price Bottom 5 Trades 81.1 14.5 89.9 5.3 91.0 96.0
2nd Quartile Price 97.1 * 100.5 7.3 100.0 98.4
3rd Quartile Price 99.8 * 104.2 8.4 100.1 99.4
4th Quartile Price 100.6 * 106.9 10.2 100.4 100.1
Avg. Price Top 5 Trades 103.8 14.5 111.5 9.8 121.8 100.2
Standard Deviation 5.4 10.4 4.0 2.4 3.9 2.2
VOLUME OF TRADES (000'S) 3,684.6 5,872.7 601,073.5 1,558,363.7 1,187,135.9 77,457.3
Customer Buy 1,668.4 * 292,336.0 474,544.0 496,188.6 24,117.3
Customer Sell 1,488.0 * 285,637.0 1,060,593.0 682,301.9 19,780.0
Dealer to Dealer 528.3 * 23,100.5 * 8,645.4 33,560.0
<= $1MM 3,684.6 * 33,703.0 0.0 51,586.3 *
<= $10MM 0.0 * 399,198.1 0.0 585,354.5 75,457.3
<= $100MM 0.0 0.0 168,172.4 322,321.9 425,195.0 0.0
> $100MM 0.0 0.0 0.0 1,236,041.8 * 0.0
NUMBER OF TRADES 109 5 194 14 340 19
Customer Buy 27 * 93 6 119 7
Customer Sell 51 * 86 7 187 5
Dealer to Dealer 31 * 15 * 34 7
<= $1MM 109 * 92 0 163 *
<= $10MM 0 * 92 0 155 16
<= $100MM 0 0 10 9 21 0
> $100MM 0 0 0 5 * 0
Non-Investment Grade †
AVERAGE PRICE 86.2 9.3 99.3 2.1 99.1 *
Weighted Avg. Price 72.2 5.6 98.2 2.3 94.2 *
Avg. Price Bottom 5 Trades 7.6 3.8 70.3 1.5 79.5 *
2nd Quartile Price 81.0 4.7 99.5 0.6 99.0 *
3rd Quartile Price 89.3 4.8 100.3 2.4 100.1 *
4th Quartile Price 96.0 19.2 103.1 5.5 103.5 *
Avg. Price Top 5 Trades 103.0 14.8 110.0 2.9 112.0 *
Standard Deviation 14.1 8.9 8.4 2.1 9.7 *
VOLUME OF TRADES (000'S) 1,003,018.6 932,417.4 287,751.6 797,902.3 141,934.9 *
Customer Buy 439,713.0 449,977.9 120,120.7 * 41,496.1 0.0
Customer Sell 494,759.8 * 155,495.8 446,548.4 68,080.3 *
Dealer to Dealer 68,545.9 * 12,135.2 0.0 32,358.5 0.0
<= $1MM 54,318.6 * 18,193.7 0.0 8,549.7 0.0
<= $10MM 305,029.4 * 192,428.7 * 114,821.2 *
<= $100MM 643,670.6 * 77,129.2 * * 0.0
> $100MM 0.0 857,091.5 0.0 * 0.0 0.0
NUMBER OF TRADES 858 10 98 7 48 *
Customer Buy 369 5 34 * 18 0
Customer Sell 305 * 51 5 21 *
Dealer to Dealer 184 * 13 0 9 0
<= $1MM 753 * 51 0 22 0
<= $10MM 75 * 42 * 25 *
<= $100MM 30 * 5 * * 0
> $100MM 0 5 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 97.2 98.6 *
Weighted Avg. Price 99.0 95.6 *
Avg. Price Bottom 5 Trades 81.1 90.6 *
2nd Quartile Price 97.1 97.5 *
3rd Quartile Price 99.5 100.0 *
4th Quartile Price 100.4 100.6 *
Avg. Price Top 5 Trades 103.8 101.5 *
Standard Deviation 6.0 3.9 *
VOLUME OF TRADES (000'S) 2,499.0 1,146.2 *
Customer Buy 1,253.7 395.0 *
Customer Sell 817.9 670.1 0.0
Dealer to Dealer 427.4 81.1 *
<= $1MM 2,499.0 1,146.2 *
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 71 36 *
Customer Buy 20 6 *
Customer Sell 32 19 0
Dealer to Dealer 19 11 *
<= $1MM 71 36 *
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.2 83.8 86.7
Weighted Avg. Price 89.8 66.6 76.1
Avg. Price Bottom 5 Trades 7.6 30.1 43.2
2nd Quartile Price 90.0 79.5 81.5
3rd Quartile Price 96.0 87.0 90.3
4th Quartile Price 99.2 93.3 94.5
Avg. Price Top 5 Trades 102.5 102.0 100.8
Standard Deviation 15.6 13.4 12.5
VOLUME OF TRADES (000'S) 35,510.4 456,486.0 511,022.2
Customer Buy 16,134.3 173,873.5 249,705.2
Customer Sell 17,507.9 278,283.8 198,968.2
Dealer to Dealer 1,868.2 4,328.8 62,348.9
<= $1MM 15,012.5 25,663.3 13,642.8
<= $10MM 20,497.9 128,247.1 156,284.4
<= $100MM 0.0 302,575.6 341,095.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 205 457 196
Customer Buy 96 177 96
Customer Sell 74 173 58
Dealer to Dealer 35 107 42
<= $1MM 198 414 141
<= $10MM 7 29 39
<= $100MM 0 14 16
> $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 14.5 0.0 0.0
Weighted Avg. Price 19.3 0.0 0.0
Avg. Price Bottom 5 Trades 14.5 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 14.5 0.0 0.0
Standard Deviation 10.4 0.0 0.0
VOLUME OF TRADES (000'S) 5,872.7 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 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 5 0 0
Customer Buy * 0 0
Customer Sell * 0 0
Dealer to Dealer * 0 0
<= $1MM * 0 0
<= $10MM * 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 0.0 8.4 *
Weighted Avg. Price 0.0 4.9 *
Avg. Price Bottom 5 Trades 0.0 3.8 *
2nd Quartile Price 0.0 4.7 *
3rd Quartile Price 0.0 4.7 *
4th Quartile Price 0.0 19.2 *
Avg. Price Top 5 Trades 0.0 12.2 *
Standard Deviation 0.0 8.9 *
VOLUME OF TRADES (000'S) 0.0 881,991.0 *
Customer Buy 0.0 449,977.9 0.0
Customer Sell 0.0 * *
Dealer to Dealer 0.0 * 0.0
<= $1MM 0.0 * 0.0
<= $10MM 0.0 * 0.0
<= $100MM 0.0 * *
> $100MM 0.0 857,091.5 0.0
NUMBER OF TRADES 0 9 *
Customer Buy 0 5 0
Customer Sell 0 * *
Dealer to Dealer 0 * 0
<= $1MM 0 * 0
<= $10MM 0 * 0
<= $100MM 0 * *
> $100MM 0 5 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.
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.2.25.20240412   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.