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 99.1 0.0 102.1 24.5 99.8 96.6
Weighted Avg. Price 99.5 0.0 102.2 11.4 99.8 96.6
Avg. Price Bottom 5 Trades 89.9 0.0 85.9 8.6 87.6 95.4
2nd Quartile Price 97.5 0.0 100.2 8.2 99.7 95.6
3rd Quartile Price 100.1 0.0 102.6 10.7 100.0 97.4
4th Quartile Price 101.9 0.0 104.0 103.7 100.2 97.9
Avg. Price Top 5 Trades 104.9 0.0 109.4 27.9 105.6 98.0
Standard Deviation 4.3 0.0 3.9 38.8 2.3 1.2
VOLUME OF TRADES (000'S) 9,116.5 0.0 874,176.1 20,616.9 955,264.0 64,625.0
Customer Buy 4,075.5 0.0 464,423.6 * 366,781.2 36,625.0
Customer Sell 3,990.1 0.0 392,699.3 * 493,312.8 21,000.0
Dealer to Dealer 1,050.9 0.0 17,053.2 0.0 95,170.1 *
<= $1MM 5,079.0 0.0 28,012.2 * 44,375.1 *
<= $10MM * 0.0 336,279.4 20,016.9 305,230.3 51,500.0
<= $100MM 0.0 0.0 509,884.6 0.0 605,658.6 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 75 0 205 6 259 16
Customer Buy 33 0 78 * 120 8
Customer Sell 21 0 100 * 103 7
Dealer to Dealer 21 0 27 0 36 *
<= $1MM 73 0 82 * 144 *
<= $10MM * 0 95 5 86 12
<= $100MM 0 0 28 0 29 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 84.8 18.4 98.3 * 96.9 65.0
Weighted Avg. Price 75.6 7.0 97.3 * 92.5 56.9
Avg. Price Bottom 5 Trades 28.8 4.2 55.1 * 56.9 12.6
2nd Quartile Price 78.8 7.6 98.2 * 95.3 60.0
3rd Quartile Price 88.0 9.8 100.2 * 100.0 76.0
4th Quartile Price 97.0 10.9 103.5 * 101.5 97.3
Avg. Price Top 5 Trades 102.7 38.2 109.2 * 112.3 98.8
Standard Deviation 15.0 27.9 12.9 * 14.1 32.7
VOLUME OF TRADES (000'S) 700,600.0 442,254.8 878,407.6 * 239,895.8 103,875.5
Customer Buy 247,435.3 266,265.1 473,080.1 * 144,300.5 44,745.5
Customer Sell 418,024.2 170,329.0 362,270.8 * 71,394.6 49,130.0
Dealer to Dealer 35,140.5 * 43,056.8 * 24,200.8 *
<= $1MM 29,459.2 * 14,662.0 * 16,474.5 0.0
<= $10MM 412,418.9 * 398,500.2 * 147,628.4 103,875.5
<= $100MM 258,722.0 319,002.9 465,245.4 0.0 * 0.0
> $100MM 0.0 * 0.0 0.0 0.0 0.0
NUMBER OF TRADES 461 13 131 * 67 25
Customer Buy 239 5 67 * 35 11
Customer Sell 159 6 51 * 21 12
Dealer to Dealer 63 * 13 * 11 *
<= $1MM 350 * 33 * 25 0
<= $10MM 94 * 76 * 38 25
<= $100MM 17 7 22 0 * 0
> $100MM 0 * 0 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 98.6 101.5 *
Weighted Avg. Price 97.0 101.7 *
Avg. Price Bottom 5 Trades 89.9 99.8 *
2nd Quartile Price 97.0 100.7 *
3rd Quartile Price 98.2 101.8 *
4th Quartile Price 101.5 104.0 *
Avg. Price Top 5 Trades 104.4 103.0 *
Standard Deviation 4.6 1.9 *
VOLUME OF TRADES (000'S) 2,938.1 2,140.8 *
Customer Buy 1,217.4 839.4 *
Customer Sell 680.8 1,290.5 *
Dealer to Dealer 1,040.0 * 0.0
<= $1MM 2,938.1 2,140.8 0.0
<= $10MM 0.0 0.0 *
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 60 13 *
Customer Buy 27 5 *
Customer Sell 15 5 *
Dealer to Dealer 18 * 0
<= $1MM 60 13 0
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 89.6 84.7 81.0
Weighted Avg. Price 82.5 72.1 78.9
Avg. Price Bottom 5 Trades 72.0 31.3 39.0
2nd Quartile Price 80.2 79.0 75.3
3rd Quartile Price 92.3 88.1 85.2
4th Quartile Price 99.9 97.0 91.5
Avg. Price Top 5 Trades 102.2 101.1 101.8
Standard Deviation 10.1 15.5 16.1
VOLUME OF TRADES (000'S) 27,846.8 349,474.0 323,279.2
Customer Buy 16,202.8 137,486.2 93,746.4
Customer Sell 9,450.9 209,794.3 198,779.0
Dealer to Dealer 2,193.1 2,193.6 30,753.8
<= $1MM 9,421.8 17,085.2 2,952.3
<= $10MM 18,425.0 236,452.7 157,541.2
<= $100MM 0.0 95,936.1 162,785.8
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 74 299 88
Customer Buy 32 164 43
Customer Sell 21 105 33
Dealer to Dealer 21 30 12
<= $1MM 68 232 50
<= $10MM 6 59 29
<= $100MM 0 8 9
> $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 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 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
<= $1MM 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 0 0
Customer Buy 0 0 0
Customer Sell 0 0 0
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE * 12.3 0.0
Weighted Avg. Price * 7.0 0.0
Avg. Price Bottom 5 Trades * 4.2 0.0
2nd Quartile Price * 7.5 0.0
3rd Quartile Price * 9.8 0.0
4th Quartile Price * 10.6 0.0
Avg. Price Top 5 Trades * 21.7 0.0
Standard Deviation * 17.7 0.0
VOLUME OF TRADES (000'S) * 442,239.0 0.0
Customer Buy 0.0 266,265.1 0.0
Customer Sell 0.0 170,329.0 0.0
Dealer to Dealer * * 0.0
<= $1MM * * 0.0
<= $10MM 0.0 * 0.0
<= $100MM 0.0 319,002.9 0.0
> $100MM 0.0 * 0.0
NUMBER OF TRADES * 12 0
Customer Buy 0 5 0
Customer Sell 0 6 0
Dealer to Dealer * * 0
<= $1MM * * 0
<= $10MM 0 * 0
<= $100MM 0 7 0
> $100MM 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.

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.