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 98.4 * 100.3 3.5 99.6 98.3
Weighted Avg. Price 100.4 * 100.6 3.2 99.8 99.1
Avg. Price Bottom 5 Trades 92.0 * 77.8 2.9 92.9 92.6
2nd Quartile Price 97.5 * 99.3 3.6 98.8 98.7
3rd Quartile Price 98.0 * 100.9 3.8 99.9 99.9
4th Quartile Price 100.4 * 103.1 5.3 100.1 100.1
Avg. Price Top 5 Trades 103.3 * 107.2 4.2 104.7 100.2
Standard Deviation 2.8 * 5.1 1.6 1.6 4.5
VOLUME OF TRADES (000'S) 57,443.7 * 540,056.4 703,893.9 842,880.1 166,966.0
Customer Buy 31,324.9 0.0 295,672.7 467,773.7 502,404.0 83,851.2
Customer Sell 21,160.9 * 192,628.5 * 298,350.3 78,614.8
Dealer to Dealer 4,957.9 * 51,755.2 0.0 42,125.8 *
<= $1MM 8,771.4 * 31,106.8 0.0 66,327.3 4,428.7
<= $10MM 48,672.3 0.0 316,932.6 * 383,125.8 59,037.3
<= $100MM 0.0 0.0 192,017.0 * 393,426.9 *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 152 * 177 7 392 24
Customer Buy 81 0 95 6 150 12
Customer Sell 44 * 66 * 182 9
Dealer to Dealer 27 * 16 0 60 *
<= $1MM 139 * 72 0 271 5
<= $10MM 13 0 90 * 104 15
<= $100MM 0 0 15 * 17 *
> $100MM 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 76.7 11.5 91.5 31.0 86.2 68.3
Weighted Avg. Price 63.2 3.7 75.0 12.1 93.0 59.0
Avg. Price Bottom 5 Trades 1.8 7.2 34.2 8.9 29.2 16.2
2nd Quartile Price 73.5 7.5 89.5 11.9 78.1 39.0
3rd Quartile Price 83.5 18.5 99.3 13.9 98.5 93.8
4th Quartile Price 92.5 22.0 101.6 53.7 100.1 95.3
Avg. Price Top 5 Trades 109.8 13.2 107.3 59.8 102.8 97.0
Standard Deviation 24.3 9.2 17.7 30.6 22.2 34.5
VOLUME OF TRADES (000'S) 626,235.5 274,327.2 446,158.8 282,341.0 133,362.6 53,764.3
Customer Buy 282,497.7 * 200,535.7 234,619.5 75,557.0 22,668.9
Customer Sell 317,688.5 * 208,675.3 47,721.5 39,206.7 27,845.5
Dealer to Dealer 26,049.3 0.0 36,947.9 0.0 18,598.9 *
<= $1MM 47,030.0 * 16,762.4 * 13,817.9 3,024.8
<= $10MM 275,062.2 * 194,143.8 * 96,602.6 50,739.5
<= $100MM 304,143.3 * 235,252.6 100,961.0 * 0.0
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 601 7 134 12 62 24
Customer Buy 265 * 69 7 31 10
Customer Sell 221 * 44 5 25 12
Dealer to Dealer 115 0 21 0 6 *
<= $1MM 508 * 82 * 35 5
<= $10MM 75 * 41 * 26 19
<= $100MM 18 * 11 6 * 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 97.0 99.2 98.8
Weighted Avg. Price 98.5 100.6 100.6
Avg. Price Bottom 5 Trades 92.7 93.6 96.9
2nd Quartile Price 95.3 98.1 98.0
3rd Quartile Price 97.1 100.0 98.0
4th Quartile Price 99.0 101.3 100.8
Avg. Price Top 5 Trades 102.0 102.3 102.7
Standard Deviation 3.1 2.9 2.1
VOLUME OF TRADES (000'S) 5,253.2 27,474.8 24,715.7
Customer Buy 1,688.4 8,205.2 21,431.3
Customer Sell 2,780.5 17,234.6 1,145.9
Dealer to Dealer 784.4 2,035.0 *
<= $1MM 3,430.3 1,485.8 3,855.3
<= $10MM * 25,988.9 20,860.4
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 43 43 66
Customer Buy 12 15 54
Customer Sell 20 15 9
Dealer to Dealer 11 13 *
<= $1MM 42 37 60
<= $10MM * 6 6
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 78.8 76.1 74.9
Weighted Avg. Price 76.0 68.0 50.3
Avg. Price Bottom 5 Trades 3.2 5.4 17.1
2nd Quartile Price 74.5 74.3 69.4
3rd Quartile Price 90.0 81.8 84.8
4th Quartile Price 98.5 91.5 89.0
Avg. Price Top 5 Trades 108.2 109.6 92.1
Standard Deviation 27.1 23.8 20.6
VOLUME OF TRADES (000'S) 106,815.6 302,662.1 216,757.8
Customer Buy 32,029.7 138,758.9 111,709.1
Customer Sell 72,292.2 159,014.9 86,381.3
Dealer to Dealer 2,493.6 4,888.4 18,667.4
<= $1MM 26,587.5 17,748.7 2,693.8
<= $10MM 80,228.1 160,277.5 34,556.6
<= $100MM 0.0 124,635.9 179,507.4
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 159 362 80
Customer Buy 61 142 62
Customer Sell 84 124 13
Dealer to Dealer 14 96 5
<= $1MM 126 318 64
<= $10MM 33 36 6
<= $100MM 0 8 10
> $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
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
Dealer to Dealer * 0.0 0.0
<= $1MM * 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
Customer Buy 0 0 0
Customer Sell * 0 0
Dealer to Dealer * 0 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 0.0 11.5 0.0
Weighted Avg. Price 0.0 3.7 0.0
Avg. Price Bottom 5 Trades 0.0 7.2 0.0
2nd Quartile Price 0.0 7.5 0.0
3rd Quartile Price 0.0 18.5 0.0
4th Quartile Price 0.0 22.0 0.0
Avg. Price Top 5 Trades 0.0 13.2 0.0
Standard Deviation 0.0 9.2 0.0
VOLUME OF TRADES (000'S) 0.0 274,327.2 0.0
Customer Buy 0.0 * 0.0
Customer Sell 0.0 * 0.0
Dealer to Dealer 0.0 0.0 0.0
<= $1MM 0.0 * 0.0
<= $10MM 0.0 * 0.0
<= $100MM 0.0 * 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 0 7 0
Customer Buy 0 * 0
Customer Sell 0 * 0
Dealer to Dealer 0 0 0
<= $1MM 0 * 0
<= $10MM 0 * 0
<= $100MM 0 * 0
> $100MM 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.

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 8.1.17.3.20240320   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.