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 97.4 * 102.0 4.5 99.0 100.1
Weighted Avg. Price 100.6 * 102.2 3.8 100.0 100.2
Avg. Price Bottom 5 Trades 84.2 * 85.0 1.9 93.0 99.9
2nd Quartile Price 96.8 * 100.4 2.3 98.4 100.1
3rd Quartile Price 98.3 * 102.7 4.9 99.9 100.1
4th Quartile Price 100.0 * 104.5 7.4 100.1 100.4
Avg. Price Top 5 Trades 103.2 * 108.6 6.9 102.5 100.4
Standard Deviation 4.2 * 4.4 2.6 2.0 0.2
VOLUME OF TRADES (000'S) 42,240.1 * 751,151.3 687,311.6 780,654.2 34,409.3
Customer Buy 22,469.8 * 234,637.4 192,002.4 412,039.0 20,399.5
Customer Sell 19,553.7 * 397,528.0 495,309.2 364,826.3 12,509.8
Dealer to Dealer 216.6 0.0 118,985.9 0.0 3,788.9 *
<= $1MM 13,130.2 * 25,534.7 0.0 44,952.4 3,141.3
<= $10MM 29,109.9 0.0 322,543.4 * 221,016.1 19,268.0
<= $100MM 0.0 * 403,073.3 411,337.6 514,685.6 *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 111 * 156 12 293 21
Customer Buy 63 * 65 5 122 8
Customer Sell 37 * 77 7 136 12
Dealer to Dealer 11 0 14 0 35 *
<= $1MM 102 * 54 0 208 8
<= $10MM 9 0 80 * 66 12
<= $100MM 0 * 22 8 19 *
> $100MM 0 0 0 * 0 0
Non-Investment Grade †
AVERAGE PRICE 84.3 41.9 96.3 15.7 97.3 71.0
Weighted Avg. Price 74.1 6.0 100.4 2.3 87.7 46.5
Avg. Price Bottom 5 Trades 8.6 41.9 44.5 1.3 18.3 4.5
2nd Quartile Price 80.0 * 98.8 3.4 100.1 33.3
3rd Quartile Price 89.0 * 100.0 5.5 103.0 85.1
4th Quartile Price 95.5 * 102.9 8.3 106.7 98.1
Avg. Price Top 5 Trades 123.1 41.9 107.4 45.3 108.8 101.2
Standard Deviation 18.5 36.3 16.0 32.0 21.7 36.2
VOLUME OF TRADES (000'S) 297,574.1 52,517.9 194,668.1 794,732.2 378,363.0 252,116.3
Customer Buy 163,433.5 * 38,897.8 * 111,317.6 79,369.0
Customer Sell 118,967.4 * 143,595.5 494,836.7 236,330.5 156,247.3
Dealer to Dealer 15,173.2 0.0 12,174.8 0.0 30,714.9 16,500.0
<= $1MM 21,634.9 * 10,608.2 0.0 18,182.9 *
<= $10MM 181,915.1 * 85,385.6 27,403.2 188,357.4 106,810.4
<= $100MM 94,024.1 * * 337,907.0 171,822.8 143,305.9
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 324 5 90 17 128 40
Customer Buy 137 * 36 * 29 17
Customer Sell 107 * 44 14 62 17
Dealer to Dealer 80 0 10 0 37 6
<= $1MM 278 * 63 0 67 *
<= $10MM 41 * 23 6 51 32
<= $100MM 5 * * 9 10 6
> $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 96.7 97.1 100.3
Weighted Avg. Price 98.1 99.9 101.5
Avg. Price Bottom 5 Trades 85.3 96.3 97.0
2nd Quartile Price 95.0 96.8 100.3
3rd Quartile Price 98.8 96.8 101.1
4th Quartile Price 99.5 98.0 102.5
Avg. Price Top 5 Trades 100.9 101.6 102.7
Standard Deviation 4.6 3.1 3.3
VOLUME OF TRADES (000'S) 7,967.5 7,351.1 26,921.4
Customer Buy 3,633.8 5,329.2 13,506.8
Customer Sell 4,122.2 2,016.8 13,414.7
Dealer to Dealer 211.5 * 0.0
<= $1MM 3,005.8 3,804.4 6,320.0
<= $10MM * * 20,601.4
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 60 35 16
Customer Buy 28 29 6
Customer Sell 22 5 10
Dealer to Dealer 10 * 0
<= $1MM 58 34 10
<= $10MM * * 6
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.9 82.6 79.9
Weighted Avg. Price 84.0 71.0 77.2
Avg. Price Bottom 5 Trades 53.0 34.0 13.5
2nd Quartile Price 90.3 75.5 83.8
3rd Quartile Price 96.5 88.0 88.0
4th Quartile Price 98.7 93.8 89.5
Avg. Price Top 5 Trades 101.4 123.1 99.2
Standard Deviation 14.5 17.7 22.3
VOLUME OF TRADES (000'S) 27,007.2 177,792.8 92,774.1
Customer Buy 9,233.8 92,179.8 62,019.8
Customer Sell 10,437.3 81,717.4 26,812.7
Dealer to Dealer 7,336.1 3,895.6 3,941.5
<= $1MM 5,543.2 10,784.7 5,307.0
<= $10MM 21,464.0 123,657.1 36,794.0
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 77 185 62
Customer Buy 33 71 33
Customer Sell 25 63 19
Dealer to Dealer 19 51 10
<= $1MM 70 158 50
<= $10MM 7 24 10
<= $100MM 0 * *
> $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
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 0.0
<= $100MM * 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES * 0 0
Customer Buy * 0 0
Customer Sell * 0 0
Dealer to Dealer 0 0 0
<= $1MM * 0 0
<= $10MM 0 0 0
<= $100MM * 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE * 0.0 *
Weighted Avg. Price * 0.0 *
Avg. Price Bottom 5 Trades * 0.0 *
2nd Quartile Price * 0.0 *
3rd Quartile Price * 0.0 *
4th Quartile Price * 0.0 *
Avg. Price Top 5 Trades * 0.0 *
Standard Deviation * 0.0 *
VOLUME OF TRADES (000'S) * 0.0 *
Customer Buy * 0.0 *
Customer Sell * 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 *
Customer Buy * 0 *
Customer Sell * 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 8.2.25.20240412   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.