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 99.5 * 99.2 3.6 99.9 93.3
Weighted Avg. Price 101.2 * 102.4 2.6 100.1 90.4
Avg. Price Bottom 5 Trades 89.7 * 85.6 1.4 94.2 82.9
2nd Quartile Price 98.7 * 99.4 1.6 99.8 100.2
3rd Quartile Price 100.6 * 101.2 4.2 100.0 100.5
4th Quartile Price 101.3 * 102.9 5.2 100.3 100.9
Avg. Price Top 5 Trades 104.3 * 109.5 5.5 104.8 100.8
Standard Deviation 4.0 * 7.0 2.0 1.3 16.9
VOLUME OF TRADES (000'S) 42,567.7 * 405,096.2 899,589.0 1,303,931.9 29,792.3
Customer Buy 21,470.3 0.0 201,125.7 403,240.9 626,291.4 *
Customer Sell 21,002.0 * 188,008.7 496,348.0 652,865.2 20,771.2
Dealer to Dealer 95.5 * 15,961.7 0.0 24,775.3 *
<= $1MM 5,027.1 * 35,172.2 0.0 47,850.5 *
<= $10MM 37,540.6 0.0 274,308.9 * 377,747.1 25,982.3
<= $100MM 0.0 0.0 95,615.1 594,238.4 740,084.3 0.0
> $100MM 0.0 0.0 0.0 * * 0.0
NUMBER OF TRADES 57 * 216 13 297 12
Customer Buy 20 0 113 6 98 *
Customer Sell 27 * 85 7 168 7
Dealer to Dealer 10 * 18 0 31 *
<= $1MM 46 * 138 0 172 *
<= $10MM 11 0 70 * 88 8
<= $100MM 0 0 8 7 36 0
> $100MM 0 0 0 * * 0
Non-Investment Grade †
AVERAGE PRICE 80.5 55.2 95.5 3.2 117.3 65.9
Weighted Avg. Price 87.5 8.6 92.5 2.0 100.1 60.5
Avg. Price Bottom 5 Trades 0.7 55.2 32.5 1.7 94.3 2.3
2nd Quartile Price 80.7 * 93.3 0.8 100.4 35.5
3rd Quartile Price 87.9 * 98.9 1.2 102.3 75.4
4th Quartile Price 95.4 * 101.5 7.0 107.1 99.9
Avg. Price Top 5 Trades 140.0 55.2 106.4 4.8 254.6 101.7
Standard Deviation 28.2 42.8 13.0 3.4 104.4 38.0
VOLUME OF TRADES (000'S) 1,322,295.9 34,530.9 273,072.3 1,020,876.9 86,685.4 173,980.7
Customer Buy 825,495.8 * 112,218.1 * 35,470.8 89,548.4
Customer Sell 453,274.8 0.0 125,923.5 * 42,579.7 73,032.3
Dealer to Dealer 43,525.3 * 34,930.6 * 8,634.8 11,400.0
<= $1MM 16,567.7 * 14,732.8 * 13,592.8 4,292.1
<= $10MM 135,161.5 0.0 164,050.4 0.0 32,907.7 121,063.6
<= $100MM 821,991.8 * 94,289.0 * * *
> $100MM * 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 346 5 171 8 50 40
Customer Buy 89 * 91 * 14 17
Customer Sell 147 0 50 * 23 18
Dealer to Dealer 110 * 30 * 13 5
<= $1MM 275 * 129 * 33 10
<= $10MM 37 0 37 0 15 27
<= $100MM 32 * 5 * * *
> $100MM * 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 99.7 100.4
Weighted Avg. Price 101.0 99.8 101.4
Avg. Price Bottom 5 Trades 90.1 97.6 98.3
2nd Quartile Price 97.5 99.5 100.4
3rd Quartile Price 101.0 100.0 100.6
4th Quartile Price 103.3 102.0 100.8
Avg. Price Top 5 Trades 102.8 102.1 102.2
Standard Deviation 5.7 2.7 1.7
VOLUME OF TRADES (000'S) 2,851.6 4,612.4 35,103.7
Customer Buy 1,419.9 2,255.1 17,795.2
Customer Sell 1,372.0 * 17,308.5
Dealer to Dealer 59.7 * 0.0
<= $1MM 185.0 149.0 4,693.2
<= $10MM * * 30,410.6
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 23 13 21
Customer Buy 8 5 7
Customer Sell 9 * 14
Dealer to Dealer 6 * 0
<= $1MM 21 11 14
<= $10MM * * 7
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 74.0 83.1 82.0
Weighted Avg. Price 93.2 88.3 86.8
Avg. Price Bottom 5 Trades 12.6 2.1 36.3
2nd Quartile Price 71.0 81.5 84.0
3rd Quartile Price 93.0 86.2 88.5
4th Quartile Price 100.0 93.0 94.0
Avg. Price Top 5 Trades 101.5 140.0 98.9
Standard Deviation 38.4 23.1 23.2
VOLUME OF TRADES (000'S) 56,662.8 348,210.5 917,422.5
Customer Buy 43,163.1 202,111.9 580,220.8
Customer Sell 10,909.1 105,364.7 337,001.0
Dealer to Dealer 2,590.6 40,733.9 200.8
<= $1MM 7,523.9 8,255.9 787.8
<= $10MM 22,142.4 93,411.4 19,607.7
<= $100MM * 246,543.2 548,452.1
> $100MM 0.0 0.0 *
NUMBER OF TRADES 92 205 49
Customer Buy 15 53 21
Customer Sell 45 80 22
Dealer to Dealer 32 72 6
<= $1MM 86 165 24
<= $10MM 5 27 5
<= $100MM * 13 18
> $100MM 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
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 * 0.0
Customer Sell 0.0 0.0 0.0
Dealer to Dealer * * 0.0
<= $1MM * * 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
Customer Buy 0 * 0
Customer Sell 0 0 0
Dealer to Dealer * * 0
<= $1MM * * 0
<= $10MM 0 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.