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 98.7 * 99.1 19.0 99.0 98.3
Weighted Avg. Price 98.6 * 99.5 2.7 99.3 99.4
Avg. Price Bottom 5 Trades 90.7 * 80.8 1.3 95.3 90.1
2nd Quartile Price 98.1 * 98.3 4.2 98.3 99.8
3rd Quartile Price 99.8 * 99.6 4.7 99.3 100.1
4th Quartile Price 100.3 * 100.7 11.1 99.8 100.3
Avg. Price Top 5 Trades 104.9 * 105.3 72.3 103.7 100.3
Standard Deviation 3.4 * 4.0 35.7 1.3 4.0
VOLUME OF TRADES (000'S) 47,032.6 * 639,633.1 1,408,899.1 1,762,879.8 136,739.1
Customer Buy 22,496.3 * 334,747.3 391,952.9 629,327.6 47,347.7
Customer Sell 22,959.8 * 288,022.6 605,421.6 991,952.5 79,691.4
Dealer to Dealer 1,576.5 0.0 16,863.1 411,524.6 141,599.7 *
<= $1MM 7,932.4 0.0 26,790.5 * 53,869.5 5,921.6
<= $10MM 39,100.3 * 369,454.4 30,421.6 529,688.3 94,817.5
<= $100MM 0.0 0.0 243,388.1 424,768.1 1,179,322.1 *
> $100MM 0.0 0.0 0.0 952,721.3 0.0 0.0
NUMBER OF TRADES 89 * 204 27 396 34
Customer Buy 34 * 93 6 143 14
Customer Sell 25 * 83 11 192 17
Dealer to Dealer 30 0 28 10 61 *
<= $1MM 73 0 107 * 217 8
<= $10MM 16 * 84 6 133 24
<= $100MM 0 0 13 12 46 *
> $100MM 0 0 0 5 0 0
Non-Investment Grade †
AVERAGE PRICE 86.8 2.2 94.5 20.4 96.5 85.9
Weighted Avg. Price 84.6 2.2 92.3 12.0 98.3 93.7
Avg. Price Bottom 5 Trades 19.3 2.2 57.4 1.9 47.5 64.4
2nd Quartile Price 80.0 * 92.2 2.1 97.2 85.3
3rd Quartile Price 90.7 * 96.8 4.8 99.1 95.5
4th Quartile Price 97.0 * 100.0 96.9 100.1 100.1
Avg. Price Top 5 Trades 189.6 2.2 102.3 42.2 102.6 100.4
Standard Deviation 27.4 0.0 9.0 37.9 12.4 20.1
VOLUME OF TRADES (000'S) 475,378.2 12,904.9 437,419.7 265,351.3 130,521.2 71,794.7
Customer Buy 192,958.4 4,301.6 157,371.7 180,819.1 64,366.7 36,362.4
Customer Sell 263,172.0 * 203,932.1 84,532.2 63,050.9 34,532.4
Dealer to Dealer 19,247.8 * 76,115.9 0.0 3,103.6 *
<= $1MM 29,145.0 4,301.6 13,362.1 0.0 21,114.4 *
<= $10MM 265,094.8 * 374,664.1 * 109,406.8 41,644.7
<= $100MM 181,138.4 0.0 * 134,829.8 0.0 *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 357 13 166 11 104 20
Customer Buy 163 11 46 6 46 9
Customer Sell 139 * 87 5 41 10
Dealer to Dealer 55 * 33 0 17 *
<= $1MM 270 11 67 0 66 *
<= $10MM 79 * 96 * 38 14
<= $100MM 8 0 * 7 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 97.9 99.7 97.7
Weighted Avg. Price 100.6 99.5 97.8
Avg. Price Bottom 5 Trades 90.7 98.1 92.8
2nd Quartile Price 96.5 99.7 96.3
3rd Quartile Price 99.5 99.8 98.5
4th Quartile Price 101.2 100.3 100.2
Avg. Price Top 5 Trades 104.0 101.0 101.5
Standard Deviation 4.7 0.9 3.6
VOLUME OF TRADES (000'S) 5,041.4 14,090.6 27,900.6
Customer Buy 3,262.6 8,512.7 10,721.0
Customer Sell 1,355.0 4,830.4 16,774.4
Dealer to Dealer 423.9 747.4 *
<= $1MM 2,969.1 1,594.5 3,368.8
<= $10MM * 12,496.1 24,531.8
<= $100MM 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 30 39 20
Customer Buy 8 17 9
Customer Sell 9 8 8
Dealer to Dealer 13 14 *
<= $1MM 29 31 13
<= $10MM * 8 7
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.7 87.9 79.3
Weighted Avg. Price 91.2 84.3 83.6
Avg. Price Bottom 5 Trades 49.4 21.8 50.4
2nd Quartile Price 92.3 83.0 64.6
3rd Quartile Price 97.0 89.4 82.6
4th Quartile Price 100.0 96.3 93.6
Avg. Price Top 5 Trades 100.8 189.5 100.4
Standard Deviation 14.4 33.2 16.5
VOLUME OF TRADES (000'S) 38,803.3 257,943.3 178,631.5
Customer Buy 21,758.2 113,954.4 57,245.8
Customer Sell 16,143.4 125,770.3 121,258.3
Dealer to Dealer 901.8 18,218.6 127.4
<= $1MM 10,411.3 13,765.0 4,968.7
<= $10MM 28,392.0 157,097.1 79,605.7
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 73 205 79
Customer Buy 26 100 37
Customer Sell 30 74 35
Dealer to Dealer 17 31 7
<= $1MM 64 154 52
<= $10MM 9 47 23
<= $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 0.0
<= $10MM 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 *
Customer Sell 0 0 *
Dealer to Dealer 0 0 0
<= $1MM 0 0 0
<= $10MM 0 0 *
<= $100MM 0 0 0
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 2.2 0.0 0.0
Weighted Avg. Price 2.2 0.0 0.0
Avg. Price Bottom 5 Trades 2.2 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 2.2 0.0 0.0
Standard Deviation 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 12,904.9 0.0 0.0
Customer Buy 4,301.6 0.0 0.0
Customer Sell * 0.0 0.0
Dealer to Dealer * 0.0 0.0
<= $1MM 4,301.6 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 13 0 0
Customer Buy 11 0 0
Customer Sell * 0 0
Dealer to Dealer * 0 0
<= $1MM 11 0 0
<= $10MM * 0 0
<= $100MM 0 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.