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 100.4 0.0 99.1 7.3 99.1 99.7
Weighted Avg. Price 99.0 0.0 99.0 7.4 99.5 100.0
Avg. Price Bottom 5 Trades 92.1 0.0 81.9 5.3 94.9 98.1
2nd Quartile Price 100.2 0.0 98.6 5.9 98.5 99.9
3rd Quartile Price 101.5 0.0 100.0 7.5 99.3 100.0
4th Quartile Price 102.3 0.0 101.3 10.2 100.0 100.1
Avg. Price Top 5 Trades 103.9 0.0 105.3 9.2 102.1 100.3
Standard Deviation 3.6 0.0 4.2 2.3 1.3 1.1
VOLUME OF TRADES (000'S) 84,472.7 0.0 677,756.1 31,521.3 731,458.1 141,607.5
Customer Buy 51,047.7 0.0 338,391.5 * 318,049.5 88,597.5
Customer Sell 6,970.5 0.0 304,261.1 25,653.8 388,088.4 34,210.0
Dealer to Dealer 26,454.4 0.0 35,103.4 0.0 25,320.2 *
<= $1MM 2,443.4 0.0 33,001.8 * 39,879.2 5,622.5
<= $10MM 31,145.9 0.0 335,545.5 30,784.7 335,251.8 100,365.0
<= $100MM * 0.0 309,208.8 0.0 356,327.2 *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 56 0 228 11 296 30
Customer Buy 20 0 93 * 124 17
Customer Sell 15 0 122 10 149 9
Dealer to Dealer 21 0 13 0 23 *
<= $1MM 41 0 107 * 180 10
<= $10MM 11 0 102 10 99 18
<= $100MM * 0 19 0 17 *
> $100MM 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 86.8 * 93.0 16.7 99.2 84.5
Weighted Avg. Price 75.9 * 92.5 5.2 96.5 74.7
Avg. Price Bottom 5 Trades 37.7 * 46.0 5.3 90.2 60.6
2nd Quartile Price 82.0 * 89.0 5.2 95.1 70.0
3rd Quartile Price 92.4 * 97.5 7.3 100.1 99.6
4th Quartile Price 96.1 * 99.1 8.1 104.4 100.5
Avg. Price Top 5 Trades 103.2 * 102.2 26.0 106.3 100.7
Standard Deviation 14.6 * 11.8 31.7 5.3 25.0
VOLUME OF TRADES (000'S) 194,270.4 * 307,723.5 928,128.3 35,679.7 109,252.2
Customer Buy 61,419.1 * 161,491.5 * 20,711.6 49,772.9
Customer Sell 121,638.3 * 100,160.1 * 12,537.8 53,472.9
Dealer to Dealer 11,213.0 * 46,071.9 * * *
<= $1MM 24,340.1 0.0 15,596.3 * 7,784.7 2,141.0
<= $10MM 127,332.9 * 180,461.1 * 27,895.0 56,165.4
<= $100MM * * 111,666.1 0.0 0.0 *
> $100MM 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 348 * 136 9 45 23
Customer Buy 149 * 59 * 20 12
Customer Sell 127 * 65 * 21 9
Dealer to Dealer 72 * 12 * * *
<= $1MM 310 0 87 * 33 5
<= $10MM 35 * 43 * 12 14
<= $100MM * * 6 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 101.5 100.6 97.2
Weighted Avg. Price 102.2 100.4 97.7
Avg. Price Bottom 5 Trades 100.4 95.7 94.7
2nd Quartile Price 100.9 100.8 97.9
3rd Quartile Price 101.8 101.5 99.2
4th Quartile Price 102.3 103.0 99.4
Avg. Price Top 5 Trades 102.3 103.9 100.0
Standard Deviation 1.0 4.0 4.4
VOLUME OF TRADES (000'S) 20,214.6 5,931.0 58,327.0
Customer Buy 19,650.2 1,930.7 *
Customer Sell 399.2 3,725.6 *
Dealer to Dealer * 274.7 *
<= $1MM 1,447.0 687.1 *
<= $10MM 18,767.6 * *
<= $100MM 0.0 0.0 *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 19 28 9
Customer Buy 9 7 *
Customer Sell 6 6 *
Dealer to Dealer * 15 *
<= $1MM 13 26 *
<= $10MM 6 * *
<= $100MM 0 0 *
> $100MM 0 0 0
Non-Investment Grade †
AVERAGE PRICE 93.3 85.0 88.0
Weighted Avg. Price 93.6 66.0 85.4
Avg. Price Bottom 5 Trades 67.9 41.4 51.2
2nd Quartile Price 95.5 81.8 88.2
3rd Quartile Price 97.0 89.3 93.0
4th Quartile Price 100.0 95.6 96.0
Avg. Price Top 5 Trades 101.3 102.5 99.7
Standard Deviation 14.3 14.7 13.7
VOLUME OF TRADES (000'S) 11,719.8 100,309.0 82,241.5
Customer Buy 6,496.9 23,215.7 31,706.4
Customer Sell 5,177.0 67,538.4 48,922.9
Dealer to Dealer 45.9 9,554.9 1,612.2
<= $1MM 2,281.1 11,921.3 10,137.7
<= $10MM * 63,101.9 54,792.4
<= $100MM 0.0 * *
> $100MM 0.0 0.0 0.0
NUMBER OF TRADES 40 210 98
Customer Buy 15 79 55
Customer Sell 18 80 29
Dealer to Dealer 7 51 14
<= $1MM 36 190 84
<= $10MM * 18 13
<= $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 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 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
<= $1MM 0.0 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 * 0
Customer Buy 0 * 0
Customer Sell 0 * 0
Dealer to Dealer 0 * 0
<= $1MM 0 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.