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)		 NON-AGENCY
CMBS
(P&I)		 NON-AGENCY
CMBS
(IO/PO)		 AGENCY CMBS
(P&I)		 AGENCY CMBS
(IO/PO)		 ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 98.9 0.0 99.3 * 99.0 * 99.0 99.8
Weighted Avg. Price 98.0 0.0 99.8 * 97.5 * 99.2 99.9
Avg. Price Bottom 5 Trades 94.5 0.0 93.8 * 96.2 * 92.6 99.0
2nd Quartile Price 98.2 0.0 98.4 * 98.7 * 98.6 99.7
3rd Quartile Price 99.6 0.0 99.9 * 99.1 * 99.3 99.9
4th Quartile Price 100.0 0.0 100.5 * 100.2 * 99.8 100.2
Avg. Price Top 5 Trades 101.9 0.0 103.5 * 100.9 * 102.6 100.4
Standard Deviation 1.8 0.0 2.1 * 1.9 * 1.5 0.5
VOLUME OF TRADES (000'S) 217,208.2 0.0 411,241.1 * 171,692.2 * 795,452.5 177,777.0
Customer Buy 142,184.8 0.0 213,638.0 * 68,026.0 * 337,394.7 75,938.2
Customer Sell 64,731.2 0.0 186,618.5 * 91,566.2 * 375,118.3 101,838.8
Dealer to Dealer 10,292.2 0.0 * 0.0 12,100.0 0.0 82,939.5 0.0
<= $1MM 12,064.3 0.0 14,824.2 0.0 4,374.1 0.0 50,991.1 5,715.0
<= $10MM 97,176.3 0.0 227,673.3 0.0 46,437.9 0.0 406,676.3 75,088.2
<= $100MM 107,967.6 0.0 168,743.7 * 120,880.2 * 337,785.1 96,973.8
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 110 0 119 * 28 * 313 28
Customer Buy 56 0 50 * 10 * 120 17
Customer Sell 43 0 65 * 11 * 169 11
Dealer to Dealer 11 0 * 0 7 0 24 0
<= $1MM 85 0 52 0 11 0 177 7
<= $10MM 17 0 56 0 11 0 114 16
<= $100MM 8 0 11 * 6 * 22 5
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 91.0 23.5 87.2 * 97.7 4.9 100.2 85.6
Weighted Avg. Price 93.6 10.4 84.0 * 99.3 6.8 99.5 100.2
Avg. Price Bottom 5 Trades 47.8 10.2 66.2 * 92.3 2.4 97.2 70.0
2nd Quartile Price 86.0 9.8 81.0 * 95.0 2.8 99.3 72.0
3rd Quartile Price 93.9 19.0 85.6 * 99.3 6.8 100.0 100.1
4th Quartile Price 99.0 22.3 98.3 * 100.3 7.4 101.7 110.1
Avg. Price Top 5 Trades 101.3 46.8 104.0 * 100.9 7.0 103.0 104.4
Standard Deviation 9.9 20.7 12.8 * 3.2 2.6 1.7 25.4
VOLUME OF TRADES (000'S) 1,426,326.4 9,136.1 128,846.9 * 158,113.6 333,126.4 344,217.4 68,125.0
Customer Buy 685,578.4 1,966.1 67,841.5 * 76,401.6 62,873.9 130,232.6 *
Customer Sell 735,871.9 6,819.4 61,005.3 * 28,313.5 * 202,076.5 22,625.0
Dealer to Dealer 4,876.0 * 0.0 0.0 53,398.5 * * 0.0
<= $1MM 23,615.6 4,283.0 537.3 0.0 4,366.0 * 7,148.3 *
<= $10MM 427,899.8 * 60,315.5 * 47,326.9 40,480.3 146,482.7 37,500.0
<= $100MM 868,839.5 0.0 * 0.0 * * 190,586.4 *
> $100MM * 0.0 0.0 0.0 0.0 * 0.0 0.0
NUMBER OF TRADES 370 16 32 * 35 11 55 11
Customer Buy 154 8 15 * 14 7 25 *
Customer Sell 168 6 17 * 14 * 27 7
Dealer to Dealer 48 * 0 0 7 * * 0
<= $1MM 243 15 14 0 19 * 18 *
<= $10MM 85 * 14 * 13 5 31 6
<= $100MM 41 0 * 0 * * 6 *
> $100MM * 0 0 0 0 * 0 0

Pricing Table: Non-Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE 99.0 * 97.8 98.8
Weighted Avg. Price 99.2 * 97.7 97.9
Avg. Price Bottom 5 Trades 96.0 * 97.4 96.0
2nd Quartile Price 98.3 * 97.4 99.2
3rd Quartile Price 99.6 * 98.5 100.2
4th Quartile Price 99.9 * 99.0 100.3
Avg. Price Top 5 Trades 101.9 * 98.2 100.3
Standard Deviation 1.6 * 0.9 2.6
VOLUME OF TRADES (000'S) 77,192.9 * 38,251.2 75,341.3
Customer Buy 61,117.0 * 38,130.2 29,726.2
Customer Sell 15,706.8 * 0.0 35,813.0
Dealer to Dealer 369.1 0.0 * *
<= $1MM 10,282.0 0.0 * 1,186.5
<= $10MM * 0.0 * 74,154.8
<= $100MM * * * 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 84 * 7 17
Customer Buy 43 * 5 7
Customer Sell 34 * 0 8
Dealer to Dealer 7 0 * *
<= $1MM 76 0 * 6
<= $10MM * 0 * 11
<= $100MM * * * 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 90.3 * 95.4 *
Weighted Avg. Price 92.4 * 95.6 *
Avg. Price Bottom 5 Trades 47.8 * 78.3 *
2nd Quartile Price 84.8 * 93.0 *
3rd Quartile Price 93.0 * 98.5 *
4th Quartile Price 98.6 * 100.0 *
Avg. Price Top 5 Trades 101.4 * 100.1 *
Standard Deviation 10.1 * 6.6 *
VOLUME OF TRADES (000'S) 778,830.4 * 631,421.8 *
Customer Buy 677,684.4 * 0.0 *
Customer Sell 96,270.0 * 631,421.8 *
Dealer to Dealer 4,876.0 0.0 0.0 0.0
<= $1MM 22,870.6 0.0 0.0 *
<= $10MM 177,007.8 * 235,562.6 *
<= $100MM 472,980.4 0.0 395,859.2 0.0
> $100MM * 0.0 0.0 0.0
NUMBER OF TRADES 305 * 60 *
Customer Buy 152 * 0 *
Customer Sell 105 * 60 *
Dealer to Dealer 48 0 0 0
<= $1MM 242 0 0 *
<= $10MM 38 * 43 *
<= $100MM 24 0 17 0
> $100MM * 0 0 0

Pricing Table: Non-Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0
Customer Buy 0.0 0.0 0.0 0.0
Customer Sell 0.0 0.0 0.0 0.0
Dealer to Dealer 0.0 0.0 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 0.0 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 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
<= $10MM 0 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 23.5 0.0 0.0 0.0
Weighted Avg. Price 10.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 10.2 0.0 0.0 0.0
2nd Quartile Price 9.8 0.0 0.0 0.0
3rd Quartile Price 19.0 0.0 0.0 0.0
4th Quartile Price 22.3 0.0 0.0 0.0
Avg. Price Top 5 Trades 46.8 0.0 0.0 0.0
Standard Deviation 20.7 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 9,136.1 0.0 0.0 0.0
Customer Buy 1,966.1 0.0 0.0 0.0
Customer Sell 6,819.4 0.0 0.0 0.0
Dealer to Dealer * 0.0 0.0 0.0
<= $1MM 4,283.0 0.0 0.0 0.0
<= $10MM * 0.0 0.0 0.0
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 16 0 0 0
Customer Buy 8 0 0 0
Customer Sell 6 0 0 0
Dealer to Dealer * 0 0 0
<= $1MM 15 0 0 0
<= $10MM * 0 0 0
<= $100MM 0 0 0 0
> $100MM 0 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.