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 98.8 0.0 101.9 * 104.8 0.0 99.7 98.7
Weighted Avg. Price 98.6 0.0 102.8 * 107.3 0.0 100.4 98.9
Avg. Price Bottom 5 Trades 91.5 0.0 82.6 * 99.4 0.0 94.3 95.6
2nd Quartile Price 97.5 0.0 100.1 * 101.6 0.0 99.3 98.7
3rd Quartile Price 99.4 0.0 102.7 * 104.3 0.0 99.9 99.4
4th Quartile Price 101.0 0.0 105.0 * 106.8 0.0 100.3 99.7
Avg. Price Top 5 Trades 103.9 0.0 112.4 * 112.2 0.0 103.6 100.0
Standard Deviation 3.4 0.0 6.2 * 4.1 0.0 1.5 1.9
VOLUME OF TRADES (000'S) 109,952.8 0.0 380,911.2 * 451,494.4 0.0 386,612.1 102,582.9
Customer Buy 34,031.5 0.0 202,511.4 * 173,447.4 0.0 208,187.7 42,007.9
Customer Sell 70,591.5 0.0 172,612.1 * 120,482.7 0.0 150,002.8 42,495.0
Dealer to Dealer 5,329.8 0.0 5,787.7 0.0 157,564.3 0.0 28,421.6 *
<= $1MM 7,553.1 0.0 25,166.9 * 2,968.2 0.0 32,607.9 *
<= $10MM 60,937.7 0.0 199,999.3 0.0 130,050.2 0.0 270,310.5 76,431.3
<= $100MM * 0.0 155,745.0 * 318,476.0 0.0 * *
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 76 0 123 * 94 0 258 31
Customer Buy 25 0 53 * 29 0 84 10
Customer Sell 31 0 62 * 35 0 129 17
Dealer to Dealer 20 0 8 0 30 0 45 *
<= $1MM 57 0 59 * 47 0 188 *
<= $10MM 16 0 58 0 34 0 66 26
<= $100MM * 0 6 * 13 0 * *
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 65.6 * 64.4 * 83.3 5.4 87.3 96.9
Weighted Avg. Price 74.2 * 88.6 * 101.5 5.0 70.2 97.0
Avg. Price Bottom 5 Trades 1.5 * 12.6 * 17.3 2.2 4.5 95.2
2nd Quartile Price 43.5 * 49.3 * 96.2 4.7 98.1 95.6
3rd Quartile Price 78.0 * 84.7 * 100.2 7.4 100.0 99.0
4th Quartile Price 86.8 * 90.5 * 101.5 7.8 100.8 99.7
Avg. Price Top 5 Trades 101.3 * 102.8 * 108.2 7.9 101.6 98.8
Standard Deviation 31.7 * 38.6 * 38.3 2.7 31.5 3.2
VOLUME OF TRADES (000'S) 145,482.0 * 167,146.8 * 606,647.9 3,428,142.6 136,681.1 17,521.8
Customer Buy 69,709.6 * 91,081.9 * 152,184.8 1,727,882.2 42,428.5 9,885.9
Customer Sell 64,772.5 * 76,005.1 * 370,981.7 1,650,462.0 91,680.2 *
Dealer to Dealer 10,999.9 0.0 * 0.0 83,481.4 * 2,572.4 0.0
<= $1MM 13,616.7 * 1,159.0 * 4,643.2 0.0 12,580.2 *
<= $10MM 93,496.8 0.0 129,437.8 0.0 223,917.5 0.0 82,250.9 16,521.8
<= $100MM * 0.0 * * 268,142.1 431,596.3 * 0.0
> $100MM 0.0 0.0 0.0 0.0 * 2,996,546.3 0.0 0.0
NUMBER OF TRADES 328 * 60 * 108 17 57 8
Customer Buy 127 * 37 * 49 9 24 5
Customer Sell 143 * 19 * 35 7 28 *
Dealer to Dealer 58 0 * 0 24 * 5 0
<= $1MM 302 * 26 * 52 0 29 *
<= $10MM 23 0 32 0 47 0 26 7
<= $100MM * 0 * * 8 7 * 0
> $100MM 0 0 0 0 * 10 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 97.9 * 101.3 100.9
Weighted Avg. Price 95.2 * 101.2 98.2
Avg. Price Bottom 5 Trades 92.7 * 100.8 97.2
2nd Quartile Price 97.5 * 100.8 101.5
3rd Quartile Price 97.5 * 101.0 103.3
4th Quartile Price 100.0 * 102.1 103.4
Avg. Price Top 5 Trades 102.4 * 101.8 103.5
Standard Deviation 3.0 * 1.0 4.3
VOLUME OF TRADES (000'S) 6,492.9 * 29,623.0 65,928.2
Customer Buy 1,520.6 * 14,325.5 *
Customer Sell 4,864.7 * 15,297.5 46,486.5
Dealer to Dealer 107.6 * 0.0 *
<= $1MM 2,811.2 * * 3,751.8
<= $10MM * * 28,656.0 20,714.4
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 49 * 10 13
Customer Buy 17 * 5 *
Customer Sell 14 * 5 11
Dealer to Dealer 18 * 0 *
<= $1MM 48 * * 5
<= $10MM * * 8 5
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 68.8 0.0 * 1.0
Weighted Avg. Price 74.5 0.0 * 1.0
Avg. Price Bottom 5 Trades 1.8 0.0 * 1.0
2nd Quartile Price 49.9 0.0 * *
3rd Quartile Price 79.6 0.0 * *
4th Quartile Price 87.6 0.0 * *
Avg. Price Top 5 Trades 101.3 0.0 * 1.0
Standard Deviation 29.0 0.0 * 0.0
VOLUME OF TRADES (000'S) 127,201.1 0.0 * 19.9
Customer Buy 57,535.9 0.0 * 19.9
Customer Sell 58,665.3 0.0 * 0.0
Dealer to Dealer 10,999.9 0.0 0.0 0.0
<= $1MM 13,596.8 0.0 0.0 19.9
<= $10MM 75,235.9 0.0 * 0.0
<= $100MM * 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 309 0 * 16
Customer Buy 109 0 * 16
Customer Sell 142 0 * 0
Dealer to Dealer 58 0 0 0
<= $1MM 286 0 0 16
<= $10MM 20 0 * 0
<= $100MM * 0 0 0
> $100MM 0 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 * 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 0.0
<= $1MM * 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
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM * 0 0 0
<= $10MM 0 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 8.1.17.3.20240320   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.