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 101.0 56.6 102.6 8.0 108.2 * 101.1 99.5
Weighted Avg. Price 101.6 1.5 102.1 7.7 110.5 * 101.3 99.9
Avg. Price Bottom 5 Trades 94.4 56.6 87.0 6.5 98.9 * 89.8 94.7
2nd Quartile Price 100.2 * 100.0 6.1 105.6 * 100.3 99.8
3rd Quartile Price 101.1 * 102.5 8.3 107.2 * 100.9 100.0
4th Quartile Price 102.6 * 107.8 9.6 114.2 * 101.8 100.1
Avg. Price Top 5 Trades 105.8 56.6 113.6 9.7 116.2 * 108.3 100.6
Standard Deviation 2.7 50.9 6.2 3.1 5.3 * 2.7 1.5
VOLUME OF TRADES (000'S) 56,033.1 168,304.3 527,546.7 68,460.9 135,759.4 * 662,430.0 403,046.1
Customer Buy 41,356.9 * 346,208.7 * 69,960.6 * 369,211.5 193,561.7
Customer Sell 11,681.2 * 132,575.9 * 30,776.5 * 257,717.2 195,759.3
Dealer to Dealer 2,995.0 0.0 48,762.1 * 35,022.2 0.0 35,501.3 13,725.0
<= $1MM 14,340.2 * 24,211.8 0.0 5,644.4 0.0 31,170.7 10,187.6
<= $10MM 41,692.8 0.0 274,458.5 68,460.9 71,079.9 0.0 322,389.8 141,358.4
<= $100MM 0.0 * 228,876.4 0.0 * * 308,869.5 251,500.0
> $100MM 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
NUMBER OF TRADES 72 5 147 10 55 * 207 66
Customer Buy 32 * 73 * 22 * 122 32
Customer Sell 23 * 64 * 19 * 68 29
Dealer to Dealer 17 0 10 * 14 0 17 5
<= $1MM 64 * 68 0 31 0 106 16
<= $10MM 8 0 64 10 20 0 83 40
<= $100MM 0 * 15 0 * * 18 10
> $100MM 0 0 0 0 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 80.5 3.8 87.0 100.0 102.1 35.6 94.5 90.8
Weighted Avg. Price 87.3 5.4 94.4 99.9 98.3 18.8 56.5 89.9
Avg. Price Bottom 5 Trades 1.7 3.8 45.8 99.7 94.8 24.4 14.4 53.6
2nd Quartile Price 72.0 * 78.0 99.6 97.5 9.6 100.0 90.4
3rd Quartile Price 87.3 * 97.1 100.1 100.7 14.7 102.1 97.9
4th Quartile Price 97.3 * 100.3 100.6 106.4 102.9 105.3 99.7
Avg. Price Top 5 Trades 112.7 3.8 106.0 100.2 113.8 41.2 110.9 100.6
Standard Deviation 22.5 4.0 19.9 0.5 5.0 46.2 27.9 14.4
VOLUME OF TRADES (000'S) 408,858.6 34,349.0 156,789.2 17,734.0 887,689.2 202,824.3 359,143.8 352,583.6
Customer Buy 176,902.2 * 97,953.7 * 699,662.6 * 168,162.7 157,069.4
Customer Sell 215,677.1 * 55,749.5 13,017.0 72,085.2 * 179,903.9 185,165.2
Dealer to Dealer 16,279.3 0.0 * * 115,941.4 * 11,077.2 *
<= $1MM 35,686.8 0.0 6,434.9 2,460.0 21,944.6 0.0 4,512.7 19,108.0
<= $10MM 270,410.7 34,349.0 133,209.3 15,274.0 140,471.5 * 186,847.0 298,475.6
<= $100MM 102,761.1 0.0 * 0.0 395,273.1 183,760.8 * *
> $100MM 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0
NUMBER OF TRADES 388 5 61 11 132 7 75 115
Customer Buy 128 * 26 * 54 * 26 58
Customer Sell 175 * 31 5 40 * 36 55
Dealer to Dealer 85 0 * * 38 * 13 *
<= $1MM 308 0 27 5 76 0 31 23
<= $10MM 75 5 33 6 41 * 40 91
<= $100MM 5 0 * 0 13 5 * *
> $100MM 0 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 100.0 * * 102.8
Weighted Avg. Price 100.3 * * 102.1
Avg. Price Bottom 5 Trades 94.4 * * 101.4
2nd Quartile Price 99.6 * * 101.9
3rd Quartile Price 101.0 * * 102.6
4th Quartile Price 101.4 * * 104.6
Avg. Price Top 5 Trades 103.1 * * 104.9
Standard Deviation 2.6 * * 1.6
VOLUME OF TRADES (000'S) 17,277.6 * * 37,441.6
Customer Buy 9,029.6 * * 31,416.0
Customer Sell 7,802.0 0.0 * 3,476.6
Dealer to Dealer 445.9 0.0 0.0 *
<= $1MM 3,889.3 * * 9,137.1
<= $10MM * 0.0 0.0 28,304.5
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 46 * * 22
Customer Buy 17 * * 12
Customer Sell 16 0 * 6
Dealer to Dealer 13 0 0 *
<= $1MM 44 * * 16
<= $10MM * 0 0 6
<= $100MM 0 0 0 0
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 79.8 * * 100.6
Weighted Avg. Price 84.8 * * 100.6
Avg. Price Bottom 5 Trades 1.7 * * 99.2
2nd Quartile Price 71.2 * * 99.4
3rd Quartile Price 86.5 * * 101.6
4th Quartile Price 96.5 * * 101.6
Avg. Price Top 5 Trades 112.7 * * 101.5
Standard Deviation 22.7 * * 1.7
VOLUME OF TRADES (000'S) 338,754.9 * * 61,837.5
Customer Buy 143,793.0 * * 28,918.8
Customer Sell 184,802.6 * 0.0 26,798.8
Dealer to Dealer 10,159.3 0.0 0.0 *
<= $1MM 35,572.1 0.0 * 0.0
<= $10MM 200,421.7 * 0.0 61,837.5
<= $100MM 102,761.1 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 372 * * 11
Customer Buy 120 * * 5
Customer Sell 168 * 0 5
Dealer to Dealer 84 0 0 *
<= $1MM 307 0 * 0
<= $10MM 60 * 0 11
<= $100MM 5 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 *
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 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 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 0 * 0 *
Customer Buy 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 *
> $100MM 0 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 0.0 0.0
<= $1MM 0.0 0.0 0.0 0.0
<= $10MM 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 *
Customer Buy 0 * 0 *
Customer Sell 0 * 0 *
Dealer to Dealer 0 0 0 0
<= $1MM 0 0 0 0
<= $10MM 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.