As of
Download

FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS/CDO Daily CMBS Weekly CMBS
Pricing Table: Non-Agency CMO | ABS | CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 93.6 0.0 99.8 100.2
Weighted Avg. Price 96.6 0.0 99.6 100.2
Avg. Price Bottom 5 Trades 76.2 0.0 87.0 100.0
2nd Quartile Price 88.0 0.0 99.3 100.0
3rd Quartile Price 96.0 0.0 100.6 100.1
4th Quartile Price 100.8 0.0 101.7 100.2
Avg. Price Top 5 Trades 101.7 0.0 106.1 101.0
Standard Deviation 7.7 0.0 3.6 0.3
VOLUME OF TRADES (000'S) 156,805.1 0.0 572,765.5 212,107.2
Customer Buy 119,269.2 0.0 346,881.0 125,944.1
Customer Sell 35,128.9 0.0 174,469.3 79,683.1
Dealer to Dealer 2,407.0 0.0 51,415.3 *
<= $1MM 17,640.8 0.0 29,725.9 19,582.6
<= $10MM 84,552.5 0.0 329,551.1 115,124.6
<= $100MM * 0.0 213,488.4 77,400.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 87 0 226 77
Customer Buy 56 0 133 58
Customer Sell 22 0 60 17
Dealer to Dealer 9 0 33 *
<= $1MM 57 0 129 38
<= $10MM 27 0 83 33
<= $100MM * 0 14 6
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 75.8 20.4 87.3 57.1
Weighted Avg. Price 91.2 20.2 81.0 73.9
Avg. Price Bottom 5 Trades 25.6 19.6 12.1 24.1
2nd Quartile Price 65.0 20.0 92.5 48.6
3rd Quartile Price 81.9 23.8 98.9 80.8
4th Quartile Price 89.8 24.3 99.5 97.8
Avg. Price Top 5 Trades 117.7 21.2 104.6 90.1
Standard Deviation 21.2 3.2 27.0 38.4
VOLUME OF TRADES (000'S) 83,182.1 1,735.4 359,752.4 48,300.0
Customer Buy 42,823.7 * 142,329.5 25,600.0
Customer Sell 37,271.1 * 147,454.9 *
Dealer to Dealer 3,087.3 0.0 69,968.0 *
<= $1MM 10,009.0 1,735.4 10,203.9 0.0
<= $10MM 73,173.1 0.0 148,809.2 33,750.0
<= $100MM 0.0 0.0 200,739.3 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 132 6 89 10
Customer Buy 46 * 48 5
Customer Sell 54 * 25 *
Dealer to Dealer 32 0 16 *
<= $1MM 113 6 37 0
<= $10MM 19 0 44 9
<= $100MM 0 0 8 *
> $100MM 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 86.4 0.0 * 95.8
Weighted Avg. Price 97.8 0.0 * 96.6
Avg. Price Bottom 5 Trades 78.0 0.0 * 81.3
2nd Quartile Price 83.6 0.0 * 91.5
3rd Quartile Price 87.7 0.0 * 99.7
4th Quartile Price 91.4 0.0 * 100.9
Avg. Price Top 5 Trades 95.1 0.0 * 101.7
Standard Deviation 6.7 0.0 * 6.6
VOLUME OF TRADES (000'S) 1,443.0 0.0 * 154,228.6
Customer Buy * 0.0 * 116,975.4
Customer Sell 269.2 0.0 0.0 34,859.6
Dealer to Dealer 13.4 0.0 0.0 *
<= $1MM 312.1 0.0 0.0 17,328.7
<= $10MM * 0.0 * 82,288.2
<= $100MM 0.0 0.0 0.0 *
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 21 0 * 65
Customer Buy * 0 * 51
Customer Sell 10 0 0 12
Dealer to Dealer 7 0 0 *
<= $1MM 20 0 0 37
<= $10MM * 0 * 25
<= $100MM 0 0 0 *
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 73.7 0.0 * 93.0
Weighted Avg. Price 92.2 0.0 * 92.9
Avg. Price Bottom 5 Trades 25.6 0.0 * 82.2
2nd Quartile Price 62.5 0.0 * 91.4
3rd Quartile Price 81.0 0.0 * 98.5
4th Quartile Price 87.9 0.0 * 100.8
Avg. Price Top 5 Trades 116.3 0.0 * 100.9
Standard Deviation 21.4 0.0 * 10.2
VOLUME OF TRADES (000'S) 39,052.5 0.0 * 37,384.2
Customer Buy 22,721.2 0.0 * 16,729.7
Customer Sell 16,233.9 0.0 * 17,664.4
Dealer to Dealer 97.3 0.0 0.0 *
<= $1MM 6,557.7 0.0 0.0 3,451.3
<= $10MM 32,494.8 0.0 * 33,932.9
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 116 0 * 14
Customer Buy 37 0 * 8
Customer Sell 48 0 * 5
Dealer to Dealer 31 0 0 *
<= $1MM 108 0 0 5
<= $10MM 8 0 * 9
<= $100MM 0 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 20.4 0.0 0.0 0.0
Weighted Avg. Price 20.2 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 19.6 0.0 0.0 0.0
2nd Quartile Price 20.0 0.0 0.0 0.0
3rd Quartile Price 23.8 0.0 0.0 0.0
4th Quartile Price 24.3 0.0 0.0 0.0
Avg. Price Top 5 Trades 21.2 0.0 0.0 0.0
Standard Deviation 3.2 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 1,735.4 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 1,735.4 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 6 0 0 0
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer 0 0 0 0
<= $1MM 6 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 [email protected].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.5.28.20240806   © 2024 Intercontinental Exchange, Inc. All Rights Reserved.