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 91.3 * 99.4 100.2
Weighted Avg. Price 93.2 * 98.5 100.4
Avg. Price Bottom 5 Trades 76.6 * 89.4 98.2
2nd Quartile Price 83.4 * 99.1 100.1
3rd Quartile Price 92.9 * 100.0 100.3
4th Quartile Price 99.8 * 100.3 100.5
Avg. Price Top 5 Trades 101.3 * 103.1 102.4
Standard Deviation 8.1 * 2.0 0.8
VOLUME OF TRADES (000'S) 277,456.5 * 2,613,196.8 381,979.8
Customer Buy 170,825.6 * 1,257,145.1 248,010.0
Customer Sell 74,830.5 0.0 1,307,773.6 123,544.5
Dealer to Dealer 31,800.3 0.0 48,278.1 10,425.3
<= $1MM 15,702.7 * 67,176.0 35,358.4
<= $10MM 141,993.9 0.0 623,176.8 308,142.7
<= $100MM 119,759.9 0.0 1,522,843.9 *
> $100MM 0.0 0.0 * 0.0
NUMBER OF TRADES 127 * 723 170
Customer Buy 48 * 333 94
Customer Sell 54 0 311 59
Dealer to Dealer 25 0 79 17
<= $1MM 80 * 505 90
<= $10MM 40 0 159 77
<= $100MM 7 0 57 *
> $100MM 0 0 * 0
Non-Investment Grade †
AVERAGE PRICE 73.9 21.4 95.8 64.5
Weighted Avg. Price 72.0 11.3 92.7 52.9
Avg. Price Bottom 5 Trades 2.1 8.4 48.0 0.7
2nd Quartile Price 53.0 9.3 95.3 30.0
3rd Quartile Price 75.0 9.8 99.6 80.6
4th Quartile Price 90.1 65.0 100.6 100.0
Avg. Price Top 5 Trades 345.2 32.4 108.6 102.0
Standard Deviation 61.4 25.6 12.9 38.4
VOLUME OF TRADES (000'S) 97,550.9 525.5 269,395.6 395,000.6
Customer Buy 39,441.0 * 148,777.1 228,046.0
Customer Sell 52,837.8 * 119,251.1 162,954.6
Dealer to Dealer 5,272.2 * 1,367.4 *
<= $1MM 21,643.5 525.5 14,329.7 6,540.0
<= $10MM 75,907.4 0.0 207,382.1 263,736.6
<= $100MM 0.0 0.0 * 124,724.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 262 9 115 84
Customer Buy 74 * 57 44
Customer Sell 114 * 53 38
Dealer to Dealer 74 * 5 *
<= $1MM 237 9 57 9
<= $10MM 25 0 54 68
<= $100MM 0 0 * 7
> $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 87.2 0.0 * 92.2
Weighted Avg. Price 96.6 0.0 * 93.2
Avg. Price Bottom 5 Trades 79.3 0.0 * 79.2
2nd Quartile Price 83.4 0.0 * 83.3
3rd Quartile Price 89.8 0.0 * 96.8
4th Quartile Price 90.7 0.0 * 100.2
Avg. Price Top 5 Trades 93.7 0.0 * 101.3
Standard Deviation 6.0 0.0 * 8.3
VOLUME OF TRADES (000'S) 491.1 0.0 * 276,846.1
Customer Buy * 0.0 0.0 170,816.4
Customer Sell 441.5 0.0 * 74,269.8
Dealer to Dealer 40.4 0.0 0.0 31,759.9
<= $1MM 491.1 0.0 * 15,092.3
<= $10MM 0.0 0.0 0.0 141,993.9
<= $100MM 0.0 0.0 0.0 119,759.9
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 23 0 * 103
Customer Buy * 0 0 46
Customer Sell 11 0 * 42
Dealer to Dealer 10 0 0 15
<= $1MM 23 0 * 56
<= $10MM 0 0 0 40
<= $100MM 0 0 0 7
> $100MM 0 0 0 0
Non-Investment Grade †
AVERAGE PRICE 71.0 0.0 85.4 97.7
Weighted Avg. Price 60.7 0.0 85.7 97.2
Avg. Price Bottom 5 Trades 2.1 0.0 85.4 94.4
2nd Quartile Price 47.0 0.0 * 96.5
3rd Quartile Price 71.4 0.0 * 99.3
4th Quartile Price 86.0 0.0 * 99.7
Avg. Price Top 5 Trades 344.9 0.0 85.4 100.1
Standard Deviation 64.8 0.0 0.7 2.6
VOLUME OF TRADES (000'S) 67,440.5 0.0 90.3 30,020.2
Customer Buy 30,336.4 0.0 * 9,074.6
Customer Sell 31,928.4 0.0 * 20,879.2
Dealer to Dealer 5,175.7 0.0 * *
<= $1MM 13,732.8 0.0 90.3 7,820.5
<= $10MM 53,707.7 0.0 0.0 22,199.7
<= $100MM 0.0 0.0 0.0 0.0
> $100MM 0.0 0.0 0.0 0.0
NUMBER OF TRADES 231 0 5 26
Customer Buy 60 0 * 13
Customer Sell 99 0 * 12
Dealer to Dealer 72 0 * *
<= $1MM 212 0 5 20
<= $10MM 19 0 0 6
<= $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
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 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 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
Non-Investment Grade †
AVERAGE PRICE 21.4 0.0 0.0 0.0
Weighted Avg. Price 11.3 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 8.4 0.0 0.0 0.0
2nd Quartile Price 9.3 0.0 0.0 0.0
3rd Quartile Price 9.8 0.0 0.0 0.0
4th Quartile Price 65.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 32.4 0.0 0.0 0.0
Standard Deviation 25.6 0.0 0.0 0.0
VOLUME OF TRADES (000'S) 525.5 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 525.5 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 9 0 0 0
Customer Buy * 0 0 0
Customer Sell * 0 0 0
Dealer to Dealer * 0 0 0
<= $1MM 9 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.