As of
Download

FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: Non-Agency CMO | ABS
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS
Investment Grade
AVERAGE PRICE 90.1 * 99.7
Weighted Avg. Price 90.5 * 100.6
Avg. Price Bottom 5 Trades 76.6 * 82.6
2nd Quartile Price 84.6 * 99.3
3rd Quartile Price 89.0 * 100.2
4th Quartile Price 99.7 * 100.8
Avg. Price Top 5 Trades 101.2 * 102.9
Standard Deviation 8.0 * 2.5
VOLUME OF TRADES (000'S) 193,943.2 * 1,486,151.6
Customer Buy 117,166.9 * 712,225.4
Customer Sell 73,782.3 - 749,913.1
Dealer to Dealer 2,994.1 - 24,013.1
<= $1MM 10,831.3 - 54,702.4
<= $10MM 99,270.3 - 399,466.2
<= $100MM * - 1,031,983.0
> $100MM - * -
NUMBER OF TRADES 86 * 493
Customer Buy 30 * 159
Customer Sell 49 - 245
Dealer to Dealer 7 - 89
<= $1MM 57 - 339
<= $10MM 25 - 111
<= $100MM * - 43
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 75.4 - 98.8
Weighted Avg. Price 93.9 - 99.8
Avg. Price Bottom 5 Trades 31.7 - 87.0
2nd Quartile Price 60.0 - 99.0
3rd Quartile Price 82.2 - 100.3
4th Quartile Price 94.3 - 101.0
Avg. Price Top 5 Trades 100.9 - 104.2
Standard Deviation 20.8 - 5.1
VOLUME OF TRADES (000'S) 144,519.4 - 172,003.6
Customer Buy 52,409.2 - 72,057.2
Customer Sell 84,748.5 - 74,879.9
Dealer to Dealer 7,361.6 - 25,066.6
<= $1MM 9,675.9 - 12,868.7
<= $10MM 88,082.9 - 148,318.9
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 125 - 65
Customer Buy 58 - 24
Customer Sell 30 - 24
Dealer to Dealer 37 - 17
<= $1MM 107 - 33
<= $10MM 17 - 31
<= $100MM * - *
> $100MM - - -

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 89.9 - - 90.2
Weighted Avg. Price 95.6 - - 90.5
Avg. Price Bottom 5 Trades 89.9 - - 76.5
2nd Quartile Price * - - 84.6
3rd Quartile Price * - - 88.5
4th Quartile Price * - - 99.5
Avg. Price Top 5 Trades 89.9 - - 101.2
Standard Deviation 11.3 - - 7.8
VOLUME OF TRADES (000'S) 379.5 - - 193,563.7
Customer Buy * - - 116,835.5
Customer Sell * - - 73,734.6
Dealer to Dealer * - - 2,993.5
<= $1MM 379.5 - - 10,451.8
<= $10MM - - - 99,270.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 5 - - 81
Customer Buy * - - 28
Customer Sell * - - 47
Dealer to Dealer * - - 6
<= $1MM 5 - - 52
<= $10MM - - - 25
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 72.3 * * 94.4
Weighted Avg. Price 86.8 * * 95.5
Avg. Price Bottom 5 Trades 31.7 * * 82.7
2nd Quartile Price 58.4 * * 96.3
3rd Quartile Price 79.9 * * 99.3
4th Quartile Price 91.0 * * 100.8
Avg. Price Top 5 Trades 98.2 * * 100.9
Standard Deviation 20.4 * * 12.3
VOLUME OF TRADES (000'S) 26,085.0 * * 117,476.9
Customer Buy 11,641.7 * * 39,810.0
Customer Sell 7,081.7 - - 77,666.9
Dealer to Dealer 7,361.6 - - -
<= $1MM 7,539.3 * * *
<= $10MM 18,545.7 - - 69,537.2
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 107 * * 16
Customer Buy 47 * * 9
Customer Sell 23 - - 7
Dealer to Dealer 37 - - -
<= $1MM 102 * * *
<= $10MM 5 - - 12
<= $100MM - - - *
> $100MM - - - -

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 - - - *
Weighted Avg. Price - - - *
Avg. Price Bottom 5 Trades - - - *
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - *
Standard Deviation - - - *
VOLUME OF TRADES (000'S) - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - *
NUMBER OF TRADES - - - *
Customer Buy - - - *
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - *
Non-Investment Grade †
AVERAGE PRICE - - - -
Weighted Avg. Price - - - -
Avg. Price Bottom 5 Trades - - - -
2nd Quartile Price - - - -
3rd Quartile Price - - - -
4th Quartile Price - - - -
Avg. Price Top 5 Trades - - - -
Standard Deviation - - - -
VOLUME OF TRADES (000'S) - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -

* 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 List or 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 8.10.12.3.20251013   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.