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 91.8 2.6 99.0
Weighted Avg. Price 92.7 2.3 100.1
Avg. Price Bottom 5 Trades 80.7 1.3 82.7
2nd Quartile Price 85.0 1.0 98.0
3rd Quartile Price 92.4 1.8 100.1
4th Quartile Price 98.3 5.9 100.8
Avg. Price Top 5 Trades 101.2 3.6 103.8
Standard Deviation 6.8 2.3 3.4
VOLUME OF TRADES (000'S) 619,361.6 443,845.4 1,568,483.1
Customer Buy 273,216.7 * 799,894.1
Customer Sell 314,849.9 * 673,341.3
Dealer to Dealer 31,295.0 * 95,247.6
<= $1MM 23,951.7 - 57,539.1
<= $10MM 309,538.4 - 414,899.9
<= $100MM 285,871.4 443,845.4 1,096,044.1
> $100MM - - -
NUMBER OF TRADES 183 8 459
Customer Buy 75 * 176
Customer Sell 83 * 196
Dealer to Dealer 25 * 87
<= $1MM 73 - 283
<= $10MM 94 - 131
<= $100MM 16 8 45
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 66.9 25.8 97.4
Weighted Avg. Price 78.9 0.6 97.7
Avg. Price Bottom 5 Trades 8.4 25.8 85.9
2nd Quartile Price 46.2 * 95.4
3rd Quartile Price 75.5 * 99.9
4th Quartile Price 89.4 * 101.0
Avg. Price Top 5 Trades 101.8 25.8 103.5
Standard Deviation 27.1 32.8 5.5
VOLUME OF TRADES (000'S) 102,693.5 58,385.0 119,331.4
Customer Buy 42,654.3 - 66,707.1
Customer Sell 48,651.2 * 45,113.4
Dealer to Dealer 11,388.0 * *
<= $1MM 8,828.7 * 5,052.7
<= $10MM 93,864.8 - 114,278.7
<= $100MM - * -
> $100MM - - -
NUMBER OF TRADES 182 5 40
Customer Buy 75 - 24
Customer Sell 71 * 14
Dealer to Dealer 36 * *
<= $1MM 150 * 14
<= $10MM 32 - 26
<= $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 91.9 85.8 95.2 91.7
Weighted Avg. Price 93.6 86.0 95.0 92.7
Avg. Price Bottom 5 Trades 88.4 85.8 94.0 80.7
2nd Quartile Price 90.3 * 92.6 84.7
3rd Quartile Price 92.0 * 95.8 92.5
4th Quartile Price 95.5 * 98.2 99.9
Avg. Price Top 5 Trades 95.9 85.8 96.7 101.2
Standard Deviation 3.2 0.8 2.4 7.3
VOLUME OF TRADES (000'S) 199.4 2,121.1 3,495.6 613,545.5
Customer Buy 53.1 * * 272,124.9
Customer Sell * * * 312,747.2
Dealer to Dealer 64.1 * 1,850.6 28,673.3
<= $1MM 199.4 2,121.1 3,495.6 18,135.6
<= $10MM - - - 309,538.4
<= $100MM - - - 285,871.4
> $100MM - - - -
NUMBER OF TRADES 18 6 11 148
Customer Buy 7 * * 65
Customer Sell * * * 73
Dealer to Dealer 7 * 6 10
<= $1MM 18 6 11 38
<= $10MM - - - 94
<= $100MM - - - 16
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 63.8 - - 94.3
Weighted Avg. Price 66.4 - - 95.6
Avg. Price Bottom 5 Trades 8.4 - - 86.5
2nd Quartile Price 38.8 - - 91.4
3rd Quartile Price 72.0 - - 96.1
4th Quartile Price 87.5 - - 100.4
Avg. Price Top 5 Trades 97.2 - - 100.9
Standard Deviation 26.8 - - 6.3
VOLUME OF TRADES (000'S) 58,681.2 - - 44,012.4
Customer Buy 20,927.6 - - 21,726.7
Customer Sell 36,760.9 - - 11,890.4
Dealer to Dealer 992.7 - - *
<= $1MM 8,499.0 - - *
<= $10MM 50,182.2 - - 43,682.7
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 163 - - 19
Customer Buy 65 - - 10
Customer Sell 66 - - 5
Dealer to Dealer 32 - - *
<= $1MM 148 - - *
<= $10MM 15 - - 17
<= $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 - - - 2.6
Weighted Avg. Price - - - 2.3
Avg. Price Bottom 5 Trades - - - 1.3
2nd Quartile Price - - - 1.0
3rd Quartile Price - - - 1.8
4th Quartile Price - - - 5.9
Avg. Price Top 5 Trades - - - 3.6
Standard Deviation - - - 2.3
VOLUME OF TRADES (000'S) - - - 443,845.4
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 443,845.4
> $100MM - - - -
NUMBER OF TRADES - - - 8
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 8
> $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 8.8.27.20250619   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.