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 92.3 * 99.7
Weighted Avg. Price 95.5 * 100.3
Avg. Price Bottom 5 Trades 35.9 * 86.1
2nd Quartile Price 90.0 * 99.8
3rd Quartile Price 98.5 * 100.3
4th Quartile Price 100.1 * 100.9
Avg. Price Top 5 Trades 100.9 * 103.6
Standard Deviation 15.1 * 2.9
VOLUME OF TRADES (000'S) 479,511.5 * 926,505.9
Customer Buy 184,892.8 * 489,923.5
Customer Sell 249,456.9 * 325,061.2
Dealer to Dealer 45,161.9 - 111,521.3
<= $1MM 36,790.6 - 39,371.8
<= $10MM 273,003.5 * 463,142.1
<= $100MM 169,717.4 - 423,992.0
> $100MM - - -
NUMBER OF TRADES 174 * 281
Customer Buy 60 * 120
Customer Sell 81 * 109
Dealer to Dealer 33 - 52
<= $1MM 82 - 147
<= $10MM 81 * 118
<= $100MM 11 - 16
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 70.6 7.2 186.4
Weighted Avg. Price 60.5 10.7 103.0
Avg. Price Bottom 5 Trades 3.8 7.2 78.9
2nd Quartile Price 49.0 * 99.1
3rd Quartile Price 78.0 * 100.3
4th Quartile Price 91.9 * 101.1
Avg. Price Top 5 Trades 101.6 7.2 1,264.9
Standard Deviation 26.5 19.5 714.2
VOLUME OF TRADES (000'S) 289,995.1 213.7 306,487.5
Customer Buy 122,638.1 * 151,403.5
Customer Sell 117,651.2 * 121,296.7
Dealer to Dealer 49,705.8 * 33,787.3
<= $1MM 28,076.8 213.7 9,963.5
<= $10MM 118,930.2 - 106,124.0
<= $100MM 142,988.0 - *
> $100MM - - -
NUMBER OF TRADES 220 8 66
Customer Buy 67 * 26
Customer Sell 90 * 18
Dealer to Dealer 63 * 22
<= $1MM 173 8 34
<= $10MM 40 - 28
<= $100MM 7 - *
> $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 84.0 - - 95.1
Weighted Avg. Price 95.6 - - 95.5
Avg. Price Bottom 5 Trades 35.9 - - 71.3
2nd Quartile Price 83.4 - - 90.5
3rd Quartile Price 94.4 - - 99.9
4th Quartile Price 96.2 - - 100.2
Avg. Price Top 5 Trades 97.4 - - 100.9
Standard Deviation 25.0 - - 8.1
VOLUME OF TRADES (000'S) 19,538.5 - - 459,973.1
Customer Buy 6,326.5 - - 178,566.3
Customer Sell 5,829.3 - - 243,627.5
Dealer to Dealer 7,382.7 - - 37,779.2
<= $1MM 8,269.9 - - 28,520.6
<= $10MM 11,268.5 - - 261,735.0
<= $100MM - - - 169,717.4
> $100MM - - - -
NUMBER OF TRADES 44 - - 130
Customer Buy 12 - - 48
Customer Sell 17 - - 64
Dealer to Dealer 15 - - 18
<= $1MM 35 - - 47
<= $10MM 9 - - 72
<= $100MM - - - 11
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.7 - - 98.4
Weighted Avg. Price 39.8 - - 100.0
Avg. Price Bottom 5 Trades 3.8 - - 90.2
2nd Quartile Price 46.7 - - 99.8
3rd Quartile Price 74.0 - - 100.8
4th Quartile Price 89.0 - - 101.0
Avg. Price Top 5 Trades 99.9 - - 101.6
Standard Deviation 25.8 - - 7.2
VOLUME OF TRADES (000'S) 190,473.6 - - 99,521.4
Customer Buy 87,326.7 - - 35,311.4
Customer Sell 56,441.1 - - 61,210.1
Dealer to Dealer 46,705.8 - - *
<= $1MM 24,434.5 - - 3,642.2
<= $10MM 62,071.0 - - 56,859.2
<= $100MM 103,968.1 - - *
> $100MM - - - -
NUMBER OF TRADES 193 - - 27
Customer Buy 53 - - 14
Customer Sell 78 - - 12
Dealer to Dealer 62 - - *
<= $1MM 167 - - 6
<= $10MM 21 - - 19
<= $100MM 5 - - *
> $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 7.2 - - -
Weighted Avg. Price 10.7 - - -
Avg. Price Bottom 5 Trades 7.2 - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades 7.2 - - -
Standard Deviation 19.5 - - -
VOLUME OF TRADES (000'S) 213.7 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer * - - -
<= $1MM 213.7 - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 8 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer * - - -
<= $1MM 8 - - -
<= $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.