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 94.5 - 101.1
Weighted Avg. Price 94.0 - 97.5
Avg. Price Bottom 5 Trades 79.8 - 82.4
2nd Quartile Price 89.3 - 101.2
3rd Quartile Price 99.6 - 101.2
4th Quartile Price 100.9 - 101.7
Avg. Price Top 5 Trades 102.2 - 103.4
Standard Deviation 7.5 - 1.5
VOLUME OF TRADES (000'S) 422,220.7 - 721,305.8
Customer Buy 188,382.2 - 314,824.8
Customer Sell 214,569.5 - 314,817.7
Dealer to Dealer 19,269.0 - 91,663.3
<= $1MM 13,067.6 - 60,349.0
<= $10MM 182,893.2 - 295,403.1
<= $100MM 226,259.9 - 365,553.6
> $100MM - - -
NUMBER OF TRADES 111 - 2,037
Customer Buy 47 - 1,771
Customer Sell 54 - 193
Dealer to Dealer 10 - 73
<= $1MM 46 - 1,934
<= $10MM 53 - 89
<= $100MM 12 - 14
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 70.3 * 98.1
Weighted Avg. Price 98.3 * 98.4
Avg. Price Bottom 5 Trades 23.5 * 63.7
2nd Quartile Price 50.3 * 99.8
3rd Quartile Price 76.0 * 100.9
4th Quartile Price 90.1 * 102.8
Avg. Price Top 5 Trades 102.5 * 109.9
Standard Deviation 23.2 * 13.4
VOLUME OF TRADES (000'S) 126,241.6 * 198,114.8
Customer Buy 68,712.8 * 88,455.1
Customer Sell 50,240.3 * 105,481.3
Dealer to Dealer 7,288.4 - *
<= $1MM 13,207.1 - 8,641.9
<= $10MM 56,436.5 - 157,630.5
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 269 * 62
Customer Buy 65 * 31
Customer Sell 106 * 30
Dealer to Dealer 98 - *
<= $1MM 247 - 20
<= $10MM 19 - 39
<= $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 87.7 - * 95.4
Weighted Avg. Price 88.3 - * 94.0
Avg. Price Bottom 5 Trades 85.4 - * 79.8
2nd Quartile Price 87.0 - * 89.6
3rd Quartile Price 87.2 - * 100.3
4th Quartile Price 91.0 - * 100.9
Avg. Price Top 5 Trades 90.0 - * 102.2
Standard Deviation 3.6 - * 7.5
VOLUME OF TRADES (000'S) 41.1 - * 413,776.9
Customer Buy * - * 184,170.8
Customer Sell 14.4 - * 210,353.8
Dealer to Dealer * - - 19,252.4
<= $1MM 41.1 - * 12,716.2
<= $10MM - - * 174,800.8
<= $100MM - - - 226,259.9
> $100MM - - - -
NUMBER OF TRADES 12 - * 96
Customer Buy * - * 43
Customer Sell 5 - * 47
Dealer to Dealer * - - 6
<= $1MM 12 - * 33
<= $10MM - - * 51
<= $100MM - - - 12
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.4 - - 99.2
Weighted Avg. Price 87.9 - - 100.0
Avg. Price Bottom 5 Trades 23.5 - - 91.9
2nd Quartile Price 49.0 - - 100.4
3rd Quartile Price 73.3 - - 100.5
4th Quartile Price 88.0 - - 101.3
Avg. Price Top 5 Trades 99.7 - - 102.4
Standard Deviation 22.4 - - 5.3
VOLUME OF TRADES (000'S) 17,747.0 - - 108,494.6
Customer Buy 10,474.6 - - 58,238.2
Customer Sell 5,984.0 - - 44,256.3
Dealer to Dealer 1,288.4 - - *
<= $1MM 9,244.1 - - 3,963.0
<= $10MM * - - 47,933.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 245 - - 24
Customer Buy 52 - - 13
Customer Sell 97 - - 9
Dealer to Dealer 96 - - *
<= $1MM 241 - - 6
<= $10MM * - - 15
<= $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 8.9.15.20250723   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.