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 91.9 * 99.8
Weighted Avg. Price 91.8 * 100.6
Avg. Price Bottom 5 Trades 63.6 * 92.1
2nd Quartile Price 87.5 * 99.0
3rd Quartile Price 93.0 * 100.3
4th Quartile Price 100.5 * 101.1
Avg. Price Top 5 Trades 101.9 * 104.2
Standard Deviation 9.4 * 2.2
VOLUME OF TRADES (000'S) 217,333.4 * 459,430.2
Customer Buy 149,342.0 * 214,858.1
Customer Sell 53,297.0 - 169,766.0
Dealer to Dealer 14,694.5 - 74,806.0
<= $1MM 15,440.3 - 51,328.2
<= $10MM 123,362.9 - 269,745.6
<= $100MM 78,530.2 * 138,356.4
> $100MM - - -
NUMBER OF TRADES 115 * 427
Customer Buy 40 * 151
Customer Sell 48 - 190
Dealer to Dealer 27 - 86
<= $1MM 70 - 350
<= $10MM 40 - 70
<= $100MM 5 * 7
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 71.1 - 99.1
Weighted Avg. Price 93.3 - 99.4
Avg. Price Bottom 5 Trades 19.7 - 92.4
2nd Quartile Price 54.5 - 99.2
3rd Quartile Price 78.3 - 100.1
4th Quartile Price 89.5 - 100.8
Avg. Price Top 5 Trades 107.5 - 104.0
Standard Deviation 21.9 - 4.0
VOLUME OF TRADES (000'S) 92,027.2 - 139,939.3
Customer Buy 46,783.7 - 75,071.6
Customer Sell 22,049.2 - 64,578.1
Dealer to Dealer 23,194.2 - 289.5
<= $1MM 9,392.3 - 6,112.9
<= $10MM 61,336.8 - 59,807.1
<= $100MM * - 74,019.3
> $100MM - - -
NUMBER OF TRADES 291 - 45
Customer Buy 60 - 23
Customer Sell 134 - 17
Dealer to Dealer 97 - 5
<= $1MM 274 - 27
<= $10MM 15 - 13
<= $100MM * - 5
> $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 88.5 - - 93.6
Weighted Avg. Price 93.7 - - 91.8
Avg. Price Bottom 5 Trades 75.9 - - 68.5
2nd Quartile Price 85.0 - - 88.9
3rd Quartile Price 89.9 - - 99.9
4th Quartile Price 93.5 - - 100.7
Avg. Price Top 5 Trades 98.5 - - 101.9
Standard Deviation 8.1 - - 9.6
VOLUME OF TRADES (000'S) 6,047.9 - - 211,285.5
Customer Buy 3,673.6 - - 145,668.3
Customer Sell 2,192.5 - - 51,104.5
Dealer to Dealer 181.7 - - 14,512.7
<= $1MM 364.5 - - 15,075.9
<= $10MM 5,683.4 - - 117,679.5
<= $100MM - - - 78,530.2
> $100MM - - - -
NUMBER OF TRADES 38 - - 77
Customer Buy 8 - - 32
Customer Sell 15 - - 33
Dealer to Dealer 15 - - 12
<= $1MM 33 - - 37
<= $10MM 5 - - 35
<= $100MM - - - 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.3 - * 96.5
Weighted Avg. Price 91.3 - * 93.9
Avg. Price Bottom 5 Trades 19.7 - * 89.4
2nd Quartile Price 53.1 - * 97.8
3rd Quartile Price 75.0 - * 100.0
4th Quartile Price 87.0 - * 100.8
Avg. Price Top 5 Trades 106.1 - * 100.9
Standard Deviation 21.5 - * 8.6
VOLUME OF TRADES (000'S) 22,780.0 - * 68,864.6
Customer Buy 19,347.6 - * 27,053.5
Customer Sell 2,618.2 - - 19,431.1
Dealer to Dealer 814.2 - - 22,380.0
<= $1MM 5,896.2 - * 3,113.5
<= $10MM 16,883.8 - - 44,453.1
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 272 - * 18
Customer Buy 51 - * 8
Customer Sell 129 - - 5
Dealer to Dealer 92 - - 5
<= $1MM 267 - * 6
<= $10MM 5 - - 10
<= $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.