As of

FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Non-Agency CMO | ABS| CBO/CDO/CLO
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)
NON-AGENCY CMO
(IO/PO)
ABS CBO/CDO/CLO
Investment Grade
AVERAGE PRICE 87.4 * 98.4 99.7
Weighted Avg. Price 90.0 * 99.4 99.9
Avg. Price Bottom 5 Trades 63.3 * 86.4 95.7
2nd Quartile Price 81.1 * 97.4 99.8
3rd Quartile Price 86.0 * 99.4 100.0
4th Quartile Price 95.5 * 100.1 100.1
Avg. Price Top 5 Trades 101.5 * 104.5 101.0
Standard Deviation 9.4 * 2.9 1.0
VOLUME OF TRADES (000'S) 219,472.3 * 847,015.0 835,807.8
Customer Buy 131,551.0 * 407,593.3 383,709.4
Customer Sell 81,197.6 - 388,280.3 403,526.6
Dealer to Dealer 6,723.7 - 51,141.5 48,571.8
<= $1MM 25,635.4 - 64,055.7 37,291.8
<= $10MM 155,999.3 - 426,242.6 446,483.5
<= $100MM * * 356,716.7 352,032.5
> $100MM - - - -
NUMBER OF TRADES 128 * 519 183
Customer Buy 58 * 177 87
Customer Sell 49 - 250 80
Dealer to Dealer 21 - 92 16
<= $1MM 84 - 373 61
<= $10MM 42 - 128 110
<= $100MM * * 18 12
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.9 * 67.1 84.6
Weighted Avg. Price 83.0 * 69.7 81.3
Avg. Price Bottom 5 Trades 15.8 * 0.2 29.2
2nd Quartile Price 55.0 * 30.1 81.3
3rd Quartile Price 71.0 * 89.3 93.5
4th Quartile Price 84.3 * 100.5 99.6
Avg. Price Top 5 Trades 102.1 * 107.5 101.7
Standard Deviation 22.2 * 39.8 22.2
VOLUME OF TRADES (000'S) 162,451.8 * 194,108.4 253,869.9
Customer Buy 85,807.0 * 74,088.0 118,890.8
Customer Sell 60,955.3 * 119,938.0 134,979.1
Dealer to Dealer 15,689.6 * * -
<= $1MM 8,710.3 * 9,369.4 10,396.8
<= $10MM 140,233.5 - 171,518.4 176,813.1
<= $100MM * - * *
> $100MM - - - -
NUMBER OF TRADES 297 * 74 70
Customer Buy 69 * 33 34
Customer Sell 114 * 39 36
Dealer to Dealer 114 * * -
<= $1MM 261 * 26 16
<= $10MM 35 - 47 50
<= $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 85.4 * - 88.2
Weighted Avg. Price 91.2 * - 89.9
Avg. Price Bottom 5 Trades 73.9 * - 73.7
2nd Quartile Price 85.0 * - 80.6
3rd Quartile Price 88.0 * - 86.0
4th Quartile Price 90.5 * - 97.3
Avg. Price Top 5 Trades 94.2 * - 101.5
Standard Deviation 11.1 * - 8.7
VOLUME OF TRADES (000'S) 4,966.2 * - 214,501.4
Customer Buy 4,207.7 * - 127,338.6
Customer Sell 460.5 - - 80,737.1
Dealer to Dealer 298.0 - - 6,425.6
<= $1MM 803.7 * - 24,827.1
<= $10MM * - - 151,836.7
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 33 * - 94
Customer Buy 7 * - 50
Customer Sell 14 - - 35
Dealer to Dealer 12 - - 9
<= $1MM 32 * - 51
<= $10MM * - - 41
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.3 - - 86.9
Weighted Avg. Price 80.6 - - 86.4
Avg. Price Bottom 5 Trades 15.8 - - 58.1
2nd Quartile Price 51.5 - - 87.2
3rd Quartile Price 70.2 - - 93.9
4th Quartile Price 83.0 - - 100.6
Avg. Price Top 5 Trades 99.9 - - 101.3
Standard Deviation 21.8 - - 17.2
VOLUME OF TRADES (000'S) 94,382.2 - - 68,069.6
Customer Buy 52,365.1 - - 33,441.8
Customer Sell 26,327.5 - - 34,627.8
Dealer to Dealer 15,689.6 - - -
<= $1MM 5,465.9 - - 3,244.4
<= $10MM 75,408.3 - - 64,825.2
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 274 - - 23
Customer Buy 60 - - 9
Customer Sell 100 - - 14
Dealer to Dealer 114 - - -
<= $1MM 256 - - 5
<= $10MM 17 - - 18
<= $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].
Build 8.8.27.20250619   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.