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
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 90.2 * 99.4 99.8
Weighted Avg. Price 94.8 * 100.6 99.9
Avg. Price Bottom 5 Trades 65.5 * 88.7 96.6
2nd Quartile Price 87.1 * 98.8 100.0
3rd Quartile Price 93.0 * 99.9 100.0
4th Quartile Price 97.1 * 100.8 100.1
Avg. Price Top 5 Trades 101.1 * 104.1 100.7
Standard Deviation 9.5 * 2.4 1.3
VOLUME OF TRADES (000'S) 346,856.7 * 659,142.9 290,465.0
Customer Buy 131,429.9 - 389,716.7 162,753.6
Customer Sell 211,034.1 * 268,617.2 114,171.4
Dealer to Dealer 4,392.7 - 809.1 *
<= $1MM 12,552.5 * 44,541.0 9,840.5
<= $10MM 124,681.6 * 248,352.8 176,328.2
<= $100MM 209,622.6 - 366,249.1 104,296.3
> $100MM - - - -
NUMBER OF TRADES 78 * 288 72
Customer Buy 28 - 130 40
Customer Sell 42 * 128 30
Dealer to Dealer 8 - 30 *
<= $1MM 46 * 200 24
<= $10MM 25 * 69 41
<= $100MM 7 - 19 7
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.8 * 98.5 81.1
Weighted Avg. Price 26.4 * 98.9 83.1
Avg. Price Bottom 5 Trades 3.8 * 86.8 58.6
2nd Quartile Price 50.0 * 98.7 55.0
3rd Quartile Price 74.6 * 100.0 94.5
4th Quartile Price 88.5 * 101.5 98.6
Avg. Price Top 5 Trades 100.7 * 105.9 99.8
Standard Deviation 24.6 * 6.2 22.3
VOLUME OF TRADES (000'S) 139,067.9 * 114,890.4 56,250.0
Customer Buy 80,054.6 * 87,853.2 31,375.0
Customer Sell 58,284.8 * 26,266.7 22,875.0
Dealer to Dealer 728.5 - * *
<= $1MM 7,440.2 * 2,066.5 2,464.0
<= $10MM 52,732.3 * 73,015.0 53,786.0
<= $100MM * - * -
> $100MM - - - -
NUMBER OF TRADES 134 * 31 24
Customer Buy 66 * 17 14
Customer Sell 34 * 12 9
Dealer to Dealer 34 - * *
<= $1MM 116 * 5 6
<= $10MM 16 * 25 18
<= $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 87.8 * * 90.9
Weighted Avg. Price 97.9 * * 93.4
Avg. Price Bottom 5 Trades 76.7 * * 73.6
2nd Quartile Price 89.9 * * 86.2
3rd Quartile Price 93.8 * * 92.8
4th Quartile Price 97.1 * * 97.5
Avg. Price Top 5 Trades 98.2 * * 101.1
Standard Deviation 13.8 * * 8.0
VOLUME OF TRADES (000'S) 4,462.6 * * 180,857.6
Customer Buy 1,291.3 * * 62,428.3
Customer Sell 1,993.3 * * 115,214.4
Dealer to Dealer 1,177.9 - - *
<= $1MM 2,240.5 * - 10,237.4
<= $10MM * - - 122,459.5
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES 17 * * 56
Customer Buy 5 * * 21
Customer Sell 6 * * 33
Dealer to Dealer 6 - - *
<= $1MM 15 * - 29
<= $10MM * - - 23
<= $100MM - - * *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.4 - - 81.7
Weighted Avg. Price 20.2 - - 65.8
Avg. Price Bottom 5 Trades 3.8 - - 65.8
2nd Quartile Price 50.0 - - 55.0
3rd Quartile Price 71.0 - - 99.6
4th Quartile Price 86.5 - - 101.0
Avg. Price Top 5 Trades 98.0 - - 100.7
Standard Deviation 24.2 - - 25.1
VOLUME OF TRADES (000'S) 120,205.7 - - 18,862.2
Customer Buy 62,806.9 - - 17,247.7
Customer Sell 56,670.3 - - *
Dealer to Dealer 728.5 - - -
<= $1MM 3,548.9 - - 3,891.3
<= $10MM 37,761.5 - - *
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 123 - - 11
Customer Buy 59 - - 7
Customer Sell 30 - - *
Dealer to Dealer 34 - - -
<= $1MM 109 - - 7
<= $10MM 12 - - *
<= $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 8.8.27.20250619   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.