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 88.4 - 99.5
Weighted Avg. Price 93.2 - 99.9
Avg. Price Bottom 5 Trades 77.7 - 88.5
2nd Quartile Price 82.0 - 99.2
3rd Quartile Price 87.0 - 100.1
4th Quartile Price 94.5 - 100.7
Avg. Price Top 5 Trades 100.5 - 103.1
Standard Deviation 7.6 - 2.5
VOLUME OF TRADES (000'S) 62,192.7 - 351,827.3
Customer Buy 45,200.1 - 161,569.9
Customer Sell 5,407.0 - 176,560.9
Dealer to Dealer 11,585.6 - 13,696.4
<= $1MM 10,319.0 - 40,042.2
<= $10MM 51,873.7 - 246,623.0
<= $100MM - - 65,162.0
> $100MM - - -
NUMBER OF TRADES 64 - 256
Customer Buy 27 - 110
Customer Sell 22 - 115
Dealer to Dealer 15 - 31
<= $1MM 50 - 171
<= $10MM 14 - 80
<= $100MM - - 5
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 67.2 * 97.5
Weighted Avg. Price 74.4 * 99.2
Avg. Price Bottom 5 Trades 19.2 * 89.5
2nd Quartile Price 46.0 * 97.0
3rd Quartile Price 73.4 * 100.1
4th Quartile Price 88.0 * 100.6
Avg. Price Top 5 Trades 100.1 * 101.3
Standard Deviation 23.8 * 5.6
VOLUME OF TRADES (000'S) 13,449.9 * 52,085.9
Customer Buy 5,458.8 * 23,993.6
Customer Sell 5,984.6 - 26,592.3
Dealer to Dealer 2,006.5 * *
<= $1MM 9,314.4 * 3,908.7
<= $10MM * * 48,177.2
<= $100MM - - -
> $100MM - - -
NUMBER OF TRADES 142 * 21
Customer Buy 41 * 10
Customer Sell 61 - 9
Dealer to Dealer 40 * *
<= $1MM 140 * 10
<= $10MM * * 11
<= $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 88.7 - - 88.3
Weighted Avg. Price 89.5 - - 93.2
Avg. Price Bottom 5 Trades 84.9 - - 77.7
2nd Quartile Price 85.4 - - 80.2
3rd Quartile Price 87.0 - - 87.5
4th Quartile Price 92.8 - - 98.8
Avg. Price Top 5 Trades 93.7 - - 100.5
Standard Deviation 4.6 - - 8.7
VOLUME OF TRADES (000'S) 296.7 - - 61,896.0
Customer Buy * - - 45,162.8
Customer Sell 158.4 - - 5,248.5
Dealer to Dealer 100.9 - - 11,484.7
<= $1MM 296.7 - - 10,022.3
<= $10MM - - - 51,873.7
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 20 - - 44
Customer Buy * - - 25
Customer Sell 11 - - 11
Dealer to Dealer 7 - - 8
<= $1MM 20 - - 30
<= $10MM - - - 14
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.2 * - *
Weighted Avg. Price 65.7 * - *
Avg. Price Bottom 5 Trades 19.2 * - *
2nd Quartile Price 45.0 * - *
3rd Quartile Price 72.0 * - *
4th Quartile Price 87.0 * - *
Avg. Price Top 5 Trades 98.1 * - *
Standard Deviation 23.5 * - *
VOLUME OF TRADES (000'S) 10,056.8 * - *
Customer Buy 3,065.7 * - *
Customer Sell 4,984.6 - - *
Dealer to Dealer 2,006.5 - - -
<= $1MM 6,995.3 * - *
<= $10MM * - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 138 * - *
Customer Buy 38 * - *
Customer Sell 60 - - *
Dealer to Dealer 40 - - -
<= $1MM 137 * - *
<= $10MM * - - *
<= $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 8.7.7.20250312   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.