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 89.7 - 99.9
Avg. Price Bottom 5 Trades 71.5 - 81.5
2nd Quartile Price 86.0 - 100.2
3rd Quartile Price 95.1 - 100.2
4th Quartile Price 97.5 - 100.2
Avg. Price Top 5 Trades 100.8 - 103.7
Standard Deviation 7.6 - 2.1
VOLUME OF TRADES (000'S) 434,145.1 - 653,882.3
Customer Buy 166,499.3 - 227,795.9
Customer Sell 261,803.5 - 395,158.6
Dealer to Dealer 5,842.3 - 30,927.9
<= $1MM 25,862.0 - 68,373.7
<= $10MM 156,346.0 - 367,491.8
<= $100MM 251,937.1 - 218,016.9
> $100MM - - -
NUMBER OF TRADES 139 - 1,517
Customer Buy 19 - 1,216
Customer Sell 112 - 244
Dealer to Dealer 8 - 57
<= $1MM 58 - 1,391
<= $10MM 71 - 114
<= $100MM 10 - 12
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 66.8 - 515.5
Weighted Avg. Price 107.5 - 97.2
Avg. Price Bottom 5 Trades 20.8 - 83.6
2nd Quartile Price 42.0 - 93.1
3rd Quartile Price 66.0 - 96.8
4th Quartile Price 90.9 - 100.0
Avg. Price Top 5 Trades 172.0 - 4,392.7
Standard Deviation 34.2 - 1,765.7
VOLUME OF TRADES (000'S) 111,673.0 - 97,303.6
Customer Buy 52,272.2 - 48,212.7
Customer Sell 58,544.2 - 48,926.9
Dealer to Dealer 856.6 - *
<= $1MM 10,902.1 - 5,649.0
<= $10MM 76,265.2 - 79,457.3
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 184 - 51
Customer Buy 38 - 17
Customer Sell 79 - 33
Dealer to Dealer 67 - *
<= $1MM 160 - 19
<= $10MM 22 - 31
<= $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 92.3 * * 91.9
Weighted Avg. Price 84.2 * * 89.7
Avg. Price Bottom 5 Trades 91.2 * * 71.5
2nd Quartile Price 90.3 * * 86.1
3rd Quartile Price 96.5 * * 95.4
4th Quartile Price 97.5 * * 97.6
Avg. Price Top 5 Trades 93.9 * * 100.8
Standard Deviation 5.1 * * 7.7
VOLUME OF TRADES (000'S) 1,288.0 * * 432,415.6
Customer Buy * - - 166,476.7
Customer Sell * * * 260,102.5
Dealer to Dealer * - - 5,836.4
<= $1MM 28.5 * * 25,392.1
<= $10MM * - - 155,086.4
<= $100MM - - - 251,937.1
> $100MM - - - -
NUMBER OF TRADES 6 * * 129
Customer Buy * - - 16
Customer Sell * * * 107
Dealer to Dealer * - - 6
<= $1MM 5 * * 49
<= $10MM * - - 70
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 57.7 - - 110.2
Weighted Avg. Price 29.5 - - 141.6
Avg. Price Bottom 5 Trades 20.8 - - 96.8
2nd Quartile Price 39.7 - - 98.0
3rd Quartile Price 55.0 - - 99.1
4th Quartile Price 75.5 - - 100.7
Avg. Price Top 5 Trades 96.8 - - 172.0
Standard Deviation 23.0 - - 44.2
VOLUME OF TRADES (000'S) 34,011.1 - - 77,662.0
Customer Buy 14,526.5 - - 37,745.7
Customer Sell 18,628.0 - - 39,916.2
Dealer to Dealer 856.6 - - -
<= $1MM 4,956.9 - - 5,945.2
<= $10MM * - - 71,716.8
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 152 - - 32
Customer Buy 22 - - 16
Customer Sell 63 - - 16
Dealer to Dealer 67 - - -
<= $1MM 149 - - 11
<= $10MM * - - 21
<= $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.