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 95.9 * 99.7
Weighted Avg. Price 94.1 * 97.8
Avg. Price Bottom 5 Trades 73.9 * 86.9
2nd Quartile Price 98.1 * 99.7
3rd Quartile Price 100.0 * 100.2
4th Quartile Price 100.3 * 100.8
Avg. Price Top 5 Trades 101.4 * 103.0
Standard Deviation 8.6 * 2.6
VOLUME OF TRADES (000'S) 350,468.3 * 535,902.3
Customer Buy 206,209.6 * 155,587.2
Customer Sell 142,793.3 - 301,252.0
Dealer to Dealer 1,465.4 - 79,063.1
<= $1MM 6,761.0 * 37,992.1
<= $10MM 121,876.4 - 264,717.8
<= $100MM 221,830.9 - 233,192.4
> $100MM - - -
NUMBER OF TRADES 57 * 295
Customer Buy 32 * 115
Customer Sell 19 - 143
Dealer to Dealer 6 - 37
<= $1MM 19 * 187
<= $10MM 28 - 99
<= $100MM 10 - 9
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 73.0 21.6 345.4
Weighted Avg. Price 74.9 2.9 92.0
Avg. Price Bottom 5 Trades 15.2 21.6 61.8
2nd Quartile Price 54.0 * 92.1
3rd Quartile Price 83.0 * 99.1
4th Quartile Price 91.1 * 100.9
Avg. Price Top 5 Trades 103.6 21.6 2,577.1
Standard Deviation 25.2 29.9 1,566.0
VOLUME OF TRADES (000'S) 102,141.2 542.3 617,329.2
Customer Buy 53,154.3 - 324,814.6
Customer Sell 47,716.3 * 283,413.5
Dealer to Dealer 1,270.7 * 9,101.1
<= $1MM 9,268.1 542.3 8,168.6
<= $10MM 64,534.8 - 90,330.7
<= $100MM * - 408,487.9
> $100MM - - *
NUMBER OF TRADES 116 6 79
Customer Buy 43 - 46
Customer Sell 47 * 28
Dealer to Dealer 26 * 5
<= $1MM 97 6 38
<= $10MM 17 - 28
<= $100MM * - 12
> $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 86.3 - - 97.2
Weighted Avg. Price 89.6 - - 94.1
Avg. Price Bottom 5 Trades 86.3 - - 73.9
2nd Quartile Price * - - 99.8
3rd Quartile Price * - - 100.2
4th Quartile Price * - - 100.3
Avg. Price Top 5 Trades 86.3 - - 101.4
Standard Deviation 5.4 - - 8.1
VOLUME OF TRADES (000'S) 32.2 - - 350,436.2
Customer Buy - - - 206,209.6
Customer Sell * - - 142,776.5
Dealer to Dealer * - - *
<= $1MM 32.2 - - 6,728.8
<= $10MM - - - 121,876.4
<= $100MM - - - 221,830.9
> $100MM - - - -
NUMBER OF TRADES 7 - - 50
Customer Buy - - - 32
Customer Sell * - - 16
Dealer to Dealer * - - *
<= $1MM 7 - - 12
<= $10MM - - - 28
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 70.8 * - 96.4
Weighted Avg. Price 82.8 * - 93.3
Avg. Price Bottom 5 Trades 16.0 * - 87.7
2nd Quartile Price 53.5 * - 96.0
3rd Quartile Price 82.0 * - 100.4
4th Quartile Price 86.4 * - 100.9
Avg. Price Top 5 Trades 101.6 * - 101.4
Standard Deviation 24.2 * - 8.9
VOLUME OF TRADES (000'S) 17,367.0 * - 53,331.1
Customer Buy 5,678.1 * - 31,754.7
Customer Sell 10,418.3 * - 21,576.4
Dealer to Dealer 1,270.7 - - -
<= $1MM 6,122.7 - - 3,145.4
<= $10MM * * - 50,185.7
<= $100MM - * - -
> $100MM - - - -
NUMBER OF TRADES 96 * - 16
Customer Buy 33 * - 8
Customer Sell 37 * - 8
Dealer to Dealer 26 - - -
<= $1MM 92 - - 5
<= $10MM * * - 11
<= $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 21.6 - - -
Weighted Avg. Price 2.9 - - -
Avg. Price Bottom 5 Trades 21.6 - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades 21.6 - - -
Standard Deviation 29.9 - - -
VOLUME OF TRADES (000'S) 542.3 - - -
Customer Buy - - - -
Customer Sell * - - -
Dealer to Dealer * - - -
<= $1MM 542.3 - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 6 - - -
Customer Buy - - - -
Customer Sell * - - -
Dealer to Dealer * - - -
<= $1MM 6 - - -
<= $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.