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 95.7 2.5 99.6
Weighted Avg. Price 98.4 1.4 99.6
Avg. Price Bottom 5 Trades 82.1 1.9 88.2
2nd Quartile Price 90.2 1.3 99.6
3rd Quartile Price 98.9 3.3 100.4
4th Quartile Price 100.6 5.2 100.9
Avg. Price Top 5 Trades 101.6 2.8 103.7
Standard Deviation 6.3 1.7 2.6
VOLUME OF TRADES (000'S) 264,721.1 553,803.5 469,345.5
Customer Buy 132,926.2 * 204,018.0
Customer Sell 120,880.0 * 242,289.2
Dealer to Dealer 10,914.9 * 23,038.3
<= $1MM 20,652.0 - 43,870.0
<= $10MM 98,841.0 * 208,407.7
<= $100MM 145,228.0 * 217,067.8
> $100MM - * -
NUMBER OF TRADES 96 6 293
Customer Buy 39 * 84
Customer Sell 37 * 164
Dealer to Dealer 20 * 45
<= $1MM 58 - 218
<= $10MM 29 * 60
<= $100MM 9 * 15
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 66.9 - 100.9
Weighted Avg. Price 93.5 - 101.2
Avg. Price Bottom 5 Trades 2.5 - 93.3
2nd Quartile Price 50.3 * 99.4
3rd Quartile Price 75.1 * 100.9
4th Quartile Price 86.9 * 104.4
Avg. Price Top 5 Trades 111.7 - 106.8
Standard Deviation 27.6 - 5.1
VOLUME OF TRADES (000'S) 33,520.2 22,892.5 26,673.3
Customer Buy 24,828.1 22,892.5 9,136.0
Customer Sell 6,755.6 - 17,537.2
Dealer to Dealer 1,936.4 - -
<= $1MM 4,647.2 - 6,201.7
<= $10MM 28,872.9 22,892.5 20,471.6
<= $100MM - - -
> $100MM - - -
NUMBER OF TRADES 132 6 24
Customer Buy 37 6 8
Customer Sell 52 - 16
Dealer to Dealer 43 - -
<= $1MM 122 - 17
<= $10MM 10 6 7
<= $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 91.9 - - 96.5
Weighted Avg. Price 98.0 - - 98.4
Avg. Price Bottom 5 Trades 84.0 - - 83.2
2nd Quartile Price 84.9 - - 92.6
3rd Quartile Price 95.9 - - 100.3
4th Quartile Price 98.2 - - 100.6
Avg. Price Top 5 Trades 98.8 - - 101.6
Standard Deviation 6.9 - - 5.9
VOLUME OF TRADES (000'S) 270.8 - - 264,450.3
Customer Buy 96.2 - - 132,830.0
Customer Sell 79.2 - - 120,800.8
Dealer to Dealer 95.4 - - 10,819.5
<= $1MM 270.8 - - 20,381.3
<= $10MM - - - 98,841.0
<= $100MM - - - 145,228.0
> $100MM - - - -
NUMBER OF TRADES 18 - - 78
Customer Buy 6 - - 33
Customer Sell 5 - - 32
Dealer to Dealer 7 - - 13
<= $1MM 18 - - 40
<= $10MM - - - 29
<= $100MM - - - 9
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.8 - * 101.0
Weighted Avg. Price 84.5 - * 100.3
Avg. Price Bottom 5 Trades 2.5 - * 100.4
2nd Quartile Price 47.5 - * 100.0
3rd Quartile Price 71.0 - * 103.8
4th Quartile Price 84.3 - * 103.9
Avg. Price Top 5 Trades 108.9 - * 101.5
Standard Deviation 27.1 - * 2.3
VOLUME OF TRADES (000'S) 14,110.9 - * 17,841.5
Customer Buy 9,042.7 - * *
Customer Sell 3,915.6 - - *
Dealer to Dealer 1,152.6 - * -
<= $1MM 3,079.6 - * -
<= $10MM * - - 17,841.5
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 124 - * 6
Customer Buy 32 - * *
Customer Sell 50 - - *
Dealer to Dealer 42 - * -
<= $1MM 120 - * -
<= $10MM * - - 6
<= $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 - - - 2.5
Weighted Avg. Price - - - 1.4
Avg. Price Bottom 5 Trades - - - 1.9
2nd Quartile Price - - - 1.3
3rd Quartile Price - - - 3.3
4th Quartile Price - - - 5.2
Avg. Price Top 5 Trades - - - 2.8
Standard Deviation - - - 1.7
VOLUME OF TRADES (000'S) - - - 553,803.5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 6
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) 22,892.5 - - -
Customer Buy 22,892.5 - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM 22,892.5 - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 6 - - -
Customer Buy 6 - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM 6 - - -
<= $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.