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 - 99.6
Weighted Avg. Price 96.8 - 100.5
Avg. Price Bottom 5 Trades 63.9 - 96.7
2nd Quartile Price 86.0 - 98.9
3rd Quartile Price 92.3 - 99.8
4th Quartile Price 100.2 - 100.5
Avg. Price Top 5 Trades 100.7 - 101.6
Standard Deviation 18.8 - 1.2
VOLUME OF TRADES (000'S) 32,108.5 - 79,031.7
Customer Buy 14,598.0 - 39,001.2
Customer Sell 16,606.2 - 35,398.9
Dealer to Dealer * - 4,631.6
<= $1MM 3,944.5 - 6,301.2
<= $10MM * - 61,565.5
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 24 - 182
Customer Buy 15 - 42
Customer Sell 6 - 96
Dealer to Dealer * - 44
<= $1MM 19 - 168
<= $10MM * - 13
<= $100MM * - *
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 67.2 * 2,058.6
Weighted Avg. Price 84.1 * 286.5
Avg. Price Bottom 5 Trades 27.6 * 57.6
2nd Quartile Price 57.8 * 97.3
3rd Quartile Price 71.7 * 101.0
4th Quartile Price 82.0 * 9,999.0
Avg. Price Top 5 Trades 99.4 * 3,399.4
Standard Deviation 19.4 * 4,185.1
VOLUME OF TRADES (000'S) 17,073.4 * 10,106.4
Customer Buy 12,788.3 * *
Customer Sell 4,121.0 - *
Dealer to Dealer 164.2 - *
<= $1MM 1,794.0 * 2,106.6
<= $10MM * - *
<= $100MM - - -
> $100MM - - -
NUMBER OF TRADES 83 * 10
Customer Buy 53 * *
Customer Sell 12 - *
Dealer to Dealer 18 - *
<= $1MM 79 * 8
<= $10MM * - *
<= $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 80.9 - - 92.1
Weighted Avg. Price 97.7 - - 96.8
Avg. Price Bottom 5 Trades 71.2 - - 79.2
2nd Quartile Price 86.0 - - 86.8
3rd Quartile Price 91.0 - - 97.9
4th Quartile Price 99.3 - - 100.4
Avg. Price Top 5 Trades 94.0 - - 100.7
Standard Deviation 29.3 - - 9.8
VOLUME OF TRADES (000'S) 129.2 - - 31,979.3
Customer Buy 129.2 - - 14,468.8
Customer Sell - - - 16,606.2
Dealer to Dealer - - - *
<= $1MM 129.2 - - 3,815.3
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 8 - - 16
Customer Buy 8 - - 7
Customer Sell - - - 6
Dealer to Dealer - - - *
<= $1MM 8 - - 11
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.0 - - 94.6
Weighted Avg. Price 62.4 - - 85.1
Avg. Price Bottom 5 Trades 27.6 - - 93.1
2nd Quartile Price 55.8 - - 100.7
3rd Quartile Price 69.8 - - 102.2
4th Quartile Price 81.0 - - 102.4
Avg. Price Top 5 Trades 87.9 - - 98.4
Standard Deviation 18.3 - - 11.2
VOLUME OF TRADES (000'S) 749.9 - - 16,323.5
Customer Buy 531.8 - - *
Customer Sell 54.0 - - *
Dealer to Dealer 164.2 - - -
<= $1MM 749.9 - - *
<= $10MM - - - *
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 77 - - 6
Customer Buy 49 - - *
Customer Sell 10 - - *
Dealer to Dealer 18 - - -
<= $1MM 77 - - *
<= $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 8.11.24.20251128   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.