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 94.1 - 99.5
Weighted Avg. Price 96.8 - 100.4
Avg. Price Bottom 5 Trades 80.9 - 91.3
2nd Quartile Price 89.4 - 98.7
3rd Quartile Price 95.8 - 100.1
4th Quartile Price 100.1 - 100.9
Avg. Price Top 5 Trades 102.1 - 104.8
Standard Deviation 6.5 - 2.4
VOLUME OF TRADES (000'S) 341,115.5 - 877,360.6
Customer Buy 184,851.1 - 376,639.7
Customer Sell 144,440.7 - 459,822.6
Dealer to Dealer 11,823.6 - 40,898.4
<= $1MM 15,816.5 - 33,457.0
<= $10MM 148,526.1 - 374,572.8
<= $100MM 176,772.9 - 469,330.8
> $100MM - - -
NUMBER OF TRADES 92 - 320
Customer Buy 41 - 101
Customer Sell 42 - 166
Dealer to Dealer 9 - 53
<= $1MM 44 - 208
<= $10MM 38 - 91
<= $100MM 10 - 21
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 72.5 * 96.3
Weighted Avg. Price 84.9 * 97.0
Avg. Price Bottom 5 Trades 17.7 * 67.8
2nd Quartile Price 52.5 * 96.3
3rd Quartile Price 74.0 * 99.6
4th Quartile Price 89.4 * 100.4
Avg. Price Top 5 Trades 182.7 * 105.5
Standard Deviation 37.9 * 12.2
VOLUME OF TRADES (000'S) 126,398.1 * 211,878.2
Customer Buy 66,860.8 * 96,505.5
Customer Sell 58,992.1 * 88,046.3
Dealer to Dealer 545.2 - 27,326.4
<= $1MM 6,130.1 - 6,691.6
<= $10MM 82,685.7 * 137,298.3
<= $100MM * - 67,888.2
> $100MM - - -
NUMBER OF TRADES 126 * 61
Customer Buy 28 * 30
Customer Sell 58 * 25
Dealer to Dealer 40 - 6
<= $1MM 104 - 22
<= $10MM 20 * 34
<= $100MM * - 5
> $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 87.7 * * 95.0
Weighted Avg. Price 92.1 * * 96.8
Avg. Price Bottom 5 Trades 84.9 * * 80.7
2nd Quartile Price 85.3 * * 90.2
3rd Quartile Price 88.9 * * 98.9
4th Quartile Price 90.1 * * 100.2
Avg. Price Top 5 Trades 90.4 * * 102.1
Standard Deviation 4.1 * * 6.4
VOLUME OF TRADES (000'S) 68.0 * * 336,391.7
Customer Buy * * * 182,484.1
Customer Sell * * * 142,102.0
Dealer to Dealer 18.1 - - *
<= $1MM 68.0 * - 15,136.9
<= $10MM - - * 144,481.9
<= $100MM - - - 176,772.9
> $100MM - - - -
NUMBER OF TRADES 11 * * 77
Customer Buy * * * 37
Customer Sell * * * 36
Dealer to Dealer 5 - - *
<= $1MM 11 * - 31
<= $10MM - - * 36
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 67.9 - - 96.5
Weighted Avg. Price 72.3 - - 95.5
Avg. Price Bottom 5 Trades 17.7 - - 84.3
2nd Quartile Price 48.0 - - 94.4
3rd Quartile Price 68.3 - - 100.5
4th Quartile Price 85.3 - - 102.1
Avg. Price Top 5 Trades 179.8 - - 102.8
Standard Deviation 39.6 - - 8.0
VOLUME OF TRADES (000'S) 57,965.4 - - 68,432.7
Customer Buy 32,566.0 - - 34,294.8
Customer Sell 24,854.2 - - 34,137.9
Dealer to Dealer 545.2 - - -
<= $1MM 3,143.6 - - 2,986.5
<= $10MM 17,239.5 - - 65,446.3
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 106 - - 20
Customer Buy 19 - - 9
Customer Sell 47 - - 11
Dealer to Dealer 40 - - -
<= $1MM 98 - - 6
<= $10MM 6 - - 14
<= $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 8.8.27.20250619   © 2025 Intercontinental Exchange, Inc. All Rights Reserved.