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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 95.1 * 99.5
Weighted Avg. Price 96.0 * 99.5
Avg. Price Bottom 5 Trades 72.9 * 87.8
2nd Quartile Price 90.1 * 99.0
3rd Quartile Price 99.2 * 100.0
4th Quartile Price 100.2 * 100.4
Avg. Price Top 5 Trades 102.8 * 102.9
Standard Deviation 7.6 * 1.8
VOLUME OF TRADES (000'S) 451,024.1 * 954,151.9
Customer Buy 212,417.7 * 451,819.4
Customer Sell 196,247.1 * 420,536.5
Dealer to Dealer 42,359.3 - 81,795.9
<= $1MM 34,008.9 - 71,154.5
<= $10MM 199,969.3 - 567,745.0
<= $100MM 217,045.9 * 315,252.3
> $100MM - * -
NUMBER OF TRADES 201 * 547
Customer Buy 68 * 186
Customer Sell 120 * 266
Dealer to Dealer 13 - 95
<= $1MM 130 - 360
<= $10MM 59 - 166
<= $100MM 12 * 21
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 68.5 * 98.5
Weighted Avg. Price 97.8 * 99.9
Avg. Price Bottom 5 Trades 9.1 * 89.4
2nd Quartile Price 48.3 * 98.5
3rd Quartile Price 71.6 * 99.6
4th Quartile Price 87.4 * 100.5
Avg. Price Top 5 Trades 145.7 * 103.8
Standard Deviation 25.2 * 3.9
VOLUME OF TRADES (000'S) 96,243.4 * 98,383.2
Customer Buy 20,715.7 * 43,964.8
Customer Sell 70,210.1 * 42,932.2
Dealer to Dealer 5,317.5 - 11,486.2
<= $1MM 11,362.8 * 17,121.8
<= $10MM 70,244.2 - 67,280.6
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 270 * 59
Customer Buy 141 * 29
Customer Sell 89 * 17
Dealer to Dealer 40 - 13
<= $1MM 245 * 36
<= $10MM 24 - 22
<= $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 85.8 - - 96.4
Weighted Avg. Price 87.7 - - 96.0
Avg. Price Bottom 5 Trades 74.8 - - 78.1
2nd Quartile Price 82.0 - - 97.3
3rd Quartile Price 89.3 - - 99.5
4th Quartile Price 93.5 - - 100.3
Avg. Price Top 5 Trades 96.3 - - 102.8
Standard Deviation 8.4 - - 6.4
VOLUME OF TRADES (000'S) 425.2 - - 450,598.9
Customer Buy 77.9 - - 212,339.9
Customer Sell 338.8 - - 195,908.3
Dealer to Dealer 8.5 - - 42,350.7
<= $1MM 425.2 - - 33,583.6
<= $10MM - - - 199,969.3
<= $100MM - - - 217,045.9
> $100MM - - - -
NUMBER OF TRADES 26 - - 175
Customer Buy 10 - - 58
Customer Sell 11 - - 109
Dealer to Dealer 5 - - 8
<= $1MM 26 - - 104
<= $10MM - - - 59
<= $100MM - - - 12
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.9 - * 98.1
Weighted Avg. Price 98.8 - * 97.5
Avg. Price Bottom 5 Trades 9.1 - * 93.4
2nd Quartile Price 47.4 - * 97.1
3rd Quartile Price 69.0 - * 99.4
4th Quartile Price 85.0 - * 100.2
Avg. Price Top 5 Trades 145.7 - * 100.7
Standard Deviation 24.6 - * 4.3
VOLUME OF TRADES (000'S) 35,291.0 - * 59,239.4
Customer Buy 9,349.2 - * 10,510.0
Customer Sell 25,449.6 - * 43,904.1
Dealer to Dealer 492.2 - - *
<= $1MM 6,205.4 - * 3,444.4
<= $10MM 29,085.6 - - 41,158.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 248 - * 20
Customer Buy 135 - * 5
Customer Sell 74 - * 14
Dealer to Dealer 39 - - *
<= $1MM 236 - * 7
<= $10MM 12 - - 12
<= $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.

Effective January 10th, 2026 the “Structured Trading Activity Report”, “CBO/CDO/CLO” row and the “CBO/CDO/CLO” Pricing Table was revised for the As Of Dates of December 1, 2025 through December 12, 2025. This was due to an issue where trades were not being classified into the CBO/CDO/CLO NON-AAA IG bucket when those reports were first published.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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