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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 96.2 - 98.7
Weighted Avg. Price 98.5 - 99.4
Avg. Price Bottom 5 Trades 84.2 - 90.5
2nd Quartile Price 93.0 - 98.2
3rd Quartile Price 99.0 - 99.4
4th Quartile Price 99.7 - 100.1
Avg. Price Top 5 Trades 100.2 - 100.8
Standard Deviation 5.1 - 2.2
VOLUME OF TRADES (000'S) 157,310.3 - 163,535.6
Customer Buy 99,800.1 - 66,506.3
Customer Sell 55,981.7 - 79,590.1
Dealer to Dealer 1,528.5 - 17,439.3
<= $1MM 8,087.3 - 17,606.3
<= $10MM 64,071.8 - 107,265.3
<= $100MM 85,151.2 - *
> $100MM - - -
NUMBER OF TRADES 50 - 153
Customer Buy 28 - 47
Customer Sell 17 - 84
Dealer to Dealer 5 - 22
<= $1MM 24 - 126
<= $10MM 20 - 24
<= $100MM 6 - *
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 70.5 - 96.8
Weighted Avg. Price 96.1 - 100.0
Avg. Price Bottom 5 Trades 23.7 - 78.5
2nd Quartile Price 51.0 - 99.5
3rd Quartile Price 80.0 - 100.7
4th Quartile Price 91.8 - 101.2
Avg. Price Top 5 Trades 100.1 - 103.0
Standard Deviation 24.6 - 14.6
VOLUME OF TRADES (000'S) 46,726.6 - 229,425.4
Customer Buy 24,577.5 - 111,233.2
Customer Sell 21,898.4 - 118,189.6
Dealer to Dealer 250.7 - *
<= $1MM 539.2 - *
<= $10MM 46,187.4 - 43,255.2
<= $100MM - - 185,088.5
> $100MM - - -
NUMBER OF TRADES 74 - 27
Customer Buy 29 - 12
Customer Sell 25 - 14
Dealer to Dealer 20 - *
<= $1MM 64 - *
<= $10MM 10 - 17
<= $100MM - - 6
> $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 90.4 - - 97.3
Weighted Avg. Price 90.9 - - 98.5
Avg. Price Bottom 5 Trades 89.4 - - 88.2
2nd Quartile Price 87.4 - - 98.0
3rd Quartile Price 93.0 - - 99.4
4th Quartile Price 93.0 - - 99.8
Avg. Price Top 5 Trades 91.6 - - 100.2
Standard Deviation 4.9 - - 4.4
VOLUME OF TRADES (000'S) 24.1 - - 157,286.2
Customer Buy - - - 99,800.1
Customer Sell 7.5 - - 55,974.2
Dealer to Dealer * - - *
<= $1MM 24.1 - - 8,063.3
<= $10MM - - - 64,071.8
<= $100MM - - - 85,151.2
> $100MM - - - -
NUMBER OF TRADES 8 - - 42
Customer Buy - - - 28
Customer Sell 5 - - 12
Dealer to Dealer * - - *
<= $1MM 8 - - 16
<= $10MM - - - 20
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.4 - - 96.5
Weighted Avg. Price 60.0 - - 96.5
Avg. Price Bottom 5 Trades 23.7 - - 93.0
2nd Quartile Price 49.6 - - 94.8
3rd Quartile Price 73.8 - - 100.1
4th Quartile Price 87.0 - - 100.2
Avg. Price Top 5 Trades 97.6 - - 100.1
Standard Deviation 23.9 - - 5.2
VOLUME OF TRADES (000'S) 539.2 - - 46,187.4
Customer Buy 204.3 - - 24,373.3
Customer Sell 84.2 - - *
Dealer to Dealer 250.7 - - -
<= $1MM 539.2 - - -
<= $10MM - - - 46,187.4
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 64 - - 10
Customer Buy 23 - - 6
Customer Sell 21 - - *
Dealer to Dealer 20 - - -
<= $1MM 64 - - -
<= $10MM - - - 10
<= $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.

Effective April 25th, 2026, the “Structured Trading Activity Report” and “Daily CMBS Pricing Tables” were revised for the as-of dates of February 23, 2026, through February 26, 2026. This revision was due to an issue with incorrect factors that primarily impacted the “OTHER CMBS HY (P&I)” bucket.

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