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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 93.4 - 99.2
Weighted Avg. Price 91.7 - 100.0
Avg. Price Bottom 5 Trades 80.5 - 93.3
2nd Quartile Price 87.0 - 98.7
3rd Quartile Price 98.3 - 99.5
4th Quartile Price 99.5 - 100.1
Avg. Price Top 5 Trades 100.6 - 102.3
Standard Deviation 7.1 - 1.4
VOLUME OF TRADES (000'S) 322,338.5 - 508,591.6
Customer Buy 203,372.9 - 229,337.4
Customer Sell 111,470.2 - 222,713.3
Dealer to Dealer 7,495.4 - 56,540.9
<= $1MM 14,580.2 - 38,152.6
<= $10MM 196,080.1 - 190,347.3
<= $100MM 111,678.2 - 280,091.7
> $100MM - - -
NUMBER OF TRADES 104 - 337
Customer Buy 50 - 103
Customer Sell 44 - 171
Dealer to Dealer 10 - 63
<= $1MM 48 - 262
<= $10MM 50 - 62
<= $100MM 6 - 13
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.6 * 96.1
Weighted Avg. Price 101.5 * 99.8
Avg. Price Bottom 5 Trades 14.3 * 87.9
2nd Quartile Price 51.5 * 92.9
3rd Quartile Price 75.0 * 98.9
4th Quartile Price 88.0 * 100.1
Avg. Price Top 5 Trades 106.0 * 101.2
Standard Deviation 24.8 * 5.1
VOLUME OF TRADES (000'S) 105,067.8 * 45,211.3
Customer Buy 57,125.1 - 26,450.8
Customer Sell 47,056.5 * 18,760.5
Dealer to Dealer 886.2 - -
<= $1MM 4,482.6 * 3,660.9
<= $10MM 39,597.9 * 21,550.3
<= $100MM 60,987.4 - *
> $100MM - - -
NUMBER OF TRADES 140 * 30
Customer Buy 34 - 7
Customer Sell 57 * 23
Dealer to Dealer 49 - -
<= $1MM 125 * 23
<= $10MM 10 * 6
<= $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 88.7 - * 94.5
Weighted Avg. Price 91.2 - * 91.7
Avg. Price Bottom 5 Trades 85.5 - * 80.5
2nd Quartile Price 86.1 - * 91.0
3rd Quartile Price 88.1 - * 98.8
4th Quartile Price 91.2 - * 99.8
Avg. Price Top 5 Trades 92.1 - * 100.6
Standard Deviation 3.6 - * 7.3
VOLUME OF TRADES (000'S) 41.9 - * 319,671.6
Customer Buy * - * 203,110.6
Customer Sell 20.4 - * 109,074.8
Dealer to Dealer 9.2 - - 7,486.2
<= $1MM 41.9 - * 14,288.3
<= $10MM - - * 193,705.1
<= $100MM - - - 111,678.2
> $100MM - - - -
NUMBER OF TRADES 17 - * 85
Customer Buy * - * 47
Customer Sell 10 - * 33
Dealer to Dealer 5 - - 5
<= $1MM 17 - * 30
<= $10MM - - * 49
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.7 - - 99.8
Weighted Avg. Price 104.3 - - 100.0
Avg. Price Bottom 5 Trades 14.3 - - 98.9
2nd Quartile Price 50.1 - - 99.0
3rd Quartile Price 70.3 - - 100.1
4th Quartile Price 84.0 - - 100.3
Avg. Price Top 5 Trades 103.3 - - 100.4
Standard Deviation 23.9 - - 0.8
VOLUME OF TRADES (000'S) 37,129.3 - - 67,938.5
Customer Buy 20,166.1 - - 36,959.0
Customer Sell 16,077.0 - - 30,979.5
Dealer to Dealer 886.2 - - -
<= $1MM 3,242.1 - - *
<= $10MM * - - 33,034.0
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 128 - - 12
Customer Buy 28 - - 6
Customer Sell 51 - - 6
Dealer to Dealer 49 - - -
<= $1MM 123 - - *
<= $10MM * - - 7
<= $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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