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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 92.0 - 100.3
Weighted Avg. Price 97.4 - 100.2
Avg. Price Bottom 5 Trades 68.3 - 90.4
2nd Quartile Price 87.0 - 99.9
3rd Quartile Price 92.7 - 100.4
4th Quartile Price 99.2 - 101.0
Avg. Price Top 5 Trades 101.6 - 103.5
Standard Deviation 8.2 - 1.6
VOLUME OF TRADES (000'S) 326,398.3 - 894,571.0
Customer Buy 174,203.8 - 439,366.7
Customer Sell 113,358.4 - 345,866.8
Dealer to Dealer 38,836.1 - 109,337.4
<= $1MM 19,369.8 - 63,940.1
<= $10MM 108,932.4 - 488,634.6
<= $100MM 198,096.1 - 341,996.2
> $100MM - - -
NUMBER OF TRADES 140 - 513
Customer Buy 41 - 206
Customer Sell 79 - 239
Dealer to Dealer 20 - 68
<= $1MM 105 - 353
<= $10MM 24 - 142
<= $100MM 11 - 18
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 65.6 37.9 99.4
Weighted Avg. Price 80.5 19.4 98.6
Avg. Price Bottom 5 Trades 10.6 24.1 91.8
2nd Quartile Price 43.2 12.9 96.9
3rd Quartile Price 71.0 72.4 100.8
4th Quartile Price 90.0 72.5 102.1
Avg. Price Top 5 Trades 103.3 43.3 104.1
Standard Deviation 26.0 32.4 3.6
VOLUME OF TRADES (000'S) 318,027.6 4,396.6 234,341.2
Customer Buy 139,156.3 * 116,686.3
Customer Sell 176,645.9 * 113,095.6
Dealer to Dealer 2,225.4 * 4,559.3
<= $1MM 15,808.1 549.8 6,353.0
<= $10MM 135,649.1 * 172,840.8
<= $100MM 166,570.5 - *
> $100MM - - -
NUMBER OF TRADES 305 7 78
Customer Buy 75 * 36
Customer Sell 152 * 33
Dealer to Dealer 78 * 9
<= $1MM 254 6 26
<= $10MM 41 * 48
<= $100MM 10 - *
> $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 89.2 * 95.0 92.9
Weighted Avg. Price 89.7 * 93.8 97.4
Avg. Price Bottom 5 Trades 71.3 * 92.6 82.6
2nd Quartile Price 86.8 * 92.7 86.6
3rd Quartile Price 93.9 * 96.1 92.1
4th Quartile Price 95.0 * 98.0 100.7
Avg. Price Top 5 Trades 98.0 * 97.6 101.6
Standard Deviation 10.8 * 2.8 7.1
VOLUME OF TRADES (000'S) 329.4 * 1,006.4 324,605.5
Customer Buy 105.3 - * 173,987.3
Customer Sell 67.9 * 895.2 111,938.4
Dealer to Dealer 156.2 - - 38,679.9
<= $1MM 329.4 * 1,006.4 17,577.0
<= $10MM - - - 108,932.4
<= $100MM - - - 198,096.1
> $100MM - - - -
NUMBER OF TRADES 39 * 12 87
Customer Buy 11 - * 27
Customer Sell 14 * 9 54
Dealer to Dealer 14 - - 6
<= $1MM 39 * 12 52
<= $10MM - - - 24
<= $100MM - - - 11
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 61.6 - * 93.0
Weighted Avg. Price 64.8 - * 91.4
Avg. Price Bottom 5 Trades 10.6 - * 62.3
2nd Quartile Price 40.9 - * 95.3
3rd Quartile Price 60.1 - * 100.4
4th Quartile Price 84.0 - * 101.8
Avg. Price Top 5 Trades 102.9 - * 102.1
Standard Deviation 24.9 - * 14.1
VOLUME OF TRADES (000'S) 131,161.1 - * 186,857.6
Customer Buy 62,524.7 - * 76,627.2
Customer Sell 66,411.0 - * 110,230.4
Dealer to Dealer 2,225.4 - - -
<= $1MM 11,023.9 - * 4,775.3
<= $10MM 67,777.3 - - 67,871.8
<= $100MM * - - 114,210.5
> $100MM - - - -
NUMBER OF TRADES 266 - * 37
Customer Buy 57 - * 17
Customer Sell 131 - * 20
Dealer to Dealer 78 - - -
<= $1MM 245 - * 7
<= $10MM 17 - - 24
<= $100MM * - - 6
> $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 41.5 * - -
Weighted Avg. Price 38.3 * - -
Avg. Price Bottom 5 Trades 41.5 * - -
2nd Quartile Price * * - -
3rd Quartile Price * * - -
4th Quartile Price * * - -
Avg. Price Top 5 Trades 41.5 * - -
Standard Deviation 34.0 * - -
VOLUME OF TRADES (000'S) 549.8 * - -
Customer Buy * - - -
Customer Sell * * - -
Dealer to Dealer * - - -
<= $1MM 549.8 - - -
<= $10MM - * - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 6 * - -
Customer Buy * - - -
Customer Sell * * - -
Dealer to Dealer * - - -
<= $1MM 6 - - -
<= $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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