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 93.0 - 99.7
Weighted Avg. Price 97.6 - 100.2
Avg. Price Bottom 5 Trades 70.2 - 80.2
2nd Quartile Price 86.9 - 99.7
3rd Quartile Price 96.7 - 100.4
4th Quartile Price 100.6 - 100.9
Avg. Price Top 5 Trades 103.1 - 103.6
Standard Deviation 8.9 - 3.2
VOLUME OF TRADES (000'S) 434,778.2 - 1,191,026.9
Customer Buy 140,938.7 - 616,055.3
Customer Sell 283,305.3 - 543,251.7
Dealer to Dealer 10,534.2 - 31,719.9
<= $1MM 10,430.5 - 54,653.2
<= $10MM 224,317.6 - 345,816.0
<= $100MM 200,030.1 - 790,557.7
> $100MM - - -
NUMBER OF TRADES 130 - 437
Customer Buy 51 - 142
Customer Sell 55 - 222
Dealer to Dealer 24 - 73
<= $1MM 68 - 306
<= $10MM 50 - 96
<= $100MM 12 - 35
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 111.8 * 90.9
Weighted Avg. Price 10.8 * 97.7
Avg. Price Bottom 5 Trades 4.1 * 10.6
2nd Quartile Price 44.0 * 93.9
3rd Quartile Price 81.5 * 100.1
4th Quartile Price 91.0 * 100.9
Avg. Price Top 5 Trades 1,919.2 * 108.0
Standard Deviation 463.4 * 25.5
VOLUME OF TRADES (000'S) 1,281,426.0 * 436,983.6
Customer Buy 623,776.1 * 188,437.1
Customer Sell 651,020.8 * 221,986.6
Dealer to Dealer 6,629.1 - 26,559.9
<= $1MM 11,648.8 - 10,872.8
<= $10MM 128,130.8 - 123,282.5
<= $100MM 139,629.0 * 302,828.2
> $100MM * * -
NUMBER OF TRADES 214 * 69
Customer Buy 85 * 32
Customer Sell 86 * 26
Dealer to Dealer 43 - 11
<= $1MM 167 - 26
<= $10MM 37 - 31
<= $100MM 6 * 12
> $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 85.5 - * 96.1
Weighted Avg. Price 87.1 - * 97.6
Avg. Price Bottom 5 Trades 73.9 - * 71.7
2nd Quartile Price 86.0 - * 91.2
3rd Quartile Price 86.9 - * 100.5
4th Quartile Price 89.0 - * 100.9
Avg. Price Top 5 Trades 89.6 - * 103.1
Standard Deviation 5.4 - * 8.4
VOLUME OF TRADES (000'S) 411.6 - * 433,047.3
Customer Buy 141.6 - * 139,477.8
Customer Sell * - - 283,301.4
Dealer to Dealer 266.1 - - 10,268.1
<= $1MM 411.6 - * 8,699.6
<= $10MM - - - 224,317.6
<= $100MM - - - 200,030.1
> $100MM - - - -
NUMBER OF TRADES 37 - * 90
Customer Buy 15 - * 33
Customer Sell * - - 52
Dealer to Dealer 19 - - 5
<= $1MM 37 - * 28
<= $10MM - - - 50
<= $100MM - - - 12
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 73.8 * * 343.9
Weighted Avg. Price 88.7 * * 7.0
Avg. Price Bottom 5 Trades 14.0 * * 8.3
2nd Quartile Price 45.2 * * 27.7
3rd Quartile Price 80.9 * * 97.2
4th Quartile Price 90.0 * * 101.0
Avg. Price Top 5 Trades 228.0 * * 1,491.0
Standard Deviation 49.9 * * 1,223.4
VOLUME OF TRADES (000'S) 54,376.0 * * 1,222,898.9
Customer Buy 19,642.6 * - 604,080.7
Customer Sell 28,104.4 * * 618,818.3
Dealer to Dealer 6,629.1 - - -
<= $1MM 11,541.2 * - *
<= $10MM 42,834.8 - * 81,250.6
<= $100MM - - - 139,629.0
> $100MM - - - *
NUMBER OF TRADES 181 * * 30
Customer Buy 71 * - 13
Customer Sell 67 * * 17
Dealer to Dealer 43 - - -
<= $1MM 163 * - *
<= $10MM 18 - * 18
<= $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 - - - *
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].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 8.12.3.20251231   © 2026 Intercontinental Exchange, Inc. All Rights Reserved.