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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 95.2 - 100.4
Weighted Avg. Price 97.5 - 100.4
Avg. Price Bottom 5 Trades 74.8 - 91.8
2nd Quartile Price 90.3 - 100.1
3rd Quartile Price 98.3 - 100.5
4th Quartile Price 100.7 - 101.1
Avg. Price Top 5 Trades 101.8 - 103.5
Standard Deviation 7.1 - 1.7
VOLUME OF TRADES (000'S) 413,923.7 - 954,897.1
Customer Buy 179,718.6 - 422,066.8
Customer Sell 222,891.4 - 401,098.9
Dealer to Dealer 11,313.6 - 131,731.3
<= $1MM 13,992.3 - 46,756.3
<= $10MM 271,948.4 - 400,784.0
<= $100MM 127,983.1 - 507,356.8
> $100MM - - -
NUMBER OF TRADES 131 - 327
Customer Buy 52 - 110
Customer Sell 58 - 165
Dealer to Dealer 21 - 52
<= $1MM 71 - 186
<= $10MM 50 - 118
<= $100MM 10 - 23
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 72.0 * 81.1
Weighted Avg. Price 86.6 * 98.3
Avg. Price Bottom 5 Trades 13.1 * 17.3
2nd Quartile Price 52.3 * 78.1
3rd Quartile Price 81.0 * 99.6
4th Quartile Price 93.5 * 100.7
Avg. Price Top 5 Trades 102.0 * 106.2
Standard Deviation 25.6 * 33.0
VOLUME OF TRADES (000'S) 124,328.7 * 142,075.5
Customer Buy 70,960.0 * 57,575.0
Customer Sell 50,800.1 - 83,329.7
Dealer to Dealer 2,568.6 - *
<= $1MM 10,249.7 - 13,066.0
<= $10MM 81,688.6 - 102,864.5
<= $100MM * * *
> $100MM - - -
NUMBER OF TRADES 213 * 55
Customer Buy 53 * 26
Customer Sell 74 - 27
Dealer to Dealer 86 - *
<= $1MM 188 - 31
<= $10MM 23 - 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 92.6 - - 95.9
Weighted Avg. Price 97.5 - - 97.5
Avg. Price Bottom 5 Trades 85.6 - - 75.2
2nd Quartile Price 90.0 - - 90.7
3rd Quartile Price 92.5 - - 100.3
4th Quartile Price 96.5 - - 101.2
Avg. Price Top 5 Trades 98.5 - - 101.8
Standard Deviation 4.9 - - 7.4
VOLUME OF TRADES (000'S) 682.2 - - 413,241.4
Customer Buy 380.2 - - 179,338.5
Customer Sell 77.6 - - 222,813.9
Dealer to Dealer 224.5 - - 11,089.1
<= $1MM 682.2 - - 13,310.0
<= $10MM - - - 271,948.4
<= $100MM - - - 127,983.1
> $100MM - - - -
NUMBER OF TRADES 28 - - 103
Customer Buy 11 - - 41
Customer Sell 7 - - 51
Dealer to Dealer 10 - - 11
<= $1MM 28 - - 43
<= $10MM - - - 50
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.3 - * 98.9
Weighted Avg. Price 53.6 - * 99.9
Avg. Price Bottom 5 Trades 13.1 - * 94.4
2nd Quartile Price 45.3 - * 98.1
3rd Quartile Price 77.0 - * 100.6
4th Quartile Price 91.9 - * 100.9
Avg. Price Top 5 Trades 100.7 - * 101.6
Standard Deviation 25.3 - * 3.7
VOLUME OF TRADES (000'S) 35,390.7 - * 84,892.7
Customer Buy 13,275.1 - * 53,639.6
Customer Sell 19,546.9 - - 31,253.1
Dealer to Dealer 2,568.6 - - -
<= $1MM 7,249.7 - - *
<= $10MM 28,140.9 - * 49,502.3
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 194 - * 18
Customer Buy 43 - * 9
Customer Sell 65 - - 9
Dealer to Dealer 86 - - -
<= $1MM 185 - - *
<= $10MM 9 - * 13
<= $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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