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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 88.1 - 99.9
Weighted Avg. Price 97.3 - 99.7
Avg. Price Bottom 5 Trades 62.4 - 85.3
2nd Quartile Price 80.9 - 99.6
3rd Quartile Price 89.8 - 100.4
4th Quartile Price 98.8 - 100.9
Avg. Price Top 5 Trades 104.4 - 104.5
Standard Deviation 11.2 - 2.7
VOLUME OF TRADES (000'S) 458,859.2 - 792,042.6
Customer Buy 159,249.9 - 385,878.9
Customer Sell 268,696.7 - 372,345.6
Dealer to Dealer 30,912.5 - 33,818.2
<= $1MM 17,279.8 - 41,771.3
<= $10MM 206,744.9 - 440,153.4
<= $100MM 234,834.4 - 310,118.0
> $100MM - - -
NUMBER OF TRADES 295 - 342
Customer Buy 129 - 147
Customer Sell 146 - 148
Dealer to Dealer 20 - 47
<= $1MM 243 - 217
<= $10MM 42 - 106
<= $100MM 10 - 19
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.1 - 90.2
Weighted Avg. Price 99.3 - 81.2
Avg. Price Bottom 5 Trades 17.7 - 4.6
2nd Quartile Price 45.8 - 98.0
3rd Quartile Price 77.0 - 100.4
4th Quartile Price 90.1 - 101.8
Avg. Price Top 5 Trades 101.6 - 104.8
Standard Deviation 24.6 - 26.8
VOLUME OF TRADES (000'S) 151,725.5 - 68,780.6
Customer Buy 70,571.4 - 28,060.6
Customer Sell 80,640.1 - 40,531.0
Dealer to Dealer 513.9 - *
<= $1MM 5,821.6 - 6,783.3
<= $10MM 38,903.9 - 61,997.3
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 183 - 65
Customer Buy 57 - 32
Customer Sell 90 - 31
Dealer to Dealer 36 - *
<= $1MM 171 - 50
<= $10MM 10 - 15
<= $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 85.3 - * 88.6
Weighted Avg. Price 95.2 - * 97.3
Avg. Price Bottom 5 Trades 80.8 - * 62.4
2nd Quartile Price 81.6 - * 80.0
3rd Quartile Price 82.0 - * 90.3
4th Quartile Price 92.6 - * 99.5
Avg. Price Top 5 Trades 94.5 - * 104.4
Standard Deviation 6.3 - * 11.6
VOLUME OF TRADES (000'S) 87.5 - * 458,743.7
Customer Buy 60.3 - * 159,175.6
Customer Sell 15.3 - * 268,667.4
Dealer to Dealer 11.8 - - 30,900.7
<= $1MM 87.5 - * 17,164.3
<= $10MM - - - 206,744.9
<= $100MM - - - 234,834.4
> $100MM - - - -
NUMBER OF TRADES 27 - * 264
Customer Buy 5 - * 122
Customer Sell 11 - * 133
Dealer to Dealer 11 - - 9
<= $1MM 27 - * 212
<= $10MM - - - 42
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.1 - - 85.5
Weighted Avg. Price 87.5 - - 100.5
Avg. Price Bottom 5 Trades 17.7 - - 55.1
2nd Quartile Price 44.0 - - 76.5
3rd Quartile Price 72.0 - - 99.0
4th Quartile Price 87.5 - - 100.7
Avg. Price Top 5 Trades 100.1 - - 101.6
Standard Deviation 24.4 - - 18.2
VOLUME OF TRADES (000'S) 14,280.7 - - 137,444.8
Customer Buy 3,844.2 - - 66,727.2
Customer Sell 9,922.6 - - 70,717.6
Dealer to Dealer 513.9 - - -
<= $1MM 5,519.5 - - 302.1
<= $10MM * - - 30,142.7
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 156 - - 27
Customer Buy 43 - - 14
Customer Sell 77 - - 13
Dealer to Dealer 36 - - -
<= $1MM 153 - - 18
<= $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.

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