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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 96.3 * 100.3
Weighted Avg. Price 94.2 * 100.7
Avg. Price Bottom 5 Trades 71.7 * 92.8
2nd Quartile Price 96.4 * 100.1
3rd Quartile Price 100.1 * 100.5
4th Quartile Price 100.9 * 101.0
Avg. Price Top 5 Trades 101.8 * 104.5
Standard Deviation 9.8 * 1.6
VOLUME OF TRADES (000'S) 421,459.3 * 854,867.3
Customer Buy 181,900.9 * 464,689.9
Customer Sell 210,803.0 - 361,428.7
Dealer to Dealer 28,755.3 - 28,748.7
<= $1MM 19,142.3 - 53,537.1
<= $10MM 187,133.6 - 427,804.0
<= $100MM 215,183.3 * 373,526.1
> $100MM - - -
NUMBER OF TRADES 103 * 377
Customer Buy 50 * 156
Customer Sell 47 - 201
Dealer to Dealer 6 - 20
<= $1MM 47 - 231
<= $10MM 47 - 128
<= $100MM 9 * 18
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 69.4 * 94.7
Weighted Avg. Price 100.0 * 100.2
Avg. Price Bottom 5 Trades 9.8 * 18.7
2nd Quartile Price 50.0 * 97.0
3rd Quartile Price 75.0 * 100.3
4th Quartile Price 88.8 * 102.1
Avg. Price Top 5 Trades 102.6 * 104.8
Standard Deviation 24.3 * 21.5
VOLUME OF TRADES (000'S) 217,876.0 * 330,752.5
Customer Buy 76,329.5 * 149,145.9
Customer Sell 141,134.0 - 160,695.9
Dealer to Dealer 412.5 - 20,910.7
<= $1MM 3,877.3 * 8,762.1
<= $10MM 58,428.2 - 197,795.4
<= $100MM 155,570.5 - 124,195.0
> $100MM - - -
NUMBER OF TRADES 152 * 82
Customer Buy 53 * 27
Customer Sell 55 - 45
Dealer to Dealer 44 - 10
<= $1MM 134 * 32
<= $10MM 13 - 43
<= $100MM 5 - 7
> $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 78.2 - * 97.9
Weighted Avg. Price 82.4 - * 94.2
Avg. Price Bottom 5 Trades 76.2 - * 82.1
2nd Quartile Price 82.8 - * 99.4
3rd Quartile Price 84.6 - * 100.3
4th Quartile Price 90.0 - * 101.0
Avg. Price Top 5 Trades 86.6 - * 101.8
Standard Deviation 23.8 - * 5.7
VOLUME OF TRADES (000'S) 22.3 - * 420,184.1
Customer Buy * - * 180,647.3
Customer Sell * - - 210,792.8
Dealer to Dealer * - - *
<= $1MM 22.3 - - 19,120.0
<= $10MM - - * 185,880.8
<= $100MM - - - 215,183.3
> $100MM - - - -
NUMBER OF TRADES 8 - * 94
Customer Buy * - * 48
Customer Sell * - - 43
Dealer to Dealer * - - *
<= $1MM 8 - - 39
<= $10MM - - * 46
<= $100MM - - - 9
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.9 - * 95.9
Weighted Avg. Price 65.4 - * 100.3
Avg. Price Bottom 5 Trades 9.8 - * 80.1
2nd Quartile Price 47.5 - * 97.5
3rd Quartile Price 71.2 - * 100.5
4th Quartile Price 83.5 - * 101.8
Avg. Price Top 5 Trades 95.4 - * 102.6
Standard Deviation 22.8 - * 14.1
VOLUME OF TRADES (000'S) 1,390.1 - * 208,130.6
Customer Buy 622.6 - * 71,529.2
Customer Sell 354.9 - * 136,601.4
Dealer to Dealer 412.5 - - -
<= $1MM 1,390.1 - - *
<= $10MM - - * 50,072.9
<= $100MM - - - 155,570.5
> $100MM - - - -
NUMBER OF TRADES 130 - * 20
Customer Buy 44 - * 8
Customer Sell 42 - * 12
Dealer to Dealer 44 - - -
<= $1MM 130 - - *
<= $10MM - - * 11
<= $100MM - - - 5
> $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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