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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 93.6 * 99.4
Weighted Avg. Price 97.4 * 100.0
Avg. Price Bottom 5 Trades 77.3 * 84.9
2nd Quartile Price 88.0 * 99.4
3rd Quartile Price 97.3 * 100.1
4th Quartile Price 99.6 * 100.5
Avg. Price Top 5 Trades 101.9 * 102.6
Standard Deviation 7.3 * 2.7
VOLUME OF TRADES (000'S) 411,996.2 * 1,167,319.2
Customer Buy 239,775.8 * 606,457.2
Customer Sell 169,793.4 - 542,404.0
Dealer to Dealer 2,426.9 - 18,458.1
<= $1MM 17,532.6 - 66,865.4
<= $10MM 93,555.1 - 567,609.1
<= $100MM 300,908.4 - 532,844.7
> $100MM - * -
NUMBER OF TRADES 122 * 423
Customer Buy 41 * 175
Customer Sell 71 - 219
Dealer to Dealer 10 - 29
<= $1MM 84 - 245
<= $10MM 24 - 146
<= $100MM 14 - 32
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 72.8 * 95.2
Weighted Avg. Price 68.1 * 80.2
Avg. Price Bottom 5 Trades 8.5 * 58.4
2nd Quartile Price 55.5 * 96.5
3rd Quartile Price 80.0 * 98.8
4th Quartile Price 93.0 * 100.5
Avg. Price Top 5 Trades 118.5 * 102.8
Standard Deviation 26.7 * 15.6
VOLUME OF TRADES (000'S) 104,972.2 * 188,795.2
Customer Buy 52,971.5 - 88,601.5
Customer Sell 49,598.5 * 99,536.8
Dealer to Dealer 2,402.3 - 656.9
<= $1MM 16,447.1 * 9,012.7
<= $10MM 32,438.6 - 96,378.5
<= $100MM * - 83,404.0
> $100MM - - -
NUMBER OF TRADES 197 * 67
Customer Buy 60 - 31
Customer Sell 90 * 27
Dealer to Dealer 47 - 9
<= $1MM 182 * 40
<= $10MM 11 - 22
<= $100MM * - 5
> $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 85.2 * - 95.6
Weighted Avg. Price 89.0 * - 97.4
Avg. Price Bottom 5 Trades 77.9 * - 82.4
2nd Quartile Price 81.1 * - 92.7
3rd Quartile Price 88.1 * - 98.8
4th Quartile Price 91.3 * - 99.9
Avg. Price Top 5 Trades 91.6 * - 101.9
Standard Deviation 6.9 * - 6.0
VOLUME OF TRADES (000'S) 101.6 * - 411,783.4
Customer Buy 23.6 * - 239,696.6
Customer Sell 39.5 * - 169,698.4
Dealer to Dealer 38.5 - - *
<= $1MM 101.6 * - 17,319.8
<= $10MM - - - 93,555.1
<= $100MM - - - 300,908.4
> $100MM - - - -
NUMBER OF TRADES 23 * - 97
Customer Buy 5 * - 35
Customer Sell 9 * - 61
Dealer to Dealer 9 - - *
<= $1MM 23 * - 59
<= $10MM - - - 24
<= $100MM - - - 14
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.4 * * 98.0
Weighted Avg. Price 29.0 * * 97.7
Avg. Price Bottom 5 Trades 8.5 * * 88.8
2nd Quartile Price 51.5 * * 99.5
3rd Quartile Price 78.7 * * 100.1
4th Quartile Price 88.0 * * 101.1
Avg. Price Top 5 Trades 118.5 * * 101.7
Standard Deviation 26.7 * * 7.4
VOLUME OF TRADES (000'S) 45,037.3 * * 58,981.8
Customer Buy 19,956.9 - - 33,014.6
Customer Sell 22,678.1 * * 25,967.2
Dealer to Dealer 2,402.3 - - -
<= $1MM 10,480.1 * * 5,013.9
<= $10MM * - - 24,263.4
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 170 * * 23
Customer Buy 51 - - 9
Customer Sell 72 * * 14
Dealer to Dealer 47 - - -
<= $1MM 164 * * 14
<= $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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