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 96.0 - 99.1
Weighted Avg. Price 98.4 - 100.0
Avg. Price Bottom 5 Trades 81.2 - 86.9
2nd Quartile Price 92.0 - 98.8
3rd Quartile Price 99.3 - 99.8
4th Quartile Price 99.9 - 100.4
Avg. Price Top 5 Trades 100.8 - 102.0
Standard Deviation 5.5 - 2.4
VOLUME OF TRADES (000'S) 306,601.7 - 966,811.6
Customer Buy 161,383.8 - 663,151.9
Customer Sell 132,133.9 - 263,891.6
Dealer to Dealer 13,084.1 - 39,768.1
<= $1MM 13,336.7 - 28,403.1
<= $10MM 214,264.5 - 467,278.3
<= $100MM 79,000.5 - 471,130.2
> $100MM - - -
NUMBER OF TRADES 131 - 434
Customer Buy 64 - 134
Customer Sell 45 - 211
Dealer to Dealer 22 - 89
<= $1MM 65 - 281
<= $10MM 60 - 131
<= $100MM 6 - 22
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 69.9 10.7 96.3
Weighted Avg. Price 90.9 6.0 99.4
Avg. Price Bottom 5 Trades 14.2 10.7 51.3
2nd Quartile Price 49.3 * 98.2
3rd Quartile Price 78.0 * 99.8
4th Quartile Price 90.0 * 101.4
Avg. Price Top 5 Trades 105.6 10.7 104.5
Standard Deviation 24.9 2.6 15.4
VOLUME OF TRADES (000'S) 56,577.6 47,480.7 224,706.6
Customer Buy 27,681.1 * 95,229.2
Customer Sell 22,441.4 * 111,692.7
Dealer to Dealer 6,455.1 * 17,784.7
<= $1MM 3,586.9 116.9 12,043.9
<= $10MM 52,990.7 - 136,953.9
<= $100MM - * 75,708.7
> $100MM - - -
NUMBER OF TRADES 159 6 82
Customer Buy 59 * 35
Customer Sell 61 * 34
Dealer to Dealer 39 * 13
<= $1MM 147 5 41
<= $10MM 12 - 36
<= $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 91.2 - - 97.1
Weighted Avg. Price 98.4 - - 98.4
Avg. Price Bottom 5 Trades 83.0 - - 83.0
2nd Quartile Price 88.0 - - 95.0
3rd Quartile Price 92.0 - - 99.5
4th Quartile Price 97.5 - - 100.1
Avg. Price Top 5 Trades 98.4 - - 100.8
Standard Deviation 6.3 - - 4.7
VOLUME OF TRADES (000'S) 2,107.3 - - 304,494.4
Customer Buy 1,377.1 - - 160,006.7
Customer Sell 692.4 - - 131,441.5
Dealer to Dealer 37.9 - - 13,046.2
<= $1MM 2,107.3 - - 11,229.4
<= $10MM - - - 214,264.5
<= $100MM - - - 79,000.5
> $100MM - - - -
NUMBER OF TRADES 23 - - 108
Customer Buy 12 - - 52
Customer Sell 5 - - 40
Dealer to Dealer 6 - - 16
<= $1MM 23 - - 42
<= $10MM - - - 60
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 68.0 - - 97.0
Weighted Avg. Price 87.7 - - 95.1
Avg. Price Bottom 5 Trades 14.2 - - 93.8
2nd Quartile Price 47.5 - - 93.0
3rd Quartile Price 77.4 - - 100.0
4th Quartile Price 87.2 - - 100.3
Avg. Price Top 5 Trades 105.1 - - 100.1
Standard Deviation 24.7 - - 4.1
VOLUME OF TRADES (000'S) 31,914.8 - - 24,662.8
Customer Buy 10,726.0 - - 16,955.1
Customer Sell 14,841.5 - - *
Dealer to Dealer 6,347.3 - - *
<= $1MM 3,138.4 - - 448.5
<= $10MM 28,776.4 - - 24,214.3
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 149 - - 10
Customer Buy 54 - - 5
Customer Sell 57 - - *
Dealer to Dealer 38 - - *
<= $1MM 142 - - 5
<= $10MM 7 - - 5
<= $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 10.7 - - -
Weighted Avg. Price 6.0 - - -
Avg. Price Bottom 5 Trades 10.7 - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades 10.7 - - -
Standard Deviation 2.6 - - -
VOLUME OF TRADES (000'S) 47,480.7 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer * - - -
<= $1MM 116.9 - - -
<= $10MM - - - -
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 6 - - -
Customer Buy * - - -
Customer Sell * - - -
Dealer to Dealer * - - -
<= $1MM 5 - - -
<= $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.

Effective April 25th, 2026, the “Structured Trading Activity Report” and “Daily CMBS Pricing Tables” were revised for the as-of dates of February 23, 2026, through February 26, 2026. This revision was due to an issue with incorrect factors that primarily impacted the “OTHER CMBS HY (P&I)” bucket.

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 9.0.18.3.20260420   © 2026 Intercontinental Exchange, Inc. All Rights Reserved.