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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 96.4 * 99.4
Weighted Avg. Price 98.4 * 99.8
Avg. Price Bottom 5 Trades 79.6 * 84.3
2nd Quartile Price 96.3 * 99.2
3rd Quartile Price 98.8 * 100.0
4th Quartile Price 99.8 * 100.4
Avg. Price Top 5 Trades 101.7 * 103.4
Standard Deviation 5.5 * 2.4
VOLUME OF TRADES (000'S) 907,017.4 * 1,788,984.2
Customer Buy 415,289.8 * 821,382.9
Customer Sell 462,769.3 * 882,214.3
Dealer to Dealer 28,958.3 - 85,387.0
<= $1MM 16,010.8 - 63,622.1
<= $10MM 279,445.6 - 717,679.9
<= $100MM 611,561.0 - 1,007,682.2
> $100MM - * -
NUMBER OF TRADES 158 * 512
Customer Buy 77 * 163
Customer Sell 70 * 288
Dealer to Dealer 11 - 61
<= $1MM 55 - 292
<= $10MM 74 - 180
<= $100MM 29 - 40
> $100MM - * -
Non-Investment Grade †
AVERAGE PRICE 65.6 - 505.0
Weighted Avg. Price 94.6 - 99.2
Avg. Price Bottom 5 Trades 17.8 - 76.8
2nd Quartile Price 42.0 - 95.6
3rd Quartile Price 70.0 - 99.1
4th Quartile Price 90.2 - 100.5
Avg. Price Top 5 Trades 120.6 - 6,221.5
Standard Deviation 26.3 - 1,736.1
VOLUME OF TRADES (000'S) 188,859.8 - 234,364.4
Customer Buy 94,831.8 - 130,709.7
Customer Sell 93,478.3 - 93,428.2
Dealer to Dealer 549.7 - *
<= $1MM 8,893.5 - 5,493.8
<= $10MM 132,219.5 - 136,385.0
<= $100MM * - 92,485.5
> $100MM - - -
NUMBER OF TRADES 263 - 75
Customer Buy 70 - 48
Customer Sell 133 - 24
Dealer to Dealer 60 - *
<= $1MM 216 - 38
<= $10MM 44 - 32
<= $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 92.3 - * 97.7
Weighted Avg. Price 90.3 - * 98.6
Avg. Price Bottom 5 Trades 84.7 - * 79.6
2nd Quartile Price 88.4 - * 98.5
3rd Quartile Price 95.0 - * 99.3
4th Quartile Price 96.6 - * 100.0
Avg. Price Top 5 Trades 98.5 - * 101.7
Standard Deviation 5.2 - * 4.9
VOLUME OF TRADES (000'S) 20,674.3 - * 883,822.7
Customer Buy 10,044.0 - * 403,975.3
Customer Sell 10,604.8 - * 450,914.6
Dealer to Dealer 25.5 - - 28,932.8
<= $1MM 2,065.7 - * 13,924.4
<= $10MM 18,608.6 - * 258,337.3
<= $100MM - - - 611,561.0
> $100MM - - - -
NUMBER OF TRADES 30 - * 124
Customer Buy 11 - * 63
Customer Sell 14 - * 55
Dealer to Dealer 5 - - 6
<= $1MM 23 - * 30
<= $10MM 7 - * 65
<= $100MM - - - 29
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 61.8 - - 97.3
Weighted Avg. Price 90.8 - - 97.7
Avg. Price Bottom 5 Trades 17.8 - - 88.1
2nd Quartile Price 41.0 - - 96.7
3rd Quartile Price 60.1 - - 99.3
4th Quartile Price 83.5 - - 100.4
Avg. Price Top 5 Trades 120.6 - - 100.8
Standard Deviation 25.2 - - 6.6
VOLUME OF TRADES (000'S) 84,194.3 - - 104,665.5
Customer Buy 40,291.3 - - 54,540.5
Customer Sell 43,353.2 - - 50,125.0
Dealer to Dealer 549.7 - - -
<= $1MM 8,893.5 - - -
<= $10MM 46,921.5 - - 85,298.1
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 235 - - 28
Customer Buy 58 - - 12
Customer Sell 117 - - 16
Dealer to Dealer 60 - - -
<= $1MM 216 - - -
<= $10MM 17 - - 27
<= $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.

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].
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