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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 95.9 - 99.0
Weighted Avg. Price 96.6 - 99.6
Avg. Price Bottom 5 Trades 82.5 - 89.2
2nd Quartile Price 93.9 - 98.3
3rd Quartile Price 98.6 - 99.7
4th Quartile Price 99.7 - 100.3
Avg. Price Top 5 Trades 100.8 - 103.0
Standard Deviation 5.2 - 2.1
VOLUME OF TRADES (000'S) 288,108.9 - 1,250,065.4
Customer Buy 167,535.4 - 702,347.1
Customer Sell 95,197.9 - 543,022.3
Dealer to Dealer 25,375.6 - 4,696.0
<= $1MM 7,193.3 - 81,098.8
<= $10MM 169,967.3 - 505,527.9
<= $100MM 110,948.3 - 663,438.7
> $100MM - - -
NUMBER OF TRADES 95 - 683
Customer Buy 64 - 265
Customer Sell 20 - 292
Dealer to Dealer 11 - 126
<= $1MM 42 - 507
<= $10MM 48 - 143
<= $100MM 5 - 33
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.1 - 97.0
Weighted Avg. Price 98.1 - 101.3
Avg. Price Bottom 5 Trades 16.3 - 88.3
2nd Quartile Price 49.5 - 92.1
3rd Quartile Price 75.0 - 99.0
4th Quartile Price 87.0 - 101.0
Avg. Price Top 5 Trades 104.2 - 104.7
Standard Deviation 22.3 - 5.1
VOLUME OF TRADES (000'S) 46,764.3 - 162,832.1
Customer Buy 22,249.7 - 67,241.9
Customer Sell 22,491.4 - 88,990.1
Dealer to Dealer 2,023.2 - *
<= $1MM 5,274.9 - 12,266.8
<= $10MM 29,023.4 - 128,815.2
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 286 - 101
Customer Buy 180 - 37
Customer Sell 59 - 62
Dealer to Dealer 47 - *
<= $1MM 275 - 62
<= $10MM 10 - 37
<= $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 93.6 - * 96.5
Weighted Avg. Price 95.8 - * 96.6
Avg. Price Bottom 5 Trades 87.1 - * 83.4
2nd Quartile Price 93.9 - * 94.9
3rd Quartile Price 95.3 - * 99.3
4th Quartile Price 96.3 - * 99.8
Avg. Price Top 5 Trades 97.3 - * 100.8
Standard Deviation 4.1 - * 5.4
VOLUME OF TRADES (000'S) 803.7 - * 287,167.9
Customer Buy 699.9 - * 166,698.2
Customer Sell 98.5 - - 95,099.4
Dealer to Dealer * - - 25,370.2
<= $1MM 803.7 - * 6,252.3
<= $10MM - - - 169,967.3
<= $100MM - - - 110,948.3
> $100MM - - - -
NUMBER OF TRADES 22 - * 72
Customer Buy 10 - * 53
Customer Sell 9 - - 11
Dealer to Dealer * - - 8
<= $1MM 22 - * 19
<= $10MM - - - 48
<= $100MM - - - 5
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.8 * - 96.5
Weighted Avg. Price 92.3 * - 99.1
Avg. Price Bottom 5 Trades 16.3 * - 91.6
2nd Quartile Price 48.8 * - 98.8
3rd Quartile Price 73.4 * - 99.5
4th Quartile Price 85.8 * - 100.2
Avg. Price Top 5 Trades 103.4 * - 100.3
Standard Deviation 21.9 * - 7.1
VOLUME OF TRADES (000'S) 6,911.9 * - 39,821.2
Customer Buy 4,557.2 * - 17,661.4
Customer Sell 1,944.4 - - *
Dealer to Dealer 410.4 - - *
<= $1MM 2,550.6 * - *
<= $10MM * - - 24,662.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 273 * - 12
Customer Buy 172 * - 7
Customer Sell 56 - - *
Dealer to Dealer 45 - - *
<= $1MM 270 * - *
<= $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.

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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