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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 94.8 - 99.0
Weighted Avg. Price 97.5 - 99.7
Avg. Price Bottom 5 Trades 72.1 - 81.5
2nd Quartile Price 93.0 - 98.7
3rd Quartile Price 99.0 - 99.9
4th Quartile Price 99.7 - 100.3
Avg. Price Top 5 Trades 100.9 - 102.5
Standard Deviation 7.9 - 2.9
VOLUME OF TRADES (000'S) 439,863.8 - 916,264.9
Customer Buy 286,041.7 - 466,786.8
Customer Sell 153,711.9 - 276,313.6
Dealer to Dealer 110.2 - 173,164.5
<= $1MM 13,959.2 - 45,034.4
<= $10MM 232,481.7 - 320,189.1
<= $100MM 193,422.9 - 441,963.5
> $100MM - - *
NUMBER OF TRADES 126 - 426
Customer Buy 67 - 149
Customer Sell 44 - 206
Dealer to Dealer 15 - 71
<= $1MM 66 - 322
<= $10MM 50 - 83
<= $100MM 10 - 20
> $100MM - - *
Non-Investment Grade †
AVERAGE PRICE 70.7 - 97.9
Weighted Avg. Price 96.7 - 97.4
Avg. Price Bottom 5 Trades 9.9 - 89.6
2nd Quartile Price 50.0 - 99.3
3rd Quartile Price 81.0 - 100.0
4th Quartile Price 91.0 - 100.7
Avg. Price Top 5 Trades 101.2 - 101.6
Standard Deviation 25.0 - 5.8
VOLUME OF TRADES (000'S) 61,306.3 - 40,249.2
Customer Buy 31,620.0 - 22,425.0
Customer Sell 29,298.4 - 13,612.9
Dealer to Dealer 387.9 - *
<= $1MM 7,173.2 - 3,603.2
<= $10MM 54,133.1 - 36,646.0
<= $100MM - - -
> $100MM - - -
NUMBER OF TRADES 309 - 21
Customer Buy 60 - 11
Customer Sell 158 - 6
Dealer to Dealer 91 - *
<= $1MM 297 - 9
<= $10MM 12 - 12
<= $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 91.8 - - 96.4
Weighted Avg. Price 97.0 - - 97.5
Avg. Price Bottom 5 Trades 76.8 - - 76.1
2nd Quartile Price 90.9 - - 98.8
3rd Quartile Price 93.6 - - 99.2
4th Quartile Price 97.2 - - 100.0
Avg. Price Top 5 Trades 100.0 - - 100.6
Standard Deviation 8.0 - - 7.4
VOLUME OF TRADES (000'S) 6,547.0 - - 433,316.8
Customer Buy 3,624.8 - - 282,416.8
Customer Sell 2,811.9 - - 150,900.0
Dealer to Dealer 110.2 - - -
<= $1MM 3,229.7 - - 10,729.6
<= $10MM * - - 229,164.4
<= $100MM - - - 193,422.9
> $100MM - - - -
NUMBER OF TRADES 46 - - 80
Customer Buy 10 - - 57
Customer Sell 21 - - 23
Dealer to Dealer 15 - - -
<= $1MM 44 - - 22
<= $10MM * - - 48
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.4 - - 98.8
Weighted Avg. Price 73.7 - - 99.0
Avg. Price Bottom 5 Trades 9.9 - - 95.9
2nd Quartile Price 49.5 - - 97.0
3rd Quartile Price 79.3 - - 100.3
4th Quartile Price 90.0 - - 100.6
Avg. Price Top 5 Trades 101.0 - - 100.7
Standard Deviation 24.8 - - 2.3
VOLUME OF TRADES (000'S) 5,654.5 - - 55,651.8
Customer Buy 2,342.9 - - 29,277.1
Customer Sell 2,923.7 - - 26,374.6
Dealer to Dealer 387.9 - - -
<= $1MM 5,654.5 - - *
<= $10MM - - - 54,133.1
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 295 - - 14
Customer Buy 53 - - 7
Customer Sell 151 - - 7
Dealer to Dealer 91 - - -
<= $1MM 295 - - *
<= $10MM - - - 12
<= $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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