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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 - 99.2
Weighted Avg. Price 99.6 - 99.7
Avg. Price Bottom 5 Trades 85.6 - 94.3
2nd Quartile Price 91.3 - 98.7
3rd Quartile Price 99.5 - 99.7
4th Quartile Price 100.0 - 100.2
Avg. Price Top 5 Trades 100.9 - 102.0
Standard Deviation 5.5 - 1.8
VOLUME OF TRADES (000'S) 132,141.0 - 161,020.0
Customer Buy 92,647.5 - 107,662.8
Customer Sell 39,229.0 - 53,190.5
Dealer to Dealer * - 166.6
<= $1MM 6,688.5 - 25,781.8
<= $10MM 71,684.5 - 78,109.6
<= $100MM * - *
> $100MM - - -
NUMBER OF TRADES 55 - 157
Customer Buy 42 - 75
Customer Sell 10 - 61
Dealer to Dealer * - 21
<= $1MM 29 - 126
<= $10MM 23 - 27
<= $100MM * - *
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 65.9 - 98.7
Weighted Avg. Price 96.1 - 101.7
Avg. Price Bottom 5 Trades 14.1 - 91.8
2nd Quartile Price 45.0 - 94.5
3rd Quartile Price 70.0 - 100.5
4th Quartile Price 85.8 - 102.0
Avg. Price Top 5 Trades 136.4 - 105.2
Standard Deviation 30.6 - 5.0
VOLUME OF TRADES (000'S) 32,632.6 - 43,378.3
Customer Buy 1,960.3 - 17,409.2
Customer Sell 27,541.4 - 25,969.0
Dealer to Dealer 3,130.9 - -
<= $1MM 3,965.8 - 5,569.8
<= $10MM * - 37,808.5
<= $100MM * - -
> $100MM - - -
NUMBER OF TRADES 105 - 29
Customer Buy 21 - 6
Customer Sell 54 - 23
Dealer to Dealer 30 - -
<= $1MM 101 - 15
<= $10MM * - 14
<= $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 87.6 - * 98.2
Weighted Avg. Price 86.9 - * 99.7
Avg. Price Bottom 5 Trades 87.1 - * 88.0
2nd Quartile Price 88.8 - * 99.2
3rd Quartile Price 89.0 - * 99.8
4th Quartile Price 90.6 - * 100.1
Avg. Price Top 5 Trades 89.1 - * 100.9
Standard Deviation 3.2 - * 4.1
VOLUME OF TRADES (000'S) 12.2 - * 131,575.9
Customer Buy * - * 92,091.1
Customer Sell 6.8 - - 39,222.3
Dealer to Dealer * - - *
<= $1MM 12.2 - * 6,123.4
<= $10MM - - - 71,684.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 9 - * 45
Customer Buy * - * 38
Customer Sell 5 - - 5
Dealer to Dealer * - - *
<= $1MM 9 - * 19
<= $10MM - - - 23
<= $100MM - - - *
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.1 - - 94.8
Weighted Avg. Price 83.2 - - 100.0
Avg. Price Bottom 5 Trades 14.1 - - 93.7
2nd Quartile Price 41.0 - - 100.1
3rd Quartile Price 70.0 - - 100.2
4th Quartile Price 84.6 - - 100.4
Avg. Price Top 5 Trades 133.3 - - 100.2
Standard Deviation 30.5 - - 13.1
VOLUME OF TRADES (000'S) 7,625.6 - - 25,007.0
Customer Buy 1,320.3 - - *
Customer Sell 3,174.5 - - *
Dealer to Dealer 3,130.9 - - -
<= $1MM 2,140.1 - - *
<= $10MM * - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 99 - - 6
Customer Buy 19 - - *
Customer Sell 50 - - *
Dealer to Dealer 30 - - -
<= $1MM 97 - - *
<= $10MM * - - *
<= $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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