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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 95.2 - 99.5
Weighted Avg. Price 96.4 - 99.9
Avg. Price Bottom 5 Trades 73.0 - 88.7
2nd Quartile Price 92.0 - 99.3
3rd Quartile Price 98.8 - 99.9
4th Quartile Price 99.7 - 100.3
Avg. Price Top 5 Trades 100.5 - 101.8
Standard Deviation 7.1 - 1.7
VOLUME OF TRADES (000'S) 459,239.4 - 1,509,309.9
Customer Buy 253,779.9 - 650,904.5
Customer Sell 154,702.0 - 772,436.0
Dealer to Dealer 50,757.5 - 85,969.4
<= $1MM 18,016.1 - 58,383.4
<= $10MM 273,447.8 - 693,891.8
<= $100MM 167,775.5 - 757,034.7
> $100MM - - -
NUMBER OF TRADES 141 - 573
Customer Buy 72 - 221
Customer Sell 55 - 276
Dealer to Dealer 14 - 76
<= $1MM 70 - 347
<= $10MM 60 - 188
<= $100MM 11 - 38
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 75.9 * 98.0
Weighted Avg. Price 90.8 * 99.8
Avg. Price Bottom 5 Trades 13.2 * 88.0
2nd Quartile Price 60.1 * 97.3
3rd Quartile Price 82.4 * 99.9
4th Quartile Price 92.6 * 100.2
Avg. Price Top 5 Trades 163.5 * 103.0
Standard Deviation 31.0 * 4.2
VOLUME OF TRADES (000'S) 121,725.6 * 234,775.8
Customer Buy 59,073.6 * 101,540.4
Customer Sell 55,373.6 * 73,165.9
Dealer to Dealer 7,278.4 - 60,069.6
<= $1MM 12,918.8 - 10,127.5
<= $10MM 57,669.6 * 104,875.8
<= $100MM * - 119,772.5
> $100MM - - -
NUMBER OF TRADES 158 * 64
Customer Buy 39 * 28
Customer Sell 65 * 24
Dealer to Dealer 54 - 12
<= $1MM 144 - 31
<= $10MM 11 * 27
<= $100MM * - 6
> $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 89.8 - - 95.9
Weighted Avg. Price 92.5 - - 96.4
Avg. Price Bottom 5 Trades 84.4 - - 73.0
2nd Quartile Price 87.3 - - 97.0
3rd Quartile Price 91.0 - - 99.0
4th Quartile Price 95.0 - - 99.8
Avg. Price Top 5 Trades 95.0 - - 100.5
Standard Deviation 4.9 - - 7.0
VOLUME OF TRADES (000'S) 90.6 - - 459,148.8
Customer Buy 18.5 - - 253,761.4
Customer Sell 12.5 - - 154,689.5
Dealer to Dealer 59.6 - - 50,697.9
<= $1MM 90.6 - - 17,925.4
<= $10MM - - - 273,447.8
<= $100MM - - - 167,775.5
> $100MM - - - -
NUMBER OF TRADES 17 - - 124
Customer Buy 7 - - 65
Customer Sell 5 - - 50
Dealer to Dealer 5 - - 9
<= $1MM 17 - - 53
<= $10MM - - - 60
<= $100MM - - - 11
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 73.4 - - 100.1
Weighted Avg. Price 81.9 - - 100.4
Avg. Price Bottom 5 Trades 13.2 - - 99.1
2nd Quartile Price 57.0 - - 100.1
3rd Quartile Price 80.2 - - 100.7
4th Quartile Price 91.0 - - 100.9
Avg. Price Top 5 Trades 163.5 - - 100.9
Standard Deviation 31.6 - - 1.3
VOLUME OF TRADES (000'S) 62,794.9 - - 58,930.6
Customer Buy 23,620.0 - - 35,453.6
Customer Sell 38,180.5 - - 17,193.1
Dealer to Dealer 994.4 - - *
<= $1MM 10,279.6 - - 2,639.2
<= $10MM * - - 45,291.4
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 143 - - 15
Customer Buy 31 - - 8
Customer Sell 59 - - 6
Dealer to Dealer 53 - - *
<= $1MM 139 - - 5
<= $10MM * - - 9
<= $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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