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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 95.3 * 98.4
Weighted Avg. Price 96.6 * 98.6
Avg. Price Bottom 5 Trades 75.0 * 86.9
2nd Quartile Price 95.9 * 97.9
3rd Quartile Price 97.5 * 99.1
4th Quartile Price 98.7 * 99.9
Avg. Price Top 5 Trades 100.3 * 101.3
Standard Deviation 6.0 * 2.4
VOLUME OF TRADES (000'S) 906,576.8 * 1,181,410.0
Customer Buy 364,328.8 * 557,149.4
Customer Sell 542,225.4 * 585,217.7
Dealer to Dealer * - 39,043.0
<= $1MM 19,010.1 - 62,419.9
<= $10MM 229,170.9 - 573,989.3
<= $100MM 658,395.8 * 545,000.8
> $100MM - - -
NUMBER OF TRADES 159 * 444
Customer Buy 70 * 165
Customer Sell 86 * 229
Dealer to Dealer * - 50
<= $1MM 59 - 254
<= $10MM 64 - 160
<= $100MM 36 * 30
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 74.3 - 98.8
Weighted Avg. Price 95.2 - 99.3
Avg. Price Bottom 5 Trades 22.6 - 89.2
2nd Quartile Price 61.0 - 98.3
3rd Quartile Price 80.0 - 99.3
4th Quartile Price 86.1 - 99.8
Avg. Price Top 5 Trades 183.6 - 104.4
Standard Deviation 31.1 - 3.7
VOLUME OF TRADES (000'S) 74,893.1 - 262,546.2
Customer Buy 41,075.5 - 127,260.7
Customer Sell 33,623.1 - 122,465.4
Dealer to Dealer 194.6 - 12,820.0
<= $1MM 5,574.3 - 17,691.5
<= $10MM 69,318.9 - 150,655.7
<= $100MM - - 94,198.9
> $100MM - - -
NUMBER OF TRADES 207 - 68
Customer Buy 102 - 33
Customer Sell 79 - 30
Dealer to Dealer 26 - 5
<= $1MM 183 - 25
<= $10MM 24 - 38
<= $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 91.7 - * 95.6
Weighted Avg. Price 95.0 - * 96.6
Avg. Price Bottom 5 Trades 86.8 - * 75.0
2nd Quartile Price 87.8 - * 96.8
3rd Quartile Price 95.2 - * 97.6
4th Quartile Price 98.0 - * 98.8
Avg. Price Top 5 Trades 96.8 - * 100.3
Standard Deviation 5.4 - * 6.0
VOLUME OF TRADES (000'S) 176.7 - * 905,287.8
Customer Buy * - - 364,316.0
Customer Sell 141.4 - * 540,971.7
Dealer to Dealer * - - -
<= $1MM 176.7 - * 17,721.1
<= $10MM - - - 229,170.9
<= $100MM - - - 658,395.8
> $100MM - - - -
NUMBER OF TRADES 11 - * 146
Customer Buy * - - 67
Customer Sell 5 - * 79
Dealer to Dealer * - - -
<= $1MM 11 - * 46
<= $10MM - - - 64
<= $100MM - - - 36
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 71.1 - - 96.6
Weighted Avg. Price 79.2 - - 97.1
Avg. Price Bottom 5 Trades 22.6 - - 94.4
2nd Quartile Price 53.0 - - 95.6
3rd Quartile Price 76.0 - - 96.3
4th Quartile Price 82.0 - - 99.1
Avg. Price Top 5 Trades 167.9 - - 100.2
Standard Deviation 32.0 - - 2.0
VOLUME OF TRADES (000'S) 7,994.3 - - 66,898.9
Customer Buy 6,716.3 - - 34,359.2
Customer Sell 1,083.4 - - 32,539.6
Dealer to Dealer 194.6 - - -
<= $1MM 2,974.3 - - *
<= $10MM * - - 64,298.9
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 181 - - 26
Customer Buy 89 - - 13
Customer Sell 66 - - 13
Dealer to Dealer 26 - - -
<= $1MM 180 - - *
<= $10MM * - - 23
<= $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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