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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 - 99.3
Weighted Avg. Price 95.7 - 99.9
Avg. Price Bottom 5 Trades 76.8 - 86.0
2nd Quartile Price 89.5 - 99.0
3rd Quartile Price 99.3 - 99.8
4th Quartile Price 100.0 - 100.4
Avg. Price Top 5 Trades 101.7 - 102.1
Standard Deviation 6.9 - 2.2
VOLUME OF TRADES (000'S) 563,980.0 - 907,937.8
Customer Buy 228,161.4 - 414,610.7
Customer Sell 320,290.8 - 364,981.6
Dealer to Dealer 15,527.8 - 128,345.6
<= $1MM 23,071.7 - 62,477.4
<= $10MM 365,758.7 - 359,015.6
<= $100MM 175,149.6 - 486,444.9
> $100MM - - -
NUMBER OF TRADES 158 - 436
Customer Buy 65 - 137
Customer Sell 87 - 206
Dealer to Dealer 6 - 93
<= $1MM 51 - 307
<= $10MM 95 - 111
<= $100MM 12 - 18
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 70.6 * 302.9
Weighted Avg. Price 76.4 * 99.6
Avg. Price Bottom 5 Trades 12.6 * 60.0
2nd Quartile Price 47.8 * 95.0
3rd Quartile Price 77.7 * 99.7
4th Quartile Price 95.6 * 101.0
Avg. Price Top 5 Trades 102.7 * 3,403.5
Standard Deviation 25.7 * 1,421.9
VOLUME OF TRADES (000'S) 381,905.9 * 195,272.3
Customer Buy 173,114.6 * 98,652.8
Customer Sell 159,573.0 - 88,933.8
Dealer to Dealer 49,218.3 - 7,685.8
<= $1MM 21,343.7 * 10,884.2
<= $10MM 199,187.5 - 126,678.5
<= $100MM 161,374.7 - *
> $100MM - - -
NUMBER OF TRADES 228 * 96
Customer Buy 68 * 37
Customer Sell 111 - 51
Dealer to Dealer 49 - 8
<= $1MM 163 * 49
<= $10MM 57 - 44
<= $100MM 8 - *
> $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 93.9 - 93.9 95.0
Weighted Avg. Price 96.9 - 90.7 96.1
Avg. Price Bottom 5 Trades 90.9 - 90.2 76.8
2nd Quartile Price 91.5 - 93.1 89.3
3rd Quartile Price 94.5 - 97.8 99.4
4th Quartile Price 98.8 - 98.4 100.1
Avg. Price Top 5 Trades 96.9 - 97.6 101.7
Standard Deviation 5.1 - 5.0 7.1
VOLUME OF TRADES (000'S) 116.6 - 38,522.8 525,340.7
Customer Buy * - 19,736.9 208,404.3
Customer Sell * - * 301,408.7
Dealer to Dealer - - - 15,527.8
<= $1MM 116.6 - * 22,934.1
<= $10MM - - 14,501.7 351,257.0
<= $100MM - - * 151,149.6
> $100MM - - - -
NUMBER OF TRADES 8 - 9 141
Customer Buy * - 5 56
Customer Sell * - * 79
Dealer to Dealer - - - 6
<= $1MM 8 - * 42
<= $10MM - - 6 89
<= $100MM - - * 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 62.0 - - 100.3
Weighted Avg. Price 46.0 - - 100.1
Avg. Price Bottom 5 Trades 12.6 - - 97.7
2nd Quartile Price 46.0 - - 99.8
3rd Quartile Price 62.0 - - 100.2
4th Quartile Price 84.0 - - 100.8
Avg. Price Top 5 Trades 98.4 - - 102.7
Standard Deviation 22.9 - - 1.3
VOLUME OF TRADES (000'S) 167,195.1 - - 214,710.8
Customer Buy 44,238.1 - - 128,876.5
Customer Sell 73,738.6 - - 85,834.4
Dealer to Dealer 49,218.3 - - -
<= $1MM 16,453.2 - - 4,890.4
<= $10MM 52,879.3 - - 146,308.2
<= $100MM * - - *
> $100MM - - - -
NUMBER OF TRADES 177 - - 51
Customer Buy 44 - - 24
Customer Sell 84 - - 27
Dealer to Dealer 49 - - -
<= $1MM 154 - - 9
<= $10MM 19 - - 38
<= $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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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