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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 98.2 - 99.4
Avg. Price Bottom 5 Trades 81.5 - 90.0
2nd Quartile Price 94.8 - 99.1
3rd Quartile Price 98.9 - 99.8
4th Quartile Price 99.7 - 100.2
Avg. Price Top 5 Trades 101.3 - 102.0
Standard Deviation 5.5 - 2.0
VOLUME OF TRADES (000'S) 488,506.0 - 759,314.6
Customer Buy 326,427.0 - 402,797.3
Customer Sell 156,785.8 - 352,854.2
Dealer to Dealer 5,293.2 - 3,663.1
<= $1MM 1,825.3 - 38,709.7
<= $10MM 143,656.9 - 246,430.9
<= $100MM 343,023.9 - 474,174.1
> $100MM - - -
NUMBER OF TRADES 76 - 278
Customer Buy 44 - 123
Customer Sell 27 - 117
Dealer to Dealer 5 - 38
<= $1MM 29 - 202
<= $10MM 30 - 54
<= $100MM 17 - 22
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 73.0 * 100.6
Weighted Avg. Price 99.1 * 100.8
Avg. Price Bottom 5 Trades 8.9 * 93.6
2nd Quartile Price 55.0 * 99.9
3rd Quartile Price 80.0 * 101.0
4th Quartile Price 90.0 * 102.4
Avg. Price Top 5 Trades 109.7 * 105.1
Standard Deviation 24.8 * 3.2
VOLUME OF TRADES (000'S) 32,441.6 * 155,840.1
Customer Buy 21,809.8 * 85,031.0
Customer Sell 10,437.6 * 70,809.1
Dealer to Dealer 194.2 - -
<= $1MM 8,563.3 * 18,357.2
<= $10MM 12,190.4 - 43,483.1
<= $100MM * - 93,999.8
> $100MM - - -
NUMBER OF TRADES 152 * 50
Customer Buy 63 * 28
Customer Sell 56 * 22
Dealer to Dealer 33 - -
<= $1MM 144 * 26
<= $10MM 7 - 18
<= $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 93.5 - - 97.6
Weighted Avg. Price 96.2 - - 98.2
Avg. Price Bottom 5 Trades 86.0 - - 83.7
2nd Quartile Price 90.4 - - 98.2
3rd Quartile Price 94.5 - - 99.5
4th Quartile Price 99.0 - - 99.7
Avg. Price Top 5 Trades 100.1 - - 100.6
Standard Deviation 5.4 - - 5.1
VOLUME OF TRADES (000'S) 164.2 - - 488,341.8
Customer Buy 95.2 - - 326,331.7
Customer Sell 40.1 - - 156,745.7
Dealer to Dealer * - - *
<= $1MM 164.2 - - 1,661.1
<= $10MM - - - 143,656.9
<= $100MM - - - 343,023.9
> $100MM - - - -
NUMBER OF TRADES 23 - - 53
Customer Buy 10 - - 34
Customer Sell 9 - - 18
Dealer to Dealer * - - *
<= $1MM 23 - - 6
<= $10MM - - - 30
<= $100MM - - - 17
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 71.3 - - 93.4
Weighted Avg. Price 100.8 - - 98.4
Avg. Price Bottom 5 Trades 8.9 - - 83.6
2nd Quartile Price 51.3 - - 88.4
3rd Quartile Price 79.5 - - 100.1
4th Quartile Price 89.7 - - 100.5
Avg. Price Top 5 Trades 109.7 - - 100.6
Standard Deviation 24.8 - - 11.3
VOLUME OF TRADES (000'S) 9,749.8 - - 22,691.8
Customer Buy 5,982.4 - - 15,827.4
Customer Sell 3,573.2 - - 6,864.4
Dealer to Dealer 194.2 - - -
<= $1MM 1,559.4 - - 7,003.9
<= $10MM 8,190.4 - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 140 - - 12
Customer Buy 58 - - 5
Customer Sell 49 - - 7
Dealer to Dealer 33 - - -
<= $1MM 135 - - 9
<= $10MM 5 - - *
<= $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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