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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 85.4 * 99.7
Weighted Avg. Price 91.7 * 100.1
Avg. Price Bottom 5 Trades 56.5 * 80.7
2nd Quartile Price 77.5 * 99.9
3rd Quartile Price 86.4 * 100.3
4th Quartile Price 95.4 * 100.8
Avg. Price Top 5 Trades 102.7 * 106.0
Standard Deviation 11.3 * 3.5
VOLUME OF TRADES (000'S) 580,348.3 * 826,191.2
Customer Buy 303,353.7 * 340,296.1
Customer Sell 241,300.2 * 452,370.5
Dealer to Dealer 35,694.4 - 33,524.5
<= $1MM 55,406.4 - 43,330.0
<= $10MM 386,127.1 * 390,367.1
<= $100MM 138,814.8 - 392,494.1
> $100MM - - -
NUMBER OF TRADES 445 * 300
Customer Buy 219 * 124
Customer Sell 214 * 152
Dealer to Dealer 12 - 24
<= $1MM 338 - 161
<= $10MM 97 * 116
<= $100MM 10 - 23
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 68.4 * 91.4
Weighted Avg. Price 95.4 * 93.8
Avg. Price Bottom 5 Trades 1.3 * 18.9
2nd Quartile Price 47.5 * 90.6
3rd Quartile Price 77.0 * 99.1
4th Quartile Price 88.7 * 101.3
Avg. Price Top 5 Trades 112.2 * 105.4
Standard Deviation 27.4 * 19.4
VOLUME OF TRADES (000'S) 110,890.1 * 388,321.9
Customer Buy 50,402.7 - 201,522.0
Customer Sell 37,359.1 * 168,651.1
Dealer to Dealer 23,128.3 - 18,148.8
<= $1MM 12,818.6 * 18,039.9
<= $10MM 98,071.4 * 188,432.2
<= $100MM - - 181,849.8
> $100MM - - -
NUMBER OF TRADES 231 * 113
Customer Buy 58 - 56
Customer Sell 85 * 44
Dealer to Dealer 88 - 13
<= $1MM 208 * 55
<= $10MM 23 * 52
<= $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 93.3 - 76.9 85.4
Weighted Avg. Price 95.0 - 81.1 91.7
Avg. Price Bottom 5 Trades 92.1 - 75.6 56.5
2nd Quartile Price 92.0 - 77.9 77.3
3rd Quartile Price 96.1 - 83.2 86.2
4th Quartile Price 96.3 - 83.3 95.4
Avg. Price Top 5 Trades 94.6 - 78.4 102.7
Standard Deviation 2.8 - 6.2 11.4
VOLUME OF TRADES (000'S) 90.4 - 728.9 579,529.0
Customer Buy * - * 302,947.6
Customer Sell * - * 240,887.0
Dealer to Dealer - - - 35,694.4
<= $1MM 90.4 - 728.9 54,587.1
<= $10MM - - - 386,127.1
<= $100MM - - - 138,814.8
> $100MM - - - -
NUMBER OF TRADES 7 - 6 432
Customer Buy * - * 213
Customer Sell * - * 207
Dealer to Dealer - - - 12
<= $1MM 7 - 6 325
<= $10MM - - - 97
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 61.9 - * 97.2
Weighted Avg. Price 81.7 - * 97.7
Avg. Price Bottom 5 Trades 1.3 - * 84.2
2nd Quartile Price 42.2 - * 99.0
3rd Quartile Price 71.2 - * 99.8
4th Quartile Price 80.5 - * 100.7
Avg. Price Top 5 Trades 109.9 - * 102.6
Standard Deviation 26.2 - * 6.1
VOLUME OF TRADES (000'S) 15,803.6 - * 95,023.3
Customer Buy 7,416.6 - * 42,954.5
Customer Sell 6,435.0 - * 30,892.5
Dealer to Dealer 1,952.0 - - *
<= $1MM 5,790.7 - * 6,964.7
<= $10MM * - - 88,058.6
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 188 - * 41
Customer Buy 38 - * 19
Customer Sell 66 - * 18
Dealer to Dealer 84 - - *
<= $1MM 184 - * 22
<= $10MM * - - 19
<= $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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