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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 * 98.6
Weighted Avg. Price 97.6 * 99.0
Avg. Price Bottom 5 Trades 74.6 * 85.2
2nd Quartile Price 93.0 * 98.0
3rd Quartile Price 97.8 * 99.3
4th Quartile Price 99.0 * 100.0
Avg. Price Top 5 Trades 104.4 * 101.2
Standard Deviation 6.4 * 2.4
VOLUME OF TRADES (000'S) 882,806.0 * 1,146,016.3
Customer Buy 270,982.7 * 497,903.7
Customer Sell 593,778.0 - 484,225.9
Dealer to Dealer 18,045.4 * 163,886.8
<= $1MM 33,729.9 - 45,013.8
<= $10MM 221,938.5 - 381,159.7
<= $100MM 627,137.6 * 719,842.8
> $100MM - - -
NUMBER OF TRADES 201 * 378
Customer Buy 83 * 143
Customer Sell 111 - 167
Dealer to Dealer 7 * 68
<= $1MM 121 - 255
<= $10MM 55 - 92
<= $100MM 25 * 31
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 86.4 - 88.8
Weighted Avg. Price 86.0 - 62.4
Avg. Price Bottom 5 Trades 10.0 - 28.5
2nd Quartile Price 72.8 - 95.1
3rd Quartile Price 86.2 - 98.8
4th Quartile Price 92.9 - 99.9
Avg. Price Top 5 Trades 648.4 - 103.7
Standard Deviation 78.9 - 28.0
VOLUME OF TRADES (000'S) 198,094.2 - 159,448.3
Customer Buy 123,564.9 - 95,485.0
Customer Sell 74,054.9 - 63,962.6
Dealer to Dealer 474.5 - *
<= $1MM 51,504.8 - 9,184.9
<= $10MM 146,589.4 - 73,245.1
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 382 - 51
Customer Buy 167 - 24
Customer Sell 156 - 25
Dealer to Dealer 59 - *
<= $1MM 325 - 27
<= $10MM 57 - 21
<= $100MM - - *
> $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 94.6 - - 95.4
Weighted Avg. Price 95.8 - - 97.6
Avg. Price Bottom 5 Trades 86.8 - - 74.6
2nd Quartile Price 91.6 - - 96.3
3rd Quartile Price 95.2 - - 98.4
4th Quartile Price 96.9 - - 99.2
Avg. Price Top 5 Trades 102.3 - - 101.2
Standard Deviation 4.7 - - 6.9
VOLUME OF TRADES (000'S) 9,432.5 - - 873,373.5
Customer Buy 5,100.5 - - 265,882.2
Customer Sell 4,325.0 - - 589,453.0
Dealer to Dealer * - - 18,038.4
<= $1MM 9,432.5 - - 24,297.5
<= $10MM - - - 221,938.5
<= $100MM - - - 627,137.6
> $100MM - - - -
NUMBER OF TRADES 53 - - 148
Customer Buy 27 - - 56
Customer Sell 24 - - 87
Dealer to Dealer * - - 5
<= $1MM 53 - - 68
<= $10MM - - - 55
<= $100MM - - - 25
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 85.7 - - 97.3
Weighted Avg. Price 76.4 - - 97.5
Avg. Price Bottom 5 Trades 10.0 - - 93.3
2nd Quartile Price 70.0 - - 97.2
3rd Quartile Price 85.0 - - 97.8
4th Quartile Price 91.6 - - 99.2
Avg. Price Top 5 Trades 648.4 - - 100.0
Standard Deviation 81.7 - - 2.4
VOLUME OF TRADES (000'S) 107,661.4 - - 90,432.8
Customer Buy 69,858.8 - - 53,706.1
Customer Sell 37,328.2 - - 36,726.7
Dealer to Dealer 474.5 - - -
<= $1MM 48,431.4 - - *
<= $10MM 59,230.0 - - 87,359.4
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 356 - - 26
Customer Buy 152 - - 15
Customer Sell 145 - - 11
Dealer to Dealer 59 - - -
<= $1MM 321 - - *
<= $10MM 35 - - 22
<= $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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