As of
Download

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 95.8 0.9 99.3
Weighted Avg. Price 97.2 0.8 100.1
Avg. Price Bottom 5 Trades 73.9 0.9 86.9
2nd Quartile Price 97.5 * 99.3
3rd Quartile Price 99.2 * 100.1
4th Quartile Price 100.1 * 100.6
Avg. Price Top 5 Trades 103.0 0.9 102.9
Standard Deviation 7.7 0.3 2.6
VOLUME OF TRADES (000'S) 472,752.9 1,046,746.1 1,317,161.8
Customer Buy 273,333.1 * 627,992.6
Customer Sell 198,432.1 * 688,508.1
Dealer to Dealer 987.8 * 661.0
<= $1MM 13,477.1 - 43,040.6
<= $10MM 170,525.0 - 422,927.8
<= $100MM 288,750.9 - 851,193.3
> $100MM - 1,046,746.1 -
NUMBER OF TRADES 105 6 346
Customer Buy 47 * 106
Customer Sell 53 * 205
Dealer to Dealer 5 * 35
<= $1MM 46 - 208
<= $10MM 43 - 109
<= $100MM 16 - 29
> $100MM - 6 -
Non-Investment Grade †
AVERAGE PRICE 69.4 - 97.6
Weighted Avg. Price 98.8 - 99.6
Avg. Price Bottom 5 Trades 13.1 - 83.5
2nd Quartile Price 50.1 - 95.5
3rd Quartile Price 78.6 - 99.8
4th Quartile Price 88.5 - 101.6
Avg. Price Top 5 Trades 100.4 - 105.7
Standard Deviation 25.4 - 6.3
VOLUME OF TRADES (000'S) 80,892.8 - 195,189.2
Customer Buy 40,486.3 - 93,997.3
Customer Sell 40,068.3 - 83,657.7
Dealer to Dealer 338.2 - 17,534.2
<= $1MM 1,519.4 - 7,411.9
<= $10MM 32,750.0 - 125,189.3
<= $100MM * - 62,588.0
> $100MM - - -
NUMBER OF TRADES 125 - 52
Customer Buy 49 - 26
Customer Sell 40 - 19
Dealer to Dealer 36 - 7
<= $1MM 112 - 12
<= $10MM 9 - 35
<= $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 * - - 96.2
Weighted Avg. Price * - - 97.2
Avg. Price Bottom 5 Trades * - - 73.9
2nd Quartile Price * - - 97.5
3rd Quartile Price * - - 99.3
4th Quartile Price * - - 100.1
Avg. Price Top 5 Trades * - - 103.0
Standard Deviation * - - 7.5
VOLUME OF TRADES (000'S) * - - 472,743.7
Customer Buy - - - 273,333.1
Customer Sell * - - 198,425.6
Dealer to Dealer * - - *
<= $1MM * - - 13,467.8
<= $10MM - - - 170,525.0
<= $100MM - - - 288,750.9
> $100MM - - - -
NUMBER OF TRADES * - - 102
Customer Buy - - - 47
Customer Sell * - - 51
Dealer to Dealer * - - *
<= $1MM * - - 43
<= $10MM - - - 43
<= $100MM - - - 16
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 65.3 - - 99.3
Weighted Avg. Price 72.3 - - 99.2
Avg. Price Bottom 5 Trades 13.1 - - 97.5
2nd Quartile Price 47.5 - - 98.6
3rd Quartile Price 76.8 - - 100.2
4th Quartile Price 84.5 - - 100.3
Avg. Price Top 5 Trades 94.4 - - 100.4
Standard Deviation 24.3 - - 1.6
VOLUME OF TRADES (000'S) 1,119.4 - - 79,773.4
Customer Buy 599.6 - - 39,886.7
Customer Sell 181.6 - - 39,886.7
Dealer to Dealer 338.2 - - -
<= $1MM 1,119.4 - - *
<= $10MM - - - 32,750.0
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 110 - - 15
Customer Buy 41 - - 8
Customer Sell 33 - - 7
Dealer to Dealer 36 - - -
<= $1MM 110 - - *
<= $10MM - - - 9
<= $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 - - - 0.9
Weighted Avg. Price - - - 0.8
Avg. Price Bottom 5 Trades - - - 0.9
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 0.9
Standard Deviation - - - 0.3
VOLUME OF TRADES (000'S) - - - 1,046,746.1
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - 1,046,746.1
NUMBER OF TRADES - - - 6
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - 6
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].
Home | Company | Products & Services | Careers | Contact Us
Terms & Conditions, Privacy Policy and Trademarks | 3rd Party Disclaimers and Attribution | Registered Investment Advisor Notice
Build 9.0.18.20260317   © 2026 Intercontinental Exchange, Inc. All Rights Reserved.