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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 91.8 - 98.7
Weighted Avg. Price 95.4 - 99.4
Avg. Price Bottom 5 Trades 65.0 - 87.1
2nd Quartile Price 84.8 - 98.1
3rd Quartile Price 97.3 - 99.2
4th Quartile Price 98.4 - 100.0
Avg. Price Top 5 Trades 101.3 - 101.7
Standard Deviation 9.4 - 2.0
VOLUME OF TRADES (000'S) 673,387.9 - 1,115,439.8
Customer Buy 256,905.2 - 452,836.9
Customer Sell 413,904.1 - 624,052.0
Dealer to Dealer 2,578.6 - 38,550.9
<= $1MM 14,965.3 - 54,423.7
<= $10MM 285,705.4 - 564,886.9
<= $100MM 372,717.3 - 496,129.2
> $100MM - - -
NUMBER OF TRADES 144 - 513
Customer Buy 68 - 194
Customer Sell 69 - 250
Dealer to Dealer 7 - 69
<= $1MM 61 - 346
<= $10MM 64 - 138
<= $100MM 19 - 29
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 67.7 3.0 122.7
Weighted Avg. Price 89.9 1.1 67.9
Avg. Price Bottom 5 Trades 12.5 0.2 75.9
2nd Quartile Price 38.7 0.7 98.8
3rd Quartile Price 77.7 1.4 99.9
4th Quartile Price 95.1 2.6 102.3
Avg. Price Top 5 Trades 106.8 8.9 529.5
Standard Deviation 29.5 4.6 225.7
VOLUME OF TRADES (000'S) 164,810.6 50,876.0 445,261.4
Customer Buy 69,518.4 25,438.0 118,670.9
Customer Sell 91,327.5 25,438.0 326,590.5
Dealer to Dealer 3,964.8 - -
<= $1MM 21,518.5 4,970.1 13,807.9
<= $10MM 131,292.1 24,168.7 171,217.5
<= $100MM * * 106,838.4
> $100MM - - *
NUMBER OF TRADES 192 20 89
Customer Buy 65 10 38
Customer Sell 88 10 51
Dealer to Dealer 39 - -
<= $1MM 154 10 31
<= $10MM 37 8 52
<= $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 91.7 - 80.6 92.4
Weighted Avg. Price 97.4 - 78.8 95.4
Avg. Price Bottom 5 Trades 88.0 - 78.2 65.6
2nd Quartile Price 89.3 - 78.0 85.8
3rd Quartile Price 91.9 - 80.0 97.7
4th Quartile Price 97.8 - 95.0 98.4
Avg. Price Top 5 Trades 96.8 - 81.8 101.3
Standard Deviation 5.2 - 7.2 9.5
VOLUME OF TRADES (000'S) 358.2 - 94.5 672,935.3
Customer Buy 347.0 - * 256,555.1
Customer Sell * - * 413,867.3
Dealer to Dealer * - * *
<= $1MM 358.2 - 94.5 14,512.6
<= $10MM - - - 285,705.4
<= $100MM - - - 372,717.3
> $100MM - - - -
NUMBER OF TRADES 13 - 7 124
Customer Buy 8 - * 59
Customer Sell * - * 64
Dealer to Dealer * - * *
<= $1MM 13 - 7 41
<= $10MM - - - 64
<= $100MM - - - 19
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 57.7 - * 97.4
Weighted Avg. Price 55.0 - * 98.7
Avg. Price Bottom 5 Trades 12.5 - * 88.9
2nd Quartile Price 31.4 - * 96.3
3rd Quartile Price 56.0 - * 99.3
4th Quartile Price 86.1 - * 100.1
Avg. Price Top 5 Trades 106.6 - * 100.4
Standard Deviation 27.7 - * 3.7
VOLUME OF TRADES (000'S) 33,002.9 - * 131,754.6
Customer Buy 11,489.8 - * 58,002.0
Customer Sell 20,728.4 - * 70,572.5
Dealer to Dealer 784.8 - - *
<= $1MM 7,747.4 - * 13,718.0
<= $10MM 25,255.5 - - 106,036.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 143 - * 47
Customer Buy 40 - * 24
Customer Sell 67 - * 20
Dealer to Dealer 36 - - *
<= $1MM 135 - * 17
<= $10MM 8 - - 29
<= $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 3.0 - - -
Weighted Avg. Price 1.1 - - -
Avg. Price Bottom 5 Trades 0.2 - - -
2nd Quartile Price 0.7 - - -
3rd Quartile Price 1.4 - - -
4th Quartile Price 2.6 - - -
Avg. Price Top 5 Trades 8.9 - - -
Standard Deviation 4.6 - - -
VOLUME OF TRADES (000'S) 50,876.0 - - -
Customer Buy 25,438.0 - - -
Customer Sell 25,438.0 - - -
Dealer to Dealer - - - -
<= $1MM 4,970.1 - - -
<= $10MM 24,168.7 - - -
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 20 - - -
Customer Buy 10 - - -
Customer Sell 10 - - -
Dealer to Dealer - - - -
<= $1MM 10 - - -
<= $10MM 8 - - -
<= $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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