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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 96.9 * 99.0
Weighted Avg. Price 99.3 * 100.1
Avg. Price Bottom 5 Trades 86.9 * 88.8
2nd Quartile Price 94.8 * 98.4
3rd Quartile Price 98.5 * 99.6
4th Quartile Price 99.6 * 100.2
Avg. Price Top 5 Trades 100.8 * 106.0
Standard Deviation 3.7 * 2.6
VOLUME OF TRADES (000'S) 575,713.5 * 516,501.8
Customer Buy 249,184.7 * 297,071.8
Customer Sell 306,018.9 - 195,821.8
Dealer to Dealer 20,509.9 - 23,608.1
<= $1MM 30,412.7 - 28,887.5
<= $10MM 141,557.0 - 216,844.3
<= $100MM 403,743.8 * 270,769.9
> $100MM - - -
NUMBER OF TRADES 175 * 284
Customer Buy 58 * 117
Customer Sell 63 - 106
Dealer to Dealer 54 - 61
<= $1MM 114 - 202
<= $10MM 40 - 70
<= $100MM 21 * 12
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 73.6 - 95.6
Weighted Avg. Price 99.6 - 87.6
Avg. Price Bottom 5 Trades 26.7 - 50.7
2nd Quartile Price 51.0 - 96.9
3rd Quartile Price 81.3 - 99.8
4th Quartile Price 96.0 - 101.4
Avg. Price Top 5 Trades 104.4 - 106.6
Standard Deviation 24.4 - 15.4
VOLUME OF TRADES (000'S) 132,348.9 - 94,580.1
Customer Buy 47,971.1 - 43,669.9
Customer Sell 80,058.4 - 39,917.3
Dealer to Dealer 4,319.3 - 10,992.9
<= $1MM 20,176.1 - 16,675.2
<= $10MM 112,172.7 - 77,904.9
<= $100MM - - -
> $100MM - - -
NUMBER OF TRADES 267 - 71
Customer Buy 66 - 28
Customer Sell 148 - 29
Dealer to Dealer 53 - 14
<= $1MM 236 - 46
<= $10MM 31 - 25
<= $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 91.7 - - 97.4
Weighted Avg. Price 96.8 - - 99.3
Avg. Price Bottom 5 Trades 89.3 - - 88.4
2nd Quartile Price 90.4 - - 95.9
3rd Quartile Price 91.3 - - 98.8
4th Quartile Price 96.5 - - 99.7
Avg. Price Top 5 Trades 96.8 - - 100.8
Standard Deviation 4.0 - - 3.2
VOLUME OF TRADES (000'S) 565.5 - - 575,147.9
Customer Buy 515.4 - - 248,669.3
Customer Sell * - - 306,007.7
Dealer to Dealer 39.0 - - 20,470.9
<= $1MM 565.5 - - 29,847.1
<= $10MM - - - 141,557.0
<= $100MM - - - 403,743.8
> $100MM - - - -
NUMBER OF TRADES 18 - - 157
Customer Buy 7 - - 51
Customer Sell * - - 60
Dealer to Dealer 8 - - 46
<= $1MM 18 - - 96
<= $10MM - - - 40
<= $100MM - - - 21
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 64.8 - - 99.7
Weighted Avg. Price 81.9 - - 100.4
Avg. Price Bottom 5 Trades 26.7 - - 95.1
2nd Quartile Price 43.6 - - 98.3
3rd Quartile Price 69.8 - - 100.0
4th Quartile Price 85.2 - - 101.7
Avg. Price Top 5 Trades 97.4 - - 104.4
Standard Deviation 22.0 - - 2.6
VOLUME OF TRADES (000'S) 5,254.6 - - 127,094.3
Customer Buy 1,202.3 - - 46,768.8
Customer Sell 3,554.2 - - 76,504.2
Dealer to Dealer 498.1 - - 3,821.2
<= $1MM 3,012.4 - - 17,163.7
<= $10MM * - - 109,930.6
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 200 - - 67
Customer Buy 43 - - 23
Customer Sell 116 - - 32
Dealer to Dealer 41 - - 12
<= $1MM 198 - - 38
<= $10MM * - - 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 - - - -
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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