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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 97.2 - 99.3
Weighted Avg. Price 97.5 - 99.8
Avg. Price Bottom 5 Trades 79.8 - 85.5
2nd Quartile Price 98.3 - 99.0
3rd Quartile Price 99.8 - 100.0
4th Quartile Price 100.2 - 100.4
Avg. Price Top 5 Trades 100.6 - 103.0
Standard Deviation 5.8 - 2.5
VOLUME OF TRADES (000'S) 379,942.5 - 1,126,499.6
Customer Buy 169,709.2 - 522,856.4
Customer Sell 192,105.8 - 592,029.4
Dealer to Dealer 18,127.5 - 11,613.8
<= $1MM 10,802.7 - 76,655.6
<= $10MM 232,065.5 - 425,919.7
<= $100MM 137,074.3 - 623,924.2
> $100MM - - -
NUMBER OF TRADES 107 - 474
Customer Buy 52 - 142
Customer Sell 45 - 276
Dealer to Dealer 10 - 56
<= $1MM 36 - 321
<= $10MM 65 - 125
<= $100MM 6 - 28
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 72.3 0.4 319.7
Weighted Avg. Price 92.5 0.1 93.9
Avg. Price Bottom 5 Trades 9.1 0.4 38.6
2nd Quartile Price 49.0 * 91.1
3rd Quartile Price 80.0 * 99.1
4th Quartile Price 90.2 * 100.6
Avg. Price Top 5 Trades 143.9 0.4 4,017.7
Standard Deviation 27.6 0.4 1,433.4
VOLUME OF TRADES (000'S) 148,897.3 2,651.6 573,093.1
Customer Buy 81,196.3 2,651.6 247,271.8
Customer Sell 65,093.4 - 293,631.7
Dealer to Dealer 2,607.6 - 32,189.6
<= $1MM 15,148.3 933.6 21,853.2
<= $10MM 122,498.9 * 191,741.8
<= $100MM * - 359,498.1
> $100MM - - -
NUMBER OF TRADES 260 6 120
Customer Buy 118 6 66
Customer Sell 81 - 47
Dealer to Dealer 61 - 7
<= $1MM 227 5 51
<= $10MM 32 * 50
<= $100MM * - 19
> $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 92.4 - - 97.9
Weighted Avg. Price 93.8 - - 97.6
Avg. Price Bottom 5 Trades 86.6 - - 81.0
2nd Quartile Price 88.9 - - 99.1
3rd Quartile Price 97.0 - - 99.9
4th Quartile Price 97.5 - - 100.2
Avg. Price Top 5 Trades 97.5 - - 100.6
Standard Deviation 5.8 - - 5.4
VOLUME OF TRADES (000'S) 8,048.9 - - 371,893.5
Customer Buy 4,965.5 - - 164,743.7
Customer Sell 3,077.0 - - 189,028.8
Dealer to Dealer * - - 18,121.0
<= $1MM 1,228.7 - - 9,574.0
<= $10MM * - - 225,245.3
<= $100MM - - - 137,074.3
> $100MM - - - -
NUMBER OF TRADES 15 - - 92
Customer Buy 5 - - 47
Customer Sell 7 - - 38
Dealer to Dealer * - - 7
<= $1MM 12 - - 24
<= $10MM * - - 62
<= $100MM - - - 6
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 70.0 66.0 * 98.2
Weighted Avg. Price 88.0 69.2 * 98.6
Avg. Price Bottom 5 Trades 9.1 66.0 * 91.0
2nd Quartile Price 48.0 * * 99.1
3rd Quartile Price 77.0 * * 100.2
4th Quartile Price 88.0 * * 100.5
Avg. Price Top 5 Trades 143.9 66.0 * 101.7
Standard Deviation 28.1 16.4 * 4.8
VOLUME OF TRADES (000'S) 83,829.5 150.1 * 64,223.4
Customer Buy 43,125.4 150.1 * 37,226.4
Customer Sell 39,476.2 - - 25,617.2
Dealer to Dealer 1,227.9 - - *
<= $1MM 9,903.3 150.1 * 4,400.6
<= $10MM 62,676.1 - - 59,822.8
<= $100MM * - - -
> $100MM - - - -
NUMBER OF TRADES 230 6 * 21
Customer Buy 98 6 * 11
Customer Sell 73 - - 8
Dealer to Dealer 59 - - *
<= $1MM 212 6 * 6
<= $10MM 17 - - 15
<= $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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