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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 96.4 - 99.1
Weighted Avg. Price 96.5 - 99.7
Avg. Price Bottom 5 Trades 75.8 - 82.5
2nd Quartile Price 96.6 - 98.7
3rd Quartile Price 99.5 - 99.9
4th Quartile Price 100.0 - 100.6
Avg. Price Top 5 Trades 100.9 - 103.5
Standard Deviation 6.5 - 3.0
VOLUME OF TRADES (000'S) 480,314.4 - 673,698.8
Customer Buy 181,276.4 - 390,902.3
Customer Sell 271,523.7 - 169,487.8
Dealer to Dealer 27,514.3 - 113,308.7
<= $1MM 28,570.8 - 59,144.1
<= $10MM 281,126.8 - 376,980.7
<= $100MM 170,616.8 - 237,574.0
> $100MM - - -
NUMBER OF TRADES 192 - 377
Customer Buy 54 - 156
Customer Sell 111 - 173
Dealer to Dealer 27 - 48
<= $1MM 104 - 258
<= $10MM 78 - 109
<= $100MM 10 - 10
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 71.6 - 99.7
Weighted Avg. Price 81.6 - 99.9
Avg. Price Bottom 5 Trades 25.5 - 93.7
2nd Quartile Price 45.0 - 99.1
3rd Quartile Price 76.8 - 100.1
4th Quartile Price 89.1 - 101.2
Avg. Price Top 5 Trades 133.8 - 104.1
Standard Deviation 26.8 - 2.5
VOLUME OF TRADES (000'S) 53,015.5 - 166,516.9
Customer Buy 28,507.2 - 82,049.8
Customer Sell 24,247.8 - 80,526.1
Dealer to Dealer 260.5 - *
<= $1MM 8,060.3 - 12,659.9
<= $10MM 44,955.2 - 109,417.0
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 122 - 72
Customer Buy 28 - 36
Customer Sell 58 - 35
Dealer to Dealer 36 - *
<= $1MM 108 - 41
<= $10MM 14 - 27
<= $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 87.6 - - 97.5
Weighted Avg. Price 92.7 - - 96.5
Avg. Price Bottom 5 Trades 79.7 - - 78.4
2nd Quartile Price 82.5 - - 98.9
3rd Quartile Price 89.4 - - 99.6
4th Quartile Price 96.5 - - 100.1
Avg. Price Top 5 Trades 96.5 - - 100.9
Standard Deviation 7.4 - - 5.5
VOLUME OF TRADES (000'S) 210.0 - - 480,104.4
Customer Buy * - - 181,245.5
Customer Sell 116.4 - - 271,407.2
Dealer to Dealer 62.7 - - 27,451.6
<= $1MM 210.0 - - 28,360.8
<= $10MM - - - 281,126.8
<= $100MM - - - 170,616.8
> $100MM - - - -
NUMBER OF TRADES 21 - - 171
Customer Buy * - - 52
Customer Sell 11 - - 100
Dealer to Dealer 8 - - 19
<= $1MM 21 - - 83
<= $10MM - - - 78
<= $100MM - - - 10
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 69.3 - * 84.2
Weighted Avg. Price 104.8 - * 73.1
Avg. Price Bottom 5 Trades 25.5 - * 53.1
2nd Quartile Price 44.0 - * 88.3
3rd Quartile Price 76.3 - * 99.9
4th Quartile Price 86.2 - * 100.4
Avg. Price Top 5 Trades 133.3 - * 101.0
Standard Deviation 26.7 - * 25.4
VOLUME OF TRADES (000'S) 14,133.1 - * 38,318.4
Customer Buy 6,673.0 - - 21,834.2
Customer Sell 7,199.6 - * 16,484.1
Dealer to Dealer 260.5 - - -
<= $1MM 4,782.6 - * 2,713.7
<= $10MM * - - 35,604.7
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 103 - * 18
Customer Buy 18 - - 10
Customer Sell 49 - * 8
Dealer to Dealer 36 - - -
<= $1MM 99 - * 8
<= $10MM * - - 10
<= $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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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