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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: Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 96.1 85.7 84.5 91.2
Weighted Avg. Price 98.0 89.6 86.3 99.3
Avg. Price Bottom 5 Trades 92.0 72.6 81.0 47.6
2nd Quartile Price 93.0 81.0 81.6 88.3
3rd Quartile Price 97.4 89.0 85.2 98.7
4th Quartile Price 99.0 94.5 87.3 100.6
Avg. Price Top 5 Trades 100.4 98.5 88.6 102.4
Standard Deviation 3.5 9.9 4.9 16.5
VOLUME OF TRADES (000'S) 161.6 1,636.5 4,586.3 373,570.0
Customer Buy 29.1 1,433.1 * 241,351.0
Customer Sell 85.5 28.7 2,219.9 61,340.4
Dealer to Dealer 47.0 174.7 * 70,878.6
<= $1MM 161.6 258.2 4,586.3 6,692.9
<= $10MM - * - 95,219.1
<= $100MM - - - 271,658.0
> $100MM - - - -
NUMBER OF TRADES 25 25 12 51
Customer Buy 5 8 * 28
Customer Sell 10 5 5 10
Dealer to Dealer 10 12 * 13
<= $1MM 25 24 12 20
<= $10MM - * - 23
<= $100MM - - - 8
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.8 87.8 90.7 90.7
Weighted Avg. Price 84.4 92.1 96.2 97.7
Avg. Price Bottom 5 Trades 87.5 78.1 90.7 45.0
2nd Quartile Price 96.0 84.0 * 97.5
3rd Quartile Price 97.8 90.0 * 99.1
4th Quartile Price 99.8 97.2 * 99.6
Avg. Price Top 5 Trades 100.0 97.4 90.7 101.3
Standard Deviation 5.6 8.9 13.6 18.3
VOLUME OF TRADES (000'S) 109.2 133.0 134.7 323,181.3
Customer Buy 7.0 * 132.3 196,419.0
Customer Sell 50.8 56.2 * 25,726.4
Dealer to Dealer 51.4 41.3 - 101,035.9
<= $1MM 109.2 133.0 134.7 12,463.4
<= $10MM - - - 153,749.9
<= $100MM - - - 156,968.0
> $100MM - - - -
NUMBER OF TRADES 23 19 7 90
Customer Buy 7 * 6 45
Customer Sell 9 8 * 18
Dealer to Dealer 7 8 - 27
<= $1MM 23 19 7 38
<= $10MM - - - 42
<= $100MM - - - 10
> $100MM - - - -
GNMA
AVERAGE PRICE 96.2 85.7 - 90.5
Weighted Avg. Price 100.2 98.4 - 98.5
Avg. Price Bottom 5 Trades 91.9 75.8 - 45.7
2nd Quartile Price 93.3 80.0 - 90.0
3rd Quartile Price 96.9 85.0 - 98.0
4th Quartile Price 99.0 93.0 - 99.5
Avg. Price Top 5 Trades 101.3 95.1 - 103.3
Standard Deviation 4.0 7.6 - 15.9
VOLUME OF TRADES (000'S) 75.7 1,638.9 - 432,099.2
Customer Buy * * - 311,645.2
Customer Sell 13.8 1,525.9 - 99,564.2
Dealer to Dealer 39.9 71.0 - 20,889.7
<= $1MM 75.7 198.7 - 16,494.2
<= $10MM - * - 105,613.2
<= $100MM - - - 309,991.8
> $100MM - - - -
NUMBER OF TRADES 23 23 - 185
Customer Buy * * - 95
Customer Sell 10 11 - 40
Dealer to Dealer 10 11 - 50
<= $1MM 23 22 - 142
<= $10MM - * - 28
<= $100MM - - - 15
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 7.0
Weighted Avg. Price - - - 5.6
Avg. Price Bottom 5 Trades - - - 4.1
2nd Quartile Price - - - 5.0
3rd Quartile Price - - - 5.7
4th Quartile Price - - - 13.3
Avg. Price Top 5 Trades - - - 9.7
Standard Deviation - - - 4.2
VOLUME OF TRADES (000'S) - - - 528,017.4
Customer Buy - - - 496,653.9
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - 403,870.6
> $100MM - - - *
NUMBER OF TRADES - - - 9
Customer Buy - - - 8
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - 7
> $100MM - - - *
FHLMC
AVERAGE PRICE * * - 6.9
Weighted Avg. Price * * - 5.3
Avg. Price Bottom 5 Trades * * - 6.9
2nd Quartile Price * * - *
3rd Quartile Price * * - *
4th Quartile Price * * - *
Avg. Price Top 5 Trades * * - 6.9
Standard Deviation * * - 5.7
VOLUME OF TRADES (000'S) * * - 278,521.5
Customer Buy * * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM * * - -
<= $10MM - - - -
<= $100MM - - - 278,521.5
> $100MM - - - -
NUMBER OF TRADES * * - 5
Customer Buy * * - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM * * - -
<= $10MM - - - -
<= $100MM - - - 5
> $100MM - - - -
GNMA
AVERAGE PRICE - - - 10.4
Weighted Avg. Price - - - 9.2
Avg. Price Bottom 5 Trades - - - 6.1
2nd Quartile Price - - - 8.4
3rd Quartile Price - - - 11.6
4th Quartile Price - - - 14.0
Avg. Price Top 5 Trades - - - 15.0
Standard Deviation - - - 4.1
VOLUME OF TRADES (000'S) - - - 403,170.9
Customer Buy - - - 302,511.4
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - 33,188.7
<= $100MM - - - 369,590.5
> $100MM - - - -
NUMBER OF TRADES - - - 15
Customer Buy - - - 11
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - 5
<= $100MM - - - 9
> $100MM - - - -
* Indicates trade count is less than 5
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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