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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 97.0 85.3 89.8 88.8
Weighted Avg. Price 96.0 93.2 92.0 92.6
Avg. Price Bottom 5 Trades 95.1 63.5 83.4 52.2
2nd Quartile Price 96.0 81.2 90.1 86.1
3rd Quartile Price 98.7 90.8 93.3 95.5
4th Quartile Price 99.3 94.9 96.3 98.9
Avg. Price Top 5 Trades 99.2 99.1 96.0 100.3
Standard Deviation 2.3 14.8 8.3 15.2
VOLUME OF TRADES (000'S) 25.5 1,880.0 876.1 198,267.3
Customer Buy * 1,014.7 485.8 76,052.3
Customer Sell 9.7 378.4 340.4 81,569.8
Dealer to Dealer * 486.9 * 40,645.2
<= $1MM 25.5 1,880.0 876.1 9,232.4
<= $10MM - - - 96,375.1
<= $100MM - - - 92,659.8
> $100MM - - - -
NUMBER OF TRADES 15 47 13 64
Customer Buy * 16 6 35
Customer Sell 8 15 5 13
Dealer to Dealer * 16 * 16
<= $1MM 15 47 13 32
<= $10MM - - - 26
<= $100MM - - - 6
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.5 84.1 88.0 95.7
Weighted Avg. Price 99.8 98.2 94.0 98.8
Avg. Price Bottom 5 Trades 93.4 68.2 86.5 61.9
2nd Quartile Price 96.3 73.0 93.3 97.6
3rd Quartile Price 98.9 85.4 95.1 99.2
4th Quartile Price 99.4 95.9 96.8 99.9
Avg. Price Top 5 Trades 100.0 99.8 94.8 101.0
Standard Deviation 3.0 11.7 11.7 11.0
VOLUME OF TRADES (000'S) 319.5 6,064.3 1,280.5 1,014,543.8
Customer Buy 297.5 5,913.4 * 481,465.0
Customer Sell 22.0 52.1 * 414,005.4
Dealer to Dealer * 98.8 * 119,073.3
<= $1MM 319.5 764.1 1,280.5 15,382.6
<= $10MM - * - 198,259.6
<= $100MM - - - 575,369.4
> $100MM - - - *
NUMBER OF TRADES 24 36 7 95
Customer Buy 11 13 * 53
Customer Sell 10 10 * 12
Dealer to Dealer * 13 * 30
<= $1MM 24 33 7 27
<= $10MM - * - 44
<= $100MM - - - 22
> $100MM - - - *
GNMA
AVERAGE PRICE 97.0 81.9 85.0 90.1
Weighted Avg. Price 97.9 93.5 88.0 98.1
Avg. Price Bottom 5 Trades 93.6 69.0 75.8 41.3
2nd Quartile Price 95.8 75.7 79.3 93.1
3rd Quartile Price 98.2 81.3 84.5 97.1
4th Quartile Price 98.9 88.0 94.2 98.9
Avg. Price Top 5 Trades 99.4 95.7 98.4 102.6
Standard Deviation 2.3 8.9 8.5 16.4
VOLUME OF TRADES (000'S) 270.6 1,227.7 11,222.6 841,354.4
Customer Buy 219.9 843.2 6,652.3 511,357.4
Customer Sell 27.2 230.5 144.6 221,544.2
Dealer to Dealer 23.5 154.1 4,425.7 108,452.8
<= $1MM 270.6 1,227.7 637.8 16,126.6
<= $10MM - - * 101,882.0
<= $100MM - - - 723,345.8
> $100MM - - - -
NUMBER OF TRADES 30 45 22 247
Customer Buy 11 8 6 147
Customer Sell 12 21 9 33
Dealer to Dealer 7 16 7 67
<= $1MM 30 45 19 191
<= $10MM - - * 30
<= $100MM - - - 26
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * - * 13.6
Weighted Avg. Price * - * 12.4
Avg. Price Bottom 5 Trades * - * 11.5
2nd Quartile Price * - * 13.2
3rd Quartile Price * - * 15.5
4th Quartile Price * - * 16.6
Avg. Price Top 5 Trades * - * 16.1
Standard Deviation * - * 3.2
VOLUME OF TRADES (000'S) * - * 107,279.3
Customer Buy * - * 87,936.8
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM * - - -
<= $10MM - - * 29,631.7
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * - * 9
Customer Buy * - * 6
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM * - - -
<= $10MM - - * 6
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - * - 7.7
Weighted Avg. Price - * - 7.0
Avg. Price Bottom 5 Trades - * - 6.7
2nd Quartile Price - * - 8.4
3rd Quartile Price - * - 8.4
4th Quartile Price - * - 9.4
Avg. Price Top 5 Trades - * - 9.0
Standard Deviation - * - 2.3
VOLUME OF TRADES (000'S) - * - 565,802.7
Customer Buy - * - 342,913.9
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - * - -
<= $100MM - - - 242,756.7
> $100MM - - - *
NUMBER OF TRADES - * - 8
Customer Buy - * - 6
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - * - -
<= $100MM - - - 5
> $100MM - - - *
GNMA
AVERAGE PRICE - - * 10.9
Weighted Avg. Price - - * 5.9
Avg. Price Bottom 5 Trades - - * 4.0
2nd Quartile Price - - * 6.3
3rd Quartile Price - - * 8.0
4th Quartile Price - - * 14.5
Avg. Price Top 5 Trades - - * 24.2
Standard Deviation - - * 11.1
VOLUME OF TRADES (000'S) - - * 1,095,877.6
Customer Buy - - * 236,861.1
Customer Sell - - - 618,381.8
Dealer to Dealer - - - 240,634.7
<= $1MM - - - *
<= $10MM - - * *
<= $100MM - - - 592,123.7
> $100MM - - - *
NUMBER OF TRADES - - * 21
Customer Buy - - * 7
Customer Sell - - - 9
Dealer to Dealer - - - 5
<= $1MM - - - *
<= $10MM - - * *
<= $100MM - - - 11
> $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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