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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 94.2 86.8 84.5 79.5
Weighted Avg. Price 97.6 93.8 95.5 97.7
Avg. Price Bottom 5 Trades 88.2 76.7 78.2 42.5
2nd Quartile Price 92.2 81.5 80.0 54.4
3rd Quartile Price 95.0 87.0 81.8 91.2
4th Quartile Price 98.8 93.7 96.1 99.8
Avg. Price Top 5 Trades 99.4 96.1 92.9 100.7
Standard Deviation 5.5 6.9 9.7 22.2
VOLUME OF TRADES (000'S) 89.1 14,391.6 1,135.8 116,105.0
Customer Buy * 5,649.8 68.2 95,703.1
Customer Sell 23.7 82.3 * 10,844.6
Dealer to Dealer 48.0 8,659.5 * 9,557.2
<= $1MM 89.1 1,005.8 1,135.8 7,246.7
<= $10MM - * - 54,260.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 33 37 11 81
Customer Buy * 9 5 31
Customer Sell 13 10 * 26
Dealer to Dealer 16 18 * 24
<= $1MM 33 33 11 60
<= $10MM - * - 19
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE 92.5 87.3 82.8 87.9
Weighted Avg. Price 98.0 98.3 96.2 99.3
Avg. Price Bottom 5 Trades 84.6 73.0 68.4 42.5
2nd Quartile Price 90.0 81.3 70.2 87.3
3rd Quartile Price 96.8 90.0 91.6 97.8
4th Quartile Price 98.3 95.5 96.5 99.7
Avg. Price Top 5 Trades 99.7 99.4 94.5 100.9
Standard Deviation 10.9 9.8 13.4 18.6
VOLUME OF TRADES (000'S) 184.2 3,778.9 8,989.0 156,763.9
Customer Buy 32.4 1,919.9 * 80,044.7
Customer Sell 106.2 23.6 4,428.0 53,970.5
Dealer to Dealer 45.6 1,835.3 111.1 22,748.7
<= $1MM 184.2 544.9 283.6 11,584.0
<= $10MM - * * 71,583.6
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 36 32 14 100
Customer Buy 5 10 * 47
Customer Sell 19 5 5 23
Dealer to Dealer 12 17 5 30
<= $1MM 36 30 12 62
<= $10MM - * * 34
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 95.0 87.1 79.2 88.3
Weighted Avg. Price 99.1 85.3 86.2 98.2
Avg. Price Bottom 5 Trades 88.9 64.5 61.6 43.5
2nd Quartile Price 93.0 80.4 67.2 87.0
3rd Quartile Price 97.1 90.2 84.0 97.4
4th Quartile Price 99.5 97.1 92.1 99.5
Avg. Price Top 5 Trades 99.6 100.7 95.2 102.4
Standard Deviation 5.3 10.7 13.2 17.9
VOLUME OF TRADES (000'S) 154.4 2,930.2 814.8 383,412.8
Customer Buy * 1,072.7 131.3 214,095.9
Customer Sell 75.9 931.9 82.5 14,543.6
Dealer to Dealer 66.9 925.7 601.0 154,773.3
<= $1MM 154.4 2,930.2 814.8 27,170.5
<= $10MM - - - 61,772.6
<= $100MM - - - 294,469.7
> $100MM - - - -
NUMBER OF TRADES 23 98 22 360
Customer Buy * 30 7 202
Customer Sell 10 27 7 62
Dealer to Dealer 9 41 8 96
<= $1MM 23 98 22 333
<= $10MM - - - 18
<= $100MM - - - 9
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 4.7
Weighted Avg. Price - - - 2.4
Avg. Price Bottom 5 Trades - - - 1.8
2nd Quartile Price - - - 1.9
3rd Quartile Price - - - 6.1
4th Quartile Price - - - 8.4
Avg. Price Top 5 Trades - - - 7.5
Standard Deviation - - - 3.2
VOLUME OF TRADES (000'S) - - - 630,852.4
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 11
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE - - - 4.7
Weighted Avg. Price - - - 4.5
Avg. Price Bottom 5 Trades - - - 3.9
2nd Quartile Price - - - 4.1
3rd Quartile Price - - - 4.4
4th Quartile Price - - - 6.4
Avg. Price Top 5 Trades - - - 5.5
Standard Deviation - - - 1.1
VOLUME OF TRADES (000'S) - - - 447,556.4
Customer Buy - - - *
Customer Sell - - - 317,526.2
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 447,556.4
> $100MM - - - -
NUMBER OF TRADES - - - 10
Customer Buy - - - *
Customer Sell - - - 8
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 10
> $100MM - - - -
GNMA
AVERAGE PRICE 25.9 * - 29.0
Weighted Avg. Price 10.3 * - 4.2
Avg. Price Bottom 5 Trades 25.9 * - 1.7
2nd Quartile Price * * - 6.0
3rd Quartile Price * * - 18.5
4th Quartile Price * * - 78.1
Avg. Price Top 5 Trades 25.9 * - 68.2
Standard Deviation 37.3 * - 33.9
VOLUME OF TRADES (000'S) 2,338.0 * - 517,724.1
Customer Buy * * - 277,120.0
Customer Sell * * - 154,142.3
Dealer to Dealer * - - *
<= $1MM 2,338.0 * - *
<= $10MM - - - -
<= $100MM - - - 517,298.2
> $100MM - - - -
NUMBER OF TRADES 8 * - 14
Customer Buy * * - 6
Customer Sell * * - 6
Dealer to Dealer * - - *
<= $1MM 8 * - *
<= $10MM - - - -
<= $100MM - - - 10
> $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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