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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 91.9 91.8 74.8 92.0
Weighted Avg. Price 100.1 99.2 97.1 96.4
Avg. Price Bottom 5 Trades 68.7 78.7 63.6 51.6
2nd Quartile Price 97.8 89.5 59.2 96.3
3rd Quartile Price 99.0 93.2 95.3 98.8
4th Quartile Price 100.3 96.6 97.4 99.6
Avg. Price Top 5 Trades 100.8 100.1 95.4 100.7
Standard Deviation 23.2 7.1 27.0 15.0
VOLUME OF TRADES (000'S) 195.2 48,928.2 3,373.8 548,114.8
Customer Buy 34.7 30,980.5 * 288,092.9
Customer Sell 51.0 2,219.3 * 55,291.6
Dealer to Dealer 109.5 15,728.4 * 204,730.3
<= $1MM 195.2 1,164.6 199.0 10,144.1
<= $10MM - 36,800.5 * 88,219.5
<= $100MM - * - 449,751.2
> $100MM - - - -
NUMBER OF TRADES 24 40 9 75
Customer Buy 5 11 * 38
Customer Sell 11 15 * 9
Dealer to Dealer 8 14 * 28
<= $1MM 24 30 7 32
<= $10MM - 9 * 26
<= $100MM - * - 17
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.7 89.9 * 95.6
Weighted Avg. Price 98.9 99.2 * 98.1
Avg. Price Bottom 5 Trades 93.1 80.0 * 46.3
2nd Quartile Price 97.2 87.2 * 97.6
3rd Quartile Price 99.1 91.6 * 99.0
4th Quartile Price 99.8 94.5 * 99.7
Avg. Price Top 5 Trades 100.1 98.0 * 101.1
Standard Deviation 3.2 7.2 * 12.0
VOLUME OF TRADES (000'S) 87.3 7,746.0 * 925,411.2
Customer Buy 16.0 7,460.6 * 495,781.9
Customer Sell 39.0 168.3 * 59,611.5
Dealer to Dealer 32.3 117.0 - 370,017.8
<= $1MM 87.3 406.4 * 18,202.7
<= $10MM - * * 256,563.9
<= $100MM - - - 650,644.6
> $100MM - - - -
NUMBER OF TRADES 24 29 * 125
Customer Buy 6 5 * 72
Customer Sell 11 13 * 10
Dealer to Dealer 7 11 - 43
<= $1MM 24 27 * 40
<= $10MM - * * 58
<= $100MM - - - 27
> $100MM - - - -
GNMA
AVERAGE PRICE 98.0 90.4 83.3 89.7
Weighted Avg. Price 99.2 93.0 93.0 95.1
Avg. Price Bottom 5 Trades 92.9 72.9 72.7 40.0
2nd Quartile Price 97.1 89.0 88.4 93.0
3rd Quartile Price 98.5 92.5 92.0 97.7
4th Quartile Price 99.6 96.3 94.7 98.9
Avg. Price Top 5 Trades 100.8 100.6 94.0 100.7
Standard Deviation 2.3 9.3 15.8 17.0
VOLUME OF TRADES (000'S) 319.5 844.6 313.8 942,528.5
Customer Buy 73.7 331.3 * 597,010.8
Customer Sell 119.1 131.2 * 100,624.2
Dealer to Dealer 126.6 382.0 139.9 244,893.4
<= $1MM 319.5 844.6 313.8 14,332.8
<= $10MM - - - 167,004.5
<= $100MM - - - 761,191.2
> $100MM - - - -
NUMBER OF TRADES 54 45 14 230
Customer Buy 12 8 * 90
Customer Sell 24 12 * 40
Dealer to Dealer 18 25 7 100
<= $1MM 54 45 14 176
<= $10MM - - - 34
<= $100MM - - - 20
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 10.3
Weighted Avg. Price - - - 9.0
Avg. Price Bottom 5 Trades - - - 10.3
2nd Quartile Price - - - *
3rd Quartile Price - - - *
4th Quartile Price - - - *
Avg. Price Top 5 Trades - - - 10.3
Standard Deviation - - - 8.0
VOLUME OF TRADES (000'S) - - - 184,492.7
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 184,492.7
> $100MM - - - -
NUMBER OF TRADES - - - 5
Customer Buy - - - *
Customer Sell - - - *
Dealer to Dealer - - - *
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 5
> $100MM - - - -
FHLMC
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 - - - -
GNMA
AVERAGE PRICE - * * 18.8
Weighted Avg. Price - * * 18.9
Avg. Price Bottom 5 Trades - * * 14.5
2nd Quartile Price - * * 18.6
3rd Quartile Price - * * 21.3
4th Quartile Price - * * 21.5
Avg. Price Top 5 Trades - * * 22.1
Standard Deviation - * * 4.6
VOLUME OF TRADES (000'S) - * * 161,758.3
Customer Buy - * * 62,532.6
Customer Sell - - - 74,276.3
Dealer to Dealer - * - *
<= $1MM - * * -
<= $10MM - - - *
<= $100MM - - - 147,983.4
> $100MM - - - -
NUMBER OF TRADES - * * 12
Customer Buy - * * 5
Customer Sell - - - 5
Dealer to Dealer - * - *
<= $1MM - * * -
<= $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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