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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 94.5 84.3 92.1 83.2
Weighted Avg. Price 97.0 91.1 93.8 98.2
Avg. Price Bottom 5 Trades 81.7 55.9 89.1 46.6
2nd Quartile Price 93.0 75.1 91.0 67.0
3rd Quartile Price 97.8 90.0 93.4 95.5
4th Quartile Price 99.5 95.2 93.8 99.6
Avg. Price Top 5 Trades 100.2 100.8 94.0 100.6
Standard Deviation 8.6 16.7 2.3 21.1
VOLUME OF TRADES (000'S) 71.5 14,923.1 10,164.6 391,400.6
Customer Buy 32.4 3,239.8 2,427.2 176,303.0
Customer Sell 14.7 1,223.0 * 80,694.1
Dealer to Dealer 24.3 10,460.3 5,014.0 134,403.5
<= $1MM 71.5 1,629.6 855.5 8,309.6
<= $10MM - * * 116,267.9
<= $100MM - - - 266,823.0
> $100MM - - - -
NUMBER OF TRADES 33 44 19 103
Customer Buy 11 15 6 37
Customer Sell 10 9 * 21
Dealer to Dealer 12 20 10 45
<= $1MM 33 40 15 68
<= $10MM - * * 24
<= $100MM - - - 11
> $100MM - - - -
FHLMC
AVERAGE PRICE 94.8 87.1 84.8 93.6
Weighted Avg. Price 99.5 94.5 85.4 97.3
Avg. Price Bottom 5 Trades 79.5 62.1 67.7 49.8
2nd Quartile Price 97.0 86.0 88.1 95.7
3rd Quartile Price 98.8 90.8 93.0 99.0
4th Quartile Price 99.3 95.6 95.0 99.7
Avg. Price Top 5 Trades 100.3 98.2 95.7 100.6
Standard Deviation 16.1 12.3 16.9 12.9
VOLUME OF TRADES (000'S) 1,075.8 1,367.7 12,605.0 294,204.9
Customer Buy 57.9 295.7 5,724.2 84,281.1
Customer Sell 663.9 678.9 4,161.9 128,402.8
Dealer to Dealer 354.0 393.0 2,718.9 81,521.0
<= $1MM 1,075.8 1,367.7 1,285.0 11,348.5
<= $10MM - - * 107,639.9
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 38 41 15 90
Customer Buy 13 12 5 33
Customer Sell 14 12 5 22
Dealer to Dealer 11 17 5 35
<= $1MM 38 41 11 60
<= $10MM - - * 26
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE 99.0 87.9 71.9 79.1
Weighted Avg. Price 101.3 82.2 86.9 91.7
Avg. Price Bottom 5 Trades 93.0 76.3 57.2 38.2
2nd Quartile Price 99.1 86.5 62.5 58.1
3rd Quartile Price 100.0 92.3 71.0 90.6
4th Quartile Price 100.8 94.4 87.4 96.9
Avg. Price Top 5 Trades 101.0 97.4 90.2 100.9
Standard Deviation 3.7 9.1 14.2 21.4
VOLUME OF TRADES (000'S) 3,665.7 1,151.9 8,486.8 410,013.6
Customer Buy 2,755.2 111.9 810.3 212,408.0
Customer Sell 26.3 260.0 7,342.0 57,756.2
Dealer to Dealer 884.1 779.9 334.4 139,849.4
<= $1MM 1,910.1 1,151.9 2,012.3 25,473.6
<= $10MM * - * 137,881.4
<= $100MM - - - 246,658.6
> $100MM - - - -
NUMBER OF TRADES 37 34 20 277
Customer Buy 21 8 5 81
Customer Sell 5 5 6 67
Dealer to Dealer 11 21 9 129
<= $1MM 36 34 18 236
<= $10MM * - * 30
<= $100MM - - - 11
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 4.0 - - 11.6
Weighted Avg. Price 5.4 - - 14.3
Avg. Price Bottom 5 Trades 2.3 - - 8.0
2nd Quartile Price 3.1 - - 7.2
3rd Quartile Price 3.5 - - 12.6
4th Quartile Price 7.2 - - 16.1
Avg. Price Top 5 Trades 5.6 - - 15.0
Standard Deviation 2.4 - - 4.0
VOLUME OF TRADES (000'S) 33.3 - - 312,349.0
Customer Buy - - - 223,182.9
Customer Sell * - - *
Dealer to Dealer 22.2 - - *
<= $1MM 33.3 - - 2,973.0
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES 9 - - 11
Customer Buy - - - 7
Customer Sell * - - *
Dealer to Dealer 6 - - *
<= $1MM 9 - - 7
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE - - - 12.5
Weighted Avg. Price - - - 11.5
Avg. Price Bottom 5 Trades - - - 9.4
2nd Quartile Price - - - 10.5
3rd Quartile Price - - - 12.7
4th Quartile Price - - - 16.2
Avg. Price Top 5 Trades - - - 15.5
Standard Deviation - - - 5.3
VOLUME OF TRADES (000'S) - - - 405,150.0
Customer Buy - - - 177,489.1
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - - - 9
Customer Buy - - - 6
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - 5.5 - 13.1
Weighted Avg. Price - 9.2 - 4.6
Avg. Price Bottom 5 Trades - 4.0 - 2.3
2nd Quartile Price - 4.8 - 4.9
3rd Quartile Price - 5.2 - 20.0
4th Quartile Price - 7.6 - 20.8
Avg. Price Top 5 Trades - 6.9 - 20.5
Standard Deviation - 2.5 - 8.5
VOLUME OF TRADES (000'S) - 3,836.4 - 1,177,632.8
Customer Buy - * - 482,667.6
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM - 666.0 - 1,779.8
<= $10MM - * - -
<= $100MM - - - 300,472.1
> $100MM - - - *
NUMBER OF TRADES - 8 - 18
Customer Buy - * - 11
Customer Sell - * - *
Dealer to Dealer - * - *
<= $1MM - 7 - 7
<= $10MM - * - -
<= $100MM - - - 7
> $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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