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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 94.9 85.0 91.2 84.7
Weighted Avg. Price 97.6 89.7 85.7 92.3
Avg. Price Bottom 5 Trades 87.7 66.8 90.1 51.0
2nd Quartile Price 94.9 81.8 92.1 77.2
3rd Quartile Price 96.1 85.3 95.1 92.5
4th Quartile Price 97.6 94.1 96.6 99.3
Avg. Price Top 5 Trades 99.6 97.5 92.5 100.4
Standard Deviation 4.0 9.7 4.8 17.0
VOLUME OF TRADES (000'S) 595.6 1,486.2 2,307.9 469,949.6
Customer Buy 58.8 223.6 - 136,834.8
Customer Sell 93.0 682.6 2,307.9 266,754.1
Dealer to Dealer 443.7 580.1 - 66,360.7
<= $1MM 595.6 1,486.2 545.3 6,511.1
<= $10MM - - * 84,895.8
<= $100MM - - - 249,599.3
> $100MM - - - *
NUMBER OF TRADES 53 68 6 72
Customer Buy 6 5 - 24
Customer Sell 21 34 6 27
Dealer to Dealer 26 29 - 21
<= $1MM 53 68 5 40
<= $10MM - - * 21
<= $100MM - - - 10
> $100MM - - - *
FHLMC
AVERAGE PRICE 96.6 86.4 89.5 89.7
Weighted Avg. Price 97.7 93.2 91.1 96.3
Avg. Price Bottom 5 Trades 90.1 64.2 88.3 50.3
2nd Quartile Price 96.0 82.3 89.2 83.9
3rd Quartile Price 97.1 88.6 90.7 96.4
4th Quartile Price 99.0 95.8 91.3 98.5
Avg. Price Top 5 Trades 100.0 98.6 90.6 100.1
Standard Deviation 3.1 10.9 2.5 13.7
VOLUME OF TRADES (000'S) 537.6 9,689.5 3,315.4 477,981.9
Customer Buy 248.1 5,526.7 * 136,934.3
Customer Sell 93.2 214.6 * 78,356.0
Dealer to Dealer 196.3 3,948.2 1,229.0 262,691.6
<= $1MM 537.6 905.9 2,138.5 9,759.2
<= $10MM - * * 103,875.1
<= $100MM - - - 364,347.6
> $100MM - - - -
NUMBER OF TRADES 50 66 11 111
Customer Buy 11 14 * 39
Customer Sell 15 24 * 32
Dealer to Dealer 24 28 5 40
<= $1MM 50 63 10 65
<= $10MM - * * 32
<= $100MM - - - 14
> $100MM - - - -
GNMA
AVERAGE PRICE 96.5 87.4 82.1 85.1
Weighted Avg. Price 100.8 93.0 82.5 92.5
Avg. Price Bottom 5 Trades 88.8 71.0 82.1 45.6
2nd Quartile Price 95.0 84.6 * 80.8
3rd Quartile Price 96.8 89.4 * 92.0
4th Quartile Price 99.0 95.5 * 97.0
Avg. Price Top 5 Trades 107.6 97.0 82.1 100.6
Standard Deviation 5.9 9.7 2.5 15.8
VOLUME OF TRADES (000'S) 328.8 588.5 25,786.6 333,924.7
Customer Buy 56.2 * - 140,220.0
Customer Sell 127.8 163.8 * 51,844.2
Dealer to Dealer 144.9 318.0 12,434.2 141,860.5
<= $1MM 328.8 588.5 1,010.1 12,528.8
<= $10MM - - - 102,290.6
<= $100MM - - * 219,105.2
> $100MM - - - -
NUMBER OF TRADES 49 39 9 176
Customer Buy 9 * - 73
Customer Sell 20 15 * 43
Dealer to Dealer 20 21 5 60
<= $1MM 49 39 7 140
<= $10MM - - - 29
<= $100MM - - * 7
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE - - - 8.4
Weighted Avg. Price - - - 5.0
Avg. Price Bottom 5 Trades - - - 4.5
2nd Quartile Price - - - 4.6
3rd Quartile Price - - - 6.3
4th Quartile Price - - - 16.7
Avg. Price Top 5 Trades - - - 12.9
Standard Deviation - - - 5.5
VOLUME OF TRADES (000'S) - - - 813,775.3
Customer Buy - - - 240,530.1
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - 340,199.0
> $100MM - - - *
NUMBER OF TRADES - - - 11
Customer Buy - - - 7
Customer Sell - - - *
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - *
<= $100MM - - - 6
> $100MM - - - *
FHLMC
AVERAGE PRICE - * - 11.8
Weighted Avg. Price - * - 7.1
Avg. Price Bottom 5 Trades - * - 7.3
2nd Quartile Price - * - 10.5
3rd Quartile Price - * - 10.6
4th Quartile Price - * - 19.8
Avg. Price Top 5 Trades - * - 16.1
Standard Deviation - * - 6.5
VOLUME OF TRADES (000'S) - * - 298,279.7
Customer Buy - - - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * - -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - * - 9
Customer Buy - - - *
Customer Sell - * - *
Dealer to Dealer - - - *
<= $1MM - - - *
<= $10MM - * - -
<= $100MM - - - *
> $100MM - - - *
GNMA
AVERAGE PRICE - * - 7.4
Weighted Avg. Price - * - 4.9
Avg. Price Bottom 5 Trades - * - 4.2
2nd Quartile Price - * - 5.4
3rd Quartile Price - * - 8.4
4th Quartile Price - * - 9.1
Avg. Price Top 5 Trades - * - 10.8
Standard Deviation - * - 3.9
VOLUME OF TRADES (000'S) - * - 646,102.4
Customer Buy - * - 379,656.2
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - * - *
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES - * - 13
Customer Buy - * - 11
Customer Sell - * - *
Dealer to Dealer - - - -
<= $1MM - - - *
<= $10MM - * - *
<= $100MM - - - *
> $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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