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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 96.4 82.7 73.3 88.9
Weighted Avg. Price 97.5 91.2 91.7 89.5
Avg. Price Bottom 5 Trades 93.5 55.3 61.2 65.9
2nd Quartile Price 95.5 76.2 63.4 84.2
3rd Quartile Price 97.1 88.7 67.0 92.3
4th Quartile Price 97.8 91.2 91.9 98.3
Avg. Price Top 5 Trades 99.2 98.2 93.9 100.0
Standard Deviation 2.2 12.1 15.8 12.1
VOLUME OF TRADES (000'S) 4,701.8 13,118.2 3,917.8 484,736.9
Customer Buy 309.5 12,862.3 3,835.8 319,875.1
Customer Sell 1,462.6 133.1 82.0 84,287.6
Dealer to Dealer 2,929.7 122.8 * 80,574.2
<= $1MM 971.5 1,156.5 1,695.3 6,717.9
<= $10MM * 11,961.7 * 96,301.3
<= $100MM - - - 381,717.7
> $100MM - - - -
NUMBER OF TRADES 36 65 15 116
Customer Buy 12 23 8 61
Customer Sell 10 18 6 6
Dealer to Dealer 14 24 * 49
<= $1MM 33 58 14 61
<= $10MM * 7 * 41
<= $100MM - - - 14
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.8 81.0 83.1 92.7
Weighted Avg. Price 98.1 92.1 85.1 95.5
Avg. Price Bottom 5 Trades 92.6 51.7 83.1 48.5
2nd Quartile Price 95.6 72.7 * 95.6
3rd Quartile Price 97.8 81.9 * 98.1
4th Quartile Price 98.2 95.4 * 98.9
Avg. Price Top 5 Trades 99.8 99.1 83.1 100.2
Standard Deviation 2.4 15.6 4.5 13.2
VOLUME OF TRADES (000'S) 5,736.7 3,342.9 173.9 666,630.6
Customer Buy 630.9 2,300.9 * 364,603.9
Customer Sell 1,684.5 501.8 * 63,274.6
Dealer to Dealer 3,421.3 540.3 * 238,752.1
<= $1MM 5,736.7 2,095.0 173.9 18,143.3
<= $10MM - * - 197,191.9
<= $100MM - - - 451,295.3
> $100MM - - - -
NUMBER OF TRADES 54 47 6 130
Customer Buy 14 20 * 73
Customer Sell 18 11 * 5
Dealer to Dealer 22 16 * 52
<= $1MM 54 46 6 54
<= $10MM - * - 55
<= $100MM - - - 21
> $100MM - - - -
GNMA
AVERAGE PRICE 94.4 86.8 77.0 91.6
Weighted Avg. Price 97.2 95.2 92.3 97.2
Avg. Price Bottom 5 Trades 90.6 79.2 63.4 48.2
2nd Quartile Price 92.0 83.5 65.0 89.8
3rd Quartile Price 93.8 85.8 90.4 97.8
4th Quartile Price 98.3 92.9 92.9 98.3
Avg. Price Top 5 Trades 100.3 96.8 93.1 100.5
Standard Deviation 4.4 6.8 15.6 11.4
VOLUME OF TRADES (000'S) 785.1 3,173.4 6,354.7 691,694.8
Customer Buy 250.1 1,105.8 3,361.9 532,586.8
Customer Sell 149.7 15.8 * 68,579.3
Dealer to Dealer 385.4 2,051.7 2,793.9 90,528.7
<= $1MM 785.1 286.1 1,005.5 10,806.6
<= $10MM - * * 71,043.4
<= $100MM - - - 287,513.1
> $100MM - - - *
NUMBER OF TRADES 68 32 15 197
Customer Buy 14 13 6 128
Customer Sell 21 6 * 15
Dealer to Dealer 33 13 6 54
<= $1MM 68 30 13 154
<= $10MM - * * 29
<= $100MM - - - 12
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 7.2 * * 10.3
Weighted Avg. Price 2.5 * * 6.3
Avg. Price Bottom 5 Trades 7.2 * * 5.0
2nd Quartile Price * * * 5.5
3rd Quartile Price * * * 12.1
4th Quartile Price * * * 14.4
Avg. Price Top 5 Trades 7.2 * * 15.8
Standard Deviation 4.5 * * 6.8
VOLUME OF TRADES (000'S) 16,279.8 * * 332,184.6
Customer Buy * * * 180,855.4
Customer Sell * * * *
Dealer to Dealer * - - -
<= $1MM * * - -
<= $10MM * * * *
<= $100MM - - - 169,121.8
> $100MM - - - *
NUMBER OF TRADES 5 * * 11
Customer Buy * * * 9
Customer Sell * * * *
Dealer to Dealer * - - -
<= $1MM * * - -
<= $10MM * * * *
<= $100MM - - - 7
> $100MM - - - *
FHLMC
AVERAGE PRICE * * * 7.6
Weighted Avg. Price * * * 4.3
Avg. Price Bottom 5 Trades * * * 3.7
2nd Quartile Price * * * 3.8
3rd Quartile Price * * * 4.0
4th Quartile Price * * * 21.1
Avg. Price Top 5 Trades * * * 9.2
Standard Deviation * * * 6.9
VOLUME OF TRADES (000'S) * * * 72,518.2
Customer Buy * * * *
Customer Sell * - - *
Dealer to Dealer - * * *
<= $1MM * * * *
<= $10MM * - - 24,866.8
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * * 7
Customer Buy * * * *
Customer Sell * - - *
Dealer to Dealer - * * *
<= $1MM * * * *
<= $10MM * - - 5
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * 8.3 11.2
Weighted Avg. Price - * 14.1 10.8
Avg. Price Bottom 5 Trades - * 8.3 5.2
2nd Quartile Price - * * 6.6
3rd Quartile Price - * * 14.6
4th Quartile Price - * * 19.6
Avg. Price Top 5 Trades - * 8.3 18.4
Standard Deviation - * 8.6 7.9
VOLUME OF TRADES (000'S) - * 4,165.7 111,255.6
Customer Buy - * * 101,075.3
Customer Sell - * * *
Dealer to Dealer - * * *
<= $1MM - * 1,559.2 2,664.7
<= $10MM - * * *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - * 6 11
Customer Buy - * * 6
Customer Sell - * * *
Dealer to Dealer - * * *
<= $1MM - * 5 7
<= $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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