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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 95.8 84.9 87.4 84.2
Weighted Avg. Price 101.6 95.4 92.7 99.7
Avg. Price Bottom 5 Trades 85.1 63.6 81.7 46.1
2nd Quartile Price 93.0 78.3 91.9 65.1
3rd Quartile Price 98.4 87.4 92.4 98.0
4th Quartile Price 100.6 91.3 99.1 100.4
Avg. Price Top 5 Trades 102.3 99.7 95.4 101.0
Standard Deviation 7.0 10.4 15.3 19.9
VOLUME OF TRADES (000'S) 1,382.3 1,458.3 38,503.4 316,484.3
Customer Buy * 490.5 * 162,159.1
Customer Sell 1,297.5 51.4 * 79,462.1
Dealer to Dealer 15.6 916.3 * 74,863.2
<= $1MM 1,382.3 1,458.3 * 7,440.6
<= $10MM - - * 83,383.2
<= $100MM - - * 225,660.6
> $100MM - - - -
NUMBER OF TRADES 35 55 9 67
Customer Buy * 16 * 22
Customer Sell 20 13 * 24
Dealer to Dealer 11 26 * 21
<= $1MM 35 55 * 37
<= $10MM - - * 21
<= $100MM - - * 9
> $100MM - - - -
FHLMC
AVERAGE PRICE 97.5 91.3 * 84.7
Weighted Avg. Price 97.0 94.7 * 97.7
Avg. Price Bottom 5 Trades 92.2 79.5 * 42.3
2nd Quartile Price 96.8 91.3 * 79.6
3rd Quartile Price 98.3 93.5 * 98.3
4th Quartile Price 99.3 94.3 * 99.8
Avg. Price Top 5 Trades 100.9 98.4 * 101.1
Standard Deviation 2.9 5.9 * 21.1
VOLUME OF TRADES (000'S) 121.9 1,110.7 * 547,567.9
Customer Buy 19.1 226.0 - 328,955.2
Customer Sell 74.5 681.2 * 71,329.5
Dealer to Dealer 28.3 203.4 * 147,283.2
<= $1MM 121.9 1,110.7 * 16,841.4
<= $10MM - - - 185,077.3
<= $100MM - - - 345,649.1
> $100MM - - - -
NUMBER OF TRADES 35 45 * 125
Customer Buy 6 15 - 51
Customer Sell 17 11 * 35
Dealer to Dealer 12 19 * 39
<= $1MM 35 45 * 69
<= $10MM - - - 46
<= $100MM - - - 10
> $100MM - - - -
GNMA
AVERAGE PRICE 94.4 86.6 72.5 87.2
Weighted Avg. Price 101.2 95.0 78.2 99.1
Avg. Price Bottom 5 Trades 74.5 62.0 51.6 40.9
2nd Quartile Price 96.2 82.0 52.2 85.3
3rd Quartile Price 97.4 88.0 67.5 96.1
4th Quartile Price 99.0 96.8 93.1 99.8
Avg. Price Top 5 Trades 106.3 100.5 96.0 102.8
Standard Deviation 16.2 13.4 18.3 18.4
VOLUME OF TRADES (000'S) 1,080.4 963.3 1,576.2 899,581.3
Customer Buy 921.3 314.2 634.5 458,194.8
Customer Sell 76.8 438.9 123.4 355,784.6
Dealer to Dealer 82.3 210.3 818.3 85,602.0
<= $1MM 1,080.4 963.3 1,576.2 20,310.5
<= $10MM - - - 34,426.9
<= $100MM - - - 578,197.4
> $100MM - - - *
NUMBER OF TRADES 56 58 25 265
Customer Buy 14 13 5 120
Customer Sell 22 17 6 64
Dealer to Dealer 20 28 14 81
<= $1MM 56 58 25 230
<= $10MM - - - 10
<= $100MM - - - 23
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 9.0
Weighted Avg. Price * * * 5.9
Avg. Price Bottom 5 Trades * * * 7.8
2nd Quartile Price * * * 8.9
3rd Quartile Price * * * 9.2
4th Quartile Price * * * 15.4
Avg. Price Top 5 Trades * * * 9.7
Standard Deviation * * * 3.5
VOLUME OF TRADES (000'S) * * * 79,951.3
Customer Buy - * - -
Customer Sell * * * *
Dealer to Dealer * * * *
<= $1MM * * * *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * * 6
Customer Buy - * - -
Customer Sell * * * *
Dealer to Dealer * * * *
<= $1MM * * * *
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - - - 13.1
Weighted Avg. Price - - - 6.7
Avg. Price Bottom 5 Trades - - - 5.9
2nd Quartile Price - - - 12.9
3rd Quartile Price - - - 14.2
4th Quartile Price - - - 16.2
Avg. Price Top 5 Trades - - - 19.2
Standard Deviation - - - 5.8
VOLUME OF TRADES (000'S) - - - 333,774.0
Customer Buy - - - *
Customer Sell - - - 82,633.4
Dealer to Dealer - - - 93,402.3
<= $1MM - - - 2,758.9
<= $10MM - - - *
<= $100MM - - - 311,074.1
> $100MM - - - -
NUMBER OF TRADES - - - 18
Customer Buy - - - *
Customer Sell - - - 5
Dealer to Dealer - - - 9
<= $1MM - - - 7
<= $10MM - - - *
<= $100MM - - - 8
> $100MM - - - -
GNMA
AVERAGE PRICE * 9.3 * 10.3
Weighted Avg. Price * 14.5 * 6.2
Avg. Price Bottom 5 Trades * 9.3 * 4.4
2nd Quartile Price * * * 8.2
3rd Quartile Price * * * 9.5
4th Quartile Price * * * 15.6
Avg. Price Top 5 Trades * 9.3 * 17.4
Standard Deviation * 6.4 * 4.4
VOLUME OF TRADES (000'S) * 630.6 * 651,162.6
Customer Buy - * - 323,496.4
Customer Sell * * * 135,275.8
Dealer to Dealer - * * 192,390.4
<= $1MM * 630.6 * 4,853.4
<= $10MM - - - -
<= $100MM - - - 646,309.2
> $100MM - - - -
NUMBER OF TRADES * 6 * 31
Customer Buy - * - 9
Customer Sell * * * 10
Dealer to Dealer - * * 12
<= $1MM * 6 * 13
<= $10MM - - - -
<= $100MM - - - 18
> $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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