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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 96.8 78.9 95.6 87.1
Weighted Avg. Price 95.1 92.3 96.4 98.6
Avg. Price Bottom 5 Trades 89.1 58.8 93.1 49.5
2nd Quartile Price 95.0 74.4 95.2 83.1
3rd Quartile Price 98.1 81.6 98.4 97.3
4th Quartile Price 99.8 88.1 98.6 99.6
Avg. Price Top 5 Trades 101.3 98.0 97.9 101.1
Standard Deviation 4.4 16.5 3.8 17.8
VOLUME OF TRADES (000'S) 1,465.9 5,762.7 6,484.2 1,000,387.9
Customer Buy 66.4 94.2 * 266,405.9
Customer Sell 1,326.8 5,605.3 6,467.5 94,083.8
Dealer to Dealer 72.7 63.2 * 639,898.2
<= $1MM 1,465.9 217.8 927.3 10,886.8
<= $10MM - * * 99,318.1
<= $100MM - - - 490,183.0
> $100MM - - - *
NUMBER OF TRADES 32 38 9 80
Customer Buy 10 6 * 30
Customer Sell 14 17 6 27
Dealer to Dealer 8 15 * 23
<= $1MM 32 36 7 41
<= $10MM - * * 26
<= $100MM - - - 11
> $100MM - - - *
FHLMC
AVERAGE PRICE 98.4 87.3 * 94.1
Weighted Avg. Price 100.4 85.2 * 99.3
Avg. Price Bottom 5 Trades 97.0 78.4 * 49.4
2nd Quartile Price 98.0 81.1 * 97.5
3rd Quartile Price 98.4 90.6 * 99.1
4th Quartile Price 99.8 97.1 * 100.0
Avg. Price Top 5 Trades 100.2 97.8 * 101.2
Standard Deviation 1.6 8.7 * 12.4
VOLUME OF TRADES (000'S) 686.6 6,224.3 * 959,323.6
Customer Buy 31.7 * - 262,674.6
Customer Sell 638.6 3,758.4 * 132,991.9
Dealer to Dealer * 2,321.8 - 563,657.2
<= $1MM 686.6 480.4 * 13,234.1
<= $10MM - * * 229,116.6
<= $100MM - - - 716,973.0
> $100MM - - - -
NUMBER OF TRADES 20 21 * 105
Customer Buy 5 * - 43
Customer Sell 12 11 * 21
Dealer to Dealer * 6 - 41
<= $1MM 20 18 * 33
<= $10MM - * * 54
<= $100MM - - - 18
> $100MM - - - -
GNMA
AVERAGE PRICE 98.7 88.0 83.2 93.6
Weighted Avg. Price 100.0 89.0 94.4 99.1
Avg. Price Bottom 5 Trades 97.5 77.4 74.7 43.7
2nd Quartile Price 97.9 82.9 81.8 95.8
3rd Quartile Price 98.5 89.7 83.6 98.2
4th Quartile Price 99.1 95.3 92.9 99.8
Avg. Price Top 5 Trades 100.9 97.8 91.5 103.1
Standard Deviation 1.3 7.6 8.8 12.7
VOLUME OF TRADES (000'S) 220.8 956.5 7,567.5 2,430,491.3
Customer Buy 85.5 356.6 - 920,572.9
Customer Sell 51.5 321.6 7,527.4 851,640.6
Dealer to Dealer 83.7 278.3 40.1 658,277.8
<= $1MM 220.8 956.5 120.3 17,572.1
<= $10MM - - * 189,213.9
<= $100MM - - - 2,073,389.8
> $100MM - - - *
NUMBER OF TRADES 27 34 14 283
Customer Buy 5 7 - 119
Customer Sell 12 13 7 75
Dealer to Dealer 10 14 7 89
<= $1MM 27 34 11 193
<= $10MM - - * 48
<= $100MM - - - 41
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * 12.4 5.0
Weighted Avg. Price * * 8.5 4.0
Avg. Price Bottom 5 Trades * * 12.4 3.4
2nd Quartile Price * * * 1.9
3rd Quartile Price * * * 8.8
4th Quartile Price * * * 12.5
Avg. Price Top 5 Trades * * 12.4 5.7
Standard Deviation * * 2.9 4.6
VOLUME OF TRADES (000'S) * * 3,306.9 523,710.3
Customer Buy * * - *
Customer Sell - * 2,865.3 *
Dealer to Dealer - * * *
<= $1MM * * 883.2 -
<= $10MM - - * -
<= $100MM - - - *
> $100MM - - - *
NUMBER OF TRADES * * 6 6
Customer Buy * * - *
Customer Sell - * 5 *
Dealer to Dealer - * * *
<= $1MM * * 5 -
<= $10MM - - * -
<= $100MM - - - *
> $100MM - - - *
FHLMC
AVERAGE PRICE * * - 18.4
Weighted Avg. Price * * - 4.6
Avg. Price Bottom 5 Trades * * - 2.0
2nd Quartile Price * * - 2.9
3rd Quartile Price * * - 11.9
4th Quartile Price * * - 16.6
Avg. Price Top 5 Trades * * - 43.8
Standard Deviation * * - 28.2
VOLUME OF TRADES (000'S) * * - 688,615.1
Customer Buy * * - 425,886.5
Customer Sell * - - 59,305.8
Dealer to Dealer - - - 203,422.8
<= $1MM * * - *
<= $10MM - - - *
<= $100MM - - - 389,591.6
> $100MM - - - *
NUMBER OF TRADES * * - 15
Customer Buy * * - 5
Customer Sell * - - 5
Dealer to Dealer - - - 5
<= $1MM * * - *
<= $10MM - - - *
<= $100MM - - - 9
> $100MM - - - *
GNMA
AVERAGE PRICE * - * 8.4
Weighted Avg. Price * - * 5.2
Avg. Price Bottom 5 Trades * - * 4.3
2nd Quartile Price * - * 5.3
3rd Quartile Price * - * 9.5
4th Quartile Price * - * 12.7
Avg. Price Top 5 Trades * - * 13.3
Standard Deviation * - * 3.8
VOLUME OF TRADES (000'S) * - * 952,318.4
Customer Buy - - - 293,324.2
Customer Sell * - - 421,819.6
Dealer to Dealer - - * *
<= $1MM - - * 1,197.8
<= $10MM * - - 12,804.0
<= $100MM - - - 449,430.0
> $100MM - - - *
NUMBER OF TRADES * - * 19
Customer Buy - - - 10
Customer Sell * - - 6
Dealer to Dealer - - * *
<= $1MM - - * 5
<= $10MM * - - 5
<= $100MM - - - 6
> $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.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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