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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 96.7 88.4 75.0 88.2
Weighted Avg. Price 99.1 91.9 94.2 99.1
Avg. Price Bottom 5 Trades 83.7 68.3 52.8 50.6
2nd Quartile Price 95.7 84.4 69.0 82.6
3rd Quartile Price 99.6 93.3 91.5 93.8
4th Quartile Price 100.8 96.5 94.6 99.8
Avg. Price Top 5 Trades 102.9 99.0 95.2 100.5
Standard Deviation 6.7 10.9 24.6 16.0
VOLUME OF TRADES (000'S) 685.8 13,096.5 6,142.6 1,046,635.6
Customer Buy 448.4 5,912.3 * 549,353.3
Customer Sell 176.2 213.2 * 342,065.3
Dealer to Dealer 61.2 6,971.0 327.2 155,217.0
<= $1MM 685.8 1,122.9 482.6 5,326.5
<= $10MM - 11,973.5 * 205,529.9
<= $100MM - - - 835,779.2
> $100MM - - - -
NUMBER OF TRADES 39 50 13 124
Customer Buy 13 17 * 65
Customer Sell 17 12 * 21
Dealer to Dealer 9 21 6 38
<= $1MM 39 44 11 49
<= $10MM - 6 * 54
<= $100MM - - - 21
> $100MM - - - -
FHLMC
AVERAGE PRICE 95.1 89.0 91.1 95.5
Weighted Avg. Price 96.6 93.0 95.8 98.8
Avg. Price Bottom 5 Trades 86.8 74.1 85.8 55.9
2nd Quartile Price 95.0 85.5 92.4 96.2
3rd Quartile Price 98.4 89.8 92.9 99.5
4th Quartile Price 99.6 97.2 99.3 100.5
Avg. Price Top 5 Trades 99.6 98.8 99.4 101.8
Standard Deviation 6.2 9.4 9.6 11.1
VOLUME OF TRADES (000'S) 19.7 692.2 17,644.9 576,742.9
Customer Buy * 519.8 8,814.5 269,138.7
Customer Sell 13.7 49.3 * 147,906.1
Dealer to Dealer 2.7 123.1 8,807.4 159,698.1
<= $1MM 19.7 692.2 84.6 15,795.8
<= $10MM - - 17,560.3 120,460.0
<= $100MM - - - 440,487.1
> $100MM - - - -
NUMBER OF TRADES 32 48 17 97
Customer Buy * 15 8 48
Customer Sell 23 11 * 13
Dealer to Dealer 6 22 7 36
<= $1MM 32 48 9 44
<= $10MM - - 8 32
<= $100MM - - - 21
> $100MM - - - -
GNMA
AVERAGE PRICE 95.9 88.7 82.4 94.6
Weighted Avg. Price 99.2 96.0 93.1 99.2
Avg. Price Bottom 5 Trades 85.2 64.4 65.1 42.9
2nd Quartile Price 94.0 84.3 72.9 96.8
3rd Quartile Price 97.6 88.5 89.5 98.8
4th Quartile Price 99.9 98.8 96.2 100.0
Avg. Price Top 5 Trades 101.4 100.4 96.8 103.1
Standard Deviation 6.5 11.6 13.9 12.1
VOLUME OF TRADES (000'S) 182.7 4,210.2 33,012.1 789,093.8
Customer Buy 56.1 1,356.2 23,090.5 535,205.9
Customer Sell 46.3 329.1 9,723.9 87,844.3
Dealer to Dealer 80.3 2,524.9 197.6 166,043.5
<= $1MM 182.7 1,990.6 509.3 30,721.8
<= $10MM - * 22,110.5 206,235.4
<= $100MM - - * 552,136.5
> $100MM - - - -
NUMBER OF TRADES 39 55 17 272
Customer Buy 8 13 7 161
Customer Sell 15 15 5 34
Dealer to Dealer 16 27 5 77
<= $1MM 39 53 11 193
<= $10MM - * 5 59
<= $100MM - - * 20
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * * 22.3
Weighted Avg. Price * * * 21.6
Avg. Price Bottom 5 Trades * * * 21.8
2nd Quartile Price * * * 20.7
3rd Quartile Price * * * 21.6
4th Quartile Price * * * 25.5
Avg. Price Top 5 Trades * * * 22.6
Standard Deviation * * * 2.2
VOLUME OF TRADES (000'S) * * * 145,270.2
Customer Buy * - * *
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM * * - -
<= $10MM - - - *
<= $100MM - - * *
> $100MM - - - -
NUMBER OF TRADES * * * 7
Customer Buy * - * *
Customer Sell - * * *
Dealer to Dealer - - - *
<= $1MM * * - -
<= $10MM - - - *
<= $100MM - - * *
> $100MM - - - -
FHLMC
AVERAGE PRICE - - - 5.4
Weighted Avg. Price - - - 4.9
Avg. Price Bottom 5 Trades - - - 3.6
2nd Quartile Price - - - 4.9
3rd Quartile Price - - - 4.9
4th Quartile Price - - - 9.4
Avg. Price Top 5 Trades - - - 7.4
Standard Deviation - - - 2.9
VOLUME OF TRADES (000'S) - - - 627,239.4
Customer Buy - - - *
Customer Sell - - - 501,498.6
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 346,628.9
> $100MM - - - *
NUMBER OF TRADES - - - 10
Customer Buy - - - *
Customer Sell - - - 7
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - 8
> $100MM - - - *
GNMA
AVERAGE PRICE - - - 11.9
Weighted Avg. Price - - - 8.4
Avg. Price Bottom 5 Trades - - - 9.9
2nd Quartile Price - - - 4.6
3rd Quartile Price - - - 20.0
4th Quartile Price - - - 21.8
Avg. Price Top 5 Trades - - - 13.5
Standard Deviation - - - 8.4
VOLUME OF TRADES (000'S) - - - 442,206.5
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 - - - *
* 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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