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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 98.2 72.6 * 93.3
Weighted Avg. Price 102.3 97.5 * 96.1
Avg. Price Bottom 5 Trades 93.2 50.6 * 55.2
2nd Quartile Price 95.0 63.0 * 96.0
3rd Quartile Price 98.4 81.0 * 98.8
4th Quartile Price 101.0 85.0 * 100.2
Avg. Price Top 5 Trades 103.3 95.6 * 102.6
Standard Deviation 3.5 26.3 * 13.3
VOLUME OF TRADES (000'S) 1,096.5 7,545.0 * 166,765.7
Customer Buy * * * 68,350.1
Customer Sell 617.4 6,529.2 * 69,082.5
Dealer to Dealer 470.4 214.9 - 29,333.1
<= $1MM 1,096.5 1,094.2 * 10,793.8
<= $10MM - * - 55,079.4
<= $100MM - - - 100,892.5
> $100MM - - - -
NUMBER OF TRADES 28 20 * 74
Customer Buy * * * 20
Customer Sell 12 9 * 19
Dealer to Dealer 12 9 - 35
<= $1MM 28 19 * 54
<= $10MM - * - 13
<= $100MM - - - 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.3 84.8 * 93.3
Weighted Avg. Price 99.8 79.4 * 98.4
Avg. Price Bottom 5 Trades 89.4 75.5 * 53.7
2nd Quartile Price 93.0 85.3 * 97.0
3rd Quartile Price 99.0 90.6 * 99.8
4th Quartile Price 100.0 94.3 * 100.6
Avg. Price Top 5 Trades 100.8 93.4 * 101.3
Standard Deviation 6.0 10.6 * 14.6
VOLUME OF TRADES (000'S) 247.0 43.4 * 699,683.5
Customer Buy 222.7 * - 456,452.1
Customer Sell 11.7 18.6 * 187,635.0
Dealer to Dealer 12.6 20.9 - 55,596.4
<= $1MM 247.0 43.4 - 6,016.9
<= $10MM - - * 84,665.4
<= $100MM - - - 609,001.2
> $100MM - - - -
NUMBER OF TRADES 29 13 * 67
Customer Buy 6 * - 37
Customer Sell 13 6 * 14
Dealer to Dealer 10 5 - 16
<= $1MM 29 13 - 27
<= $10MM - - * 19
<= $100MM - - - 21
> $100MM - - - -
GNMA
AVERAGE PRICE 98.1 87.5 * 91.0
Weighted Avg. Price 99.9 94.7 * 97.7
Avg. Price Bottom 5 Trades 96.0 61.8 * 42.2
2nd Quartile Price 97.4 87.7 * 92.6
3rd Quartile Price 98.5 92.1 * 99.6
4th Quartile Price 99.3 100.1 * 101.5
Avg. Price Top 5 Trades 100.9 102.4 * 103.6
Standard Deviation 1.9 21.1 * 18.5
VOLUME OF TRADES (000'S) 1,248.0 309.8 * 417,775.8
Customer Buy 1,183.0 82.8 - 223,890.9
Customer Sell 36.9 48.2 * 99,202.3
Dealer to Dealer 28.1 178.7 - 94,682.7
<= $1MM 195.6 309.8 - 18,376.5
<= $10MM * - * 47,530.4
<= $100MM - - - 351,869.0
> $100MM - - - -
NUMBER OF TRADES 40 35 * 162
Customer Buy 8 8 - 81
Customer Sell 19 10 * 27
Dealer to Dealer 13 17 - 54
<= $1MM 39 35 - 128
<= $10MM * - * 19
<= $100MM - - - 15
> $100MM - - - -
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE 33.9 9.4 * 10.2
Weighted Avg. Price 7.0 9.0 * 7.8
Avg. Price Bottom 5 Trades 33.9 9.4 * 9.2
2nd Quartile Price * * * 8.5
3rd Quartile Price * * * 11.4
4th Quartile Price * * * 12.8
Avg. Price Top 5 Trades 33.9 9.4 * 11.4
Standard Deviation 37.6 1.5 * 2.5
VOLUME OF TRADES (000'S) 717.9 6,708.5 * 50,645.6
Customer Buy * * * *
Customer Sell * * * *
Dealer to Dealer - - - -
<= $1MM 717.9 * - -
<= $10MM - * * 15,193.5
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES 5 6 * 7
Customer Buy * * * *
Customer Sell * * * *
Dealer to Dealer - - - -
<= $1MM 5 * - -
<= $10MM - * * 6
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE - 16.2 * *
Weighted Avg. Price - 9.6 * *
Avg. Price Bottom 5 Trades - 3.9 * *
2nd Quartile Price - 2.3 * *
3rd Quartile Price - 7.6 * *
4th Quartile Price - 11.0 * *
Avg. Price Top 5 Trades - 33.3 * *
Standard Deviation - 27.1 * *
VOLUME OF TRADES (000'S) - 9,392.5 * *
Customer Buy - * * *
Customer Sell - 5,701.3 * -
Dealer to Dealer - * - -
<= $1MM - 456.1 * -
<= $10MM - 8,936.4 - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES - 14 * *
Customer Buy - * * *
Customer Sell - 11 * -
Dealer to Dealer - * - -
<= $1MM - 9 * -
<= $10MM - 5 - *
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE * 7.8 * 3.9
Weighted Avg. Price * 10.1 * 5.5
Avg. Price Bottom 5 Trades * 7.8 * 2.8
2nd Quartile Price * * * 3.5
3rd Quartile Price * * * 4.7
4th Quartile Price * * * 10.4
Avg. Price Top 5 Trades * 7.8 * 5.4
Standard Deviation * 3.6 * 3.5
VOLUME OF TRADES (000'S) * 4,267.3 * 341,421.2
Customer Buy * - - *
Customer Sell * 4,267.3 * *
Dealer to Dealer - - - -
<= $1MM * * * -
<= $10MM - * - *
<= $100MM - - - 335,757.1
> $100MM - - - -
NUMBER OF TRADES * 5 * 7
Customer Buy * - - *
Customer Sell * 5 * *
Dealer to Dealer - - - -
<= $1MM * * * -
<= $10MM - * - *
<= $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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