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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 97.7 88.5 87.5 75.2
Weighted Avg. Price 102.1 97.0 93.7 97.8
Avg. Price Bottom 5 Trades 90.0 71.8 69.5 38.8
2nd Quartile Price 98.0 82.2 88.9 56.7
3rd Quartile Price 98.7 91.1 93.4 80.5
4th Quartile Price 99.0 96.5 96.3 99.5
Avg. Price Top 5 Trades 106.3 99.7 97.9 102.0
Standard Deviation 6.3 9.5 13.2 22.4
VOLUME OF TRADES (000'S) 500.6 12,146.2 63,582.7 267,542.8
Customer Buy * 918.9 24,066.7 123,396.7
Customer Sell 431.2 11,043.9 25,740.3 103,212.1
Dealer to Dealer 54.0 183.4 13,775.8 40,934.0
<= $1MM 500.6 3,782.2 3,205.7 6,131.5
<= $10MM - * 36,300.6 96,866.7
<= $100MM - - * 164,544.6
> $100MM - - - -
NUMBER OF TRADES 43 54 26 86
Customer Buy * 8 6 29
Customer Sell 26 24 14 40
Dealer to Dealer 13 22 6 17
<= $1MM 43 52 17 62
<= $10MM - * 7 17
<= $100MM - - * 7
> $100MM - - - -
FHLMC
AVERAGE PRICE 96.7 91.7 78.0 89.9
Weighted Avg. Price 101.9 99.4 86.6 99.7
Avg. Price Bottom 5 Trades 73.8 81.4 70.1 48.2
2nd Quartile Price 97.2 86.1 71.8 89.2
3rd Quartile Price 98.0 91.7 86.1 99.2
4th Quartile Price 99.3 98.5 86.7 100.2
Avg. Price Top 5 Trades 106.1 100.1 87.1 101.7
Standard Deviation 8.5 7.5 8.8 17.4
VOLUME OF TRADES (000'S) 146.4 17,206.1 19,933.1 408,055.3
Customer Buy 49.9 866.7 * 133,114.9
Customer Sell 44.6 15,379.5 6,266.9 141,655.3
Dealer to Dealer 51.8 959.9 * 133,285.1
<= $1MM 146.4 2,914.9 226.3 4,760.5
<= $10MM - - 19,706.8 45,574.8
<= $100MM - * - 357,720.0
> $100MM - - - -
NUMBER OF TRADES 70 25 13 57
Customer Buy 11 6 * 27
Customer Sell 32 10 6 19
Dealer to Dealer 27 9 * 11
<= $1MM 70 24 8 33
<= $10MM - - 5 11
<= $100MM - * - 13
> $100MM - - - -
GNMA
AVERAGE PRICE 97.6 86.0 80.0 86.1
Weighted Avg. Price 99.2 90.5 95.7 99.2
Avg. Price Bottom 5 Trades 92.3 68.9 67.6 43.1
2nd Quartile Price 96.9 81.8 66.0 68.1
3rd Quartile Price 98.8 89.3 84.2 96.2
4th Quartile Price 99.5 92.0 90.5 99.5
Avg. Price Top 5 Trades 101.0 96.8 91.7 102.2
Standard Deviation 3.3 8.6 11.8 18.9
VOLUME OF TRADES (000'S) 148.3 4,007.0 14,259.8 461,089.5
Customer Buy 40.3 3,291.1 * 165,074.9
Customer Sell 54.2 305.8 7,072.1 271,800.0
Dealer to Dealer 53.8 410.0 87.1 24,214.6
<= $1MM 148.3 817.0 200.2 18,900.2
<= $10MM - * * 87,527.9
<= $100MM - - - 190,042.5
> $100MM - - - *
NUMBER OF TRADES 50 49 15 252
Customer Buy 11 8 * 97
Customer Sell 22 20 5 70
Dealer to Dealer 17 21 6 85
<= $1MM 50 48 13 228
<= $10MM - * * 15
<= $100MM - - - 8
> $100MM - - - *
Pricing Table: Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
FNMA
AVERAGE PRICE * * - 7.9
Weighted Avg. Price * * - 6.6
Avg. Price Bottom 5 Trades * * - 5.9
2nd Quartile Price * * - 6.0
3rd Quartile Price * * - 6.0
4th Quartile Price * * - 13.3
Avg. Price Top 5 Trades * * - 8.9
Standard Deviation * * - 3.2
VOLUME OF TRADES (000'S) * * - 173,511.6
Customer Buy - * - *
Customer Sell * * - *
Dealer to Dealer - - - *
<= $1MM * * - 1,016.2
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * - 9
Customer Buy - * - *
Customer Sell * * - *
Dealer to Dealer - - - *
<= $1MM * * - 5
<= $10MM - - - *
<= $100MM - - - *
> $100MM - - - -
FHLMC
AVERAGE PRICE * * 9.1 25.5
Weighted Avg. Price * * 8.3 10.7
Avg. Price Bottom 5 Trades * * 6.9 11.2
2nd Quartile Price * * 6.6 10.8
3rd Quartile Price * * 10.0 14.6
4th Quartile Price * * 14.8 41.9
Avg. Price Top 5 Trades * * 10.5 51.1
Standard Deviation * * 4.0 25.0
VOLUME OF TRADES (000'S) * * 1,061.7 38,292.8
Customer Buy - * * 37,671.8
Customer Sell * * * *
Dealer to Dealer - * * *
<= $1MM * * 1,061.7 1,288.1
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
NUMBER OF TRADES * * 7 14
Customer Buy - * * 9
Customer Sell * * * *
Dealer to Dealer - * * *
<= $1MM * * 7 13
<= $10MM - - - -
<= $100MM - - - *
> $100MM - - - -
GNMA
AVERAGE PRICE - * * 8.3
Weighted Avg. Price - * * 6.5
Avg. Price Bottom 5 Trades - * * 3.5
2nd Quartile Price - * * 5.0
3rd Quartile Price - * * 9.0
4th Quartile Price - * * 12.7
Avg. Price Top 5 Trades - * * 12.6
Standard Deviation - * * 3.9
VOLUME OF TRADES (000'S) - * * 459,903.3
Customer Buy - * * 322,894.2
Customer Sell - * - 136,115.5
Dealer to Dealer - * - *
<= $1MM - * * 2,748.9
<= $10MM - - * -
<= $100MM - - - 278,046.9
> $100MM - - - *
NUMBER OF TRADES - * * 20
Customer Buy - * * 8
Customer Sell - * - 9
Dealer to Dealer - * - *
<= $1MM - * * 12
<= $10MM - - * -
<= $100MM - - - 7
> $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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